Convex MonoSubtype of
The reference quantity is interpolated according to the QuantLib ConvexMonotone method.
This results in the reference quantity being both convex (positive second derivative) and monotone (non-vanishing fiorst derivative), both within the intervals and at the interpolating nodes. Web reference available here
A setting of monotonicity = 1 and quadraticity = 0 will reproduce the basic Hagan/West method.
However, this can produce excessive gradients which can mean P&L swings for some curves.
Setting monotonicity less than 1 and/or quadraticity greater than 0 produces smoother curves.
Extra enhancement to avoid negative values (if required) is in place.