Boutquin.Curves

2.0.0: targets .NET 10, Boutquin.MarketData 2.0.1 and Boutquin.Numerics 2.0.0 from NuGet.org. Install the explicit version below to keep the package family aligned. See the changelog and build verification.

A curve construction library for .NET 10. Post-LIBOR, RFR-first, multi-curve architecture.

SOFR, CORRA, SONIA, and EUR-STR are the default benchmark identities, convention keys, and data source targets. Legacy rates (LIBOR, CDOR) are modeled as isolated seams rather than as the primary architecture.

Data Access

Boutquin.Curves consumes Boutquin.MarketData as its shared data kernel for transport, caching, and canonical record types. Concrete source adapters (NY Fed, US Treasury, Bank of Canada, CME, Bank of England, ECB, and others) live in the separate Boutquin.MarketData.Adapter repository.

Numerical Algorithms

Boutquin.Curves uses Boutquin.Numerics as its numerical backend. Interpolation uses these generic numerical kernels:

LinearInterpolator<double> — used by LinearZeroRateInterpolator for zero-rate space interpolation
LogLinearInterpolator<double> — used by LogLinearDiscountFactorInterpolator for log-DF space interpolation
FlatForwardInterpolator<double> — used by FlatForwardInterpolator for piecewise-constant forward rates
MonotoneCubicInterpolator<double> — used by MonotoneCubicInterpolator (Fritsch-Carlson)
MonotoneConvexInterpolator<double> — used by MonotoneConvexInterpolator (Hagan-West, non-negative forwards)

All five use the generic IInterpolator<T> surface introduced in Boutquin.Numerics 2.x. The type parameter is fixed at double because the curve layer works in double arithmetic throughout; decimal precision is not required at the interpolation step and would add unnecessary overhead. Bootstrap uses Numerics Brent root finding to refine self-discounting coupon pillars on the configured trial curve. Risk uses Numerics principal-component analysis for covariance-based yield scenarios.

The data flow through Curves is: StandardCurveRecipes defines node specs, each ICurveNodeSpec creates a typed IDataRequest, IDataPipeline executes the request and returns canonical records, and ICurveNodeSpec.ExtractRate() produces a ResolvedNode that feeds the bootstrap calibrator. ICurveNodeSpec also exposes a default method ExtractActualDate that returns the actual observation date when it differs from the valuation date; OvernightFixingNode overrides this for date gap detection on benchmarks with known publication lags.

CurveBuilder forwards adapter-level DataIssue entries (e.g., stale-data warnings from the transport layer) and emits node-level DATE_ROLLBACK issues when the actual observation date precedes the valuation date. Expected publication lags (e.g., SOFR T+1) produce DATE_ROLLBACK with severity "Info"; unexpected date gaps from same-day publishers produce adapter-level "Warning". Both adapter and node-level issues are collected in the CurveSnapshot.DataIssues list.

Package Layering

Boutquin.Curves.Abstractions          (core contracts, identifiers, diagnostics)
  ^
Conventions / Curves.Interpolation       (instrument conventions, calendars, interpolation)
  ^
Indices / Quotes / Curves                (curve implementations, benchmarks, quotes)
  ^
Curves.Bootstrap                         (piecewise calibrator, instrument helpers)
  ^
Recipes                                  (CurveBuilder, StandardCurveRecipes, MarketData integration)
  ^
Risk / Serialization / Examples          (risk analysis, JSON export, usage examples)

Layer 1 -- Domain Contracts and Conventions

Package	Description
`Boutquin.Curves.Abstractions`	Contracts, value objects, identifiers, and `IFixingsStore`/`InMemoryFixingsStore` for historical benchmark fixing storage
`Boutquin.Curves.Conventions`	Day-count, roll, and business-day convention resolution by stable codes (e.g. `USD-SOFR-OIS`)
`Boutquin.Curves.Indices`	Compatibility package forwarding the Abstractions dependency; no public types
`Boutquin.Curves.Quotes`	Compatibility package forwarding the Core dependency; no public types

Layer 2 -- Curve Construction and Analytics

Package	Description
`Boutquin.Curves.Core`	Query-time discount and projection curve objects and curve-group composition
`Boutquin.Curves.Interpolation`	Interpolation/extrapolation strategies: log-linear DF, linear zero-rate, flat-forward, monotone convex (Hagan-West), monotone cubic (Fritsch-Carlson). Each strategy wraps the corresponding `Boutquin.Numerics` generic interpolator at `T = double`.
`Boutquin.Curves.Bootstrap`	Piecewise bootstrap engine with diagnostics and pre-calibration validation. Par-annuity formulas supply initial swap, OIS, and basis-swap pillars. Self-discounting coupon nodes are refined with Brent root finding on the configured trial curve when coupon dates lie between sparse pillars; a completed-curve check rejects later changes that invalidate those nodes. Multi-curve helpers retain their projection-forward formulas and report their repricing diagnostics.
`Boutquin.Curves.Risk`	Parallel, bucketed and PCA shocks, cash-flow duration/convexity/DV01 metrics, and scenario repricing. The legacy placeholder bucketed-report method remains explicitly labeled.

Layer 3 -- Integration, Serialization, and Delivery

Package	Description
`Boutquin.Curves.Recipes`	Standard curve recipes, single-call `CurveBuilder`, and MarketData pipeline integration
`Boutquin.Curves.Serialization`	JSON calibration report export (`CalibrationReportExporter`), CSV quote ingestion (`CsvQuoteLoader`), and DTO mapping
`Boutquin.Curves.Examples`	Unpackaged executable examples for core construction workflows

Quick Start

Installation

dotnet add package Boutquin.Curves.Abstractions --version 2.0.0
dotnet add package Boutquin.Curves.Core --version 2.0.0
dotnet add package Boutquin.Curves.Bootstrap --version 2.0.0
dotnet add package Boutquin.Curves.Recipes --version 2.0.0

Build a Curve with Fixture Data (No Network)

// Using fixture data (no network calls)
using Boutquin.Curves.Abstractions.Curves;
using Boutquin.Domain.Enumerations;
using Boutquin.MarketData.Abstractions.Contracts;
using Boutquin.MarketData.Abstractions.ReferenceData;
using Boutquin.Curves.Recipes;
using Boutquin.Curves.Recipes.Testing;
using Microsoft.Extensions.DependencyInjection;

var services = new ServiceCollection();
services.AddAnalytics();
services.AddSingleton<IDataPipeline>(FixtureData.CreatePipeline());
services.AddLogging();
var sp = services.BuildServiceProvider();

var builder = sp.GetRequiredService<CurveBuilder>();
var recipe = StandardCurveRecipes.UsdSofrDiscount();
var snapshot = await builder.BuildAsync(recipe, new DateOnly(2026, 4, 9)).ConfigureAwait(false);

var discountRef = new CurveReference(CurveRole.Discount, Currency.USD, new BenchmarkName("SOFR"));
var curve = (IDiscountCurve)snapshot.CurveGroup.GetCurve(discountRef);
Console.WriteLine($"2Y DF: {curve.DiscountFactor(new DateOnly(2028, 4, 9)):F8}");

Build a Curve with Real Market Data (Network Required)

Add Boutquin.MarketData.DependencyInjection and the required provider adapter packages alongside Curves. The snippet below shows kernel wiring; register the providers for every requested series before execution.

// Using real market data from public sources (requires network)
// Adapters from Boutquin.MarketData.Adapter provide live data:
// - NY Fed SOFR fixings
// - US Treasury par yields
// - Bank of Canada zero curves + CORRA
// - Bank of England SONIA
// - ECB EUR-STR
// - CME SOFR futures settlements
using Boutquin.Curves.Recipes;
using Boutquin.MarketData.DependencyInjection;
using Microsoft.Extensions.DependencyInjection;

var services = new ServiceCollection();
services.AddAnalytics();
services.AddMarketDataKernel();           // registers IDataPipeline, cache, etc.
// Register source adapters from Boutquin.MarketData.Adapter.*
// services.AddNewYorkFedAdapter();
// services.AddUsTreasuryAdapter();
// etc.
services.AddLogging();
var sp = services.BuildServiceProvider();

var builder = sp.GetRequiredService<CurveBuilder>();
var snapshot = await builder.BuildAsync(
    StandardCurveRecipes.UsdSofrDiscount(),
    DateOnly.FromDateTime(DateTime.Today)).ConfigureAwait(false);
Console.WriteLine(snapshot.GroupName);

Available Standard Recipes

Method	Currency	Nodes	Day Count	Use Case
`UsdSofrDiscount`	USD	11 (O/N + 1M-30Y)	ACT/360	Collateralized cash-flow discounting
`CadCorraDiscount`	CAD	10 (O/N + 3M-30Y)	ACT/365F	CORRA overnight / government zero-curve proxy
`GbpSoniaDiscount`	GBP	11 (O/N + 1M-30Y)	ACT/365F	GBP discounting (T+0 settlement)
`EurEstrDiscount`	EUR	11 (O/N + 1M-30Y)	ACT/360	EUR discounting
`UsdSofrProjection`	USD	2 (O/N + 30Y)	ACT/360	Research-grade forward projection
`CadCorraProjection`	CAD	2 (O/N + 30Y)	ACT/365F	Government zero-curve proxy projection
`GbpSoniaProjection`	GBP	2 (O/N + 30Y)	ACT/365F	Research-grade forward projection
`EurEstrProjection`	EUR	2 (O/N + 30Y)	ACT/360	Research-grade forward projection

The CAD recipes combine a CORRA overnight fixing with Government of Canada continuous zero yields. The term pillars use DF = exp(-yield * maturityYears), with nominal month/year maturities (3M = 0.25 years). These are government-curve proxies, not CORRA OIS market curves. The USD recipes also contain Treasury proxies; source conventions and diagnostics must be assessed before pricing. Two-node projection recipes are research approximations.

Calibration currently supports CurveValueType.DiscountFactor storage. Other enum values are rejected, including when preflight validation is skipped. A ContinuousZero instrument quote is converted to a discount factor; it does not select zero-rate storage.

Build a Flat Curve Directly

For exploring the lower-level API without the data layer:

using Boutquin.Curves.Abstractions.Identifiers;
using Boutquin.Curves.Core.Discounting;
using Boutquin.Domain.Enumerations;

var flatCurve = new FlatDiscountCurve(
    new CurveName("USD-Flat"),
    valuationDate: DateOnly.FromDateTime(DateTime.Today),
    currency: Currency.USD,
    continuouslyCompoundedZeroRate: 0.05);

var df = flatCurve.DiscountFactor(
    DateOnly.FromDateTime(DateTime.Today.AddYears(1)));
Console.WriteLine($"1Y DF: {df:F8}");

Key Types

Type	Package	Purpose
`CurveBuilder`	Recipes	Orchestrates data fetch + calibration
`StandardCurveRecipes`	Recipes	Pre-built recipes for USD/CAD/GBP/EUR
`ICurveNodeSpec`	Recipes	Describes how to fetch and extract a rate for one curve node; `ExtractActualDate` default method returns the observation date when it differs from the valuation date
`CurveGroupRecipe`	Recipes	Typed curve definition with node specs
`ResolvedNode`	Curves.Bootstrap	Node with rate attached (no QuoteId lookup)
`CurveCalibrationInput`	Curves.Bootstrap	Calibrator input with pre-resolved rates
`PiecewiseBootstrapCalibrator`	Curves.Bootstrap	Core sequential bootstrap solver
`FakeDataPipeline`	Recipes.Testing	Test double for `IDataPipeline`
`FixtureData`	Recipes.Testing	Deterministic market data for all 4 currencies

Architecture

Dependency flows in one direction: Recipes --> Curves.Bootstrap --> Curves/Indices/Quotes --> Conventions/Interpolation --> Abstractions.

Layer 1 defines stable market semantics: type-level contracts for curves, quotes, identifiers, benchmark metadata, day-count conventions, and calendars.
Layer 2 calibrates curves and serves analytics: piecewise bootstrap, query-time curve objects, interpolation/extrapolation, diagnostics, and risk seams.
Layer 3 composes the lower layers into consumer-ready workflows with pre-wired recipes, serialization, and examples.

Market data ingestion is delegated to Boutquin.MarketData (shared kernel) and Boutquin.MarketData.Adapter (concrete source adapters). Calendar contracts (IBusinessCalendar, BusinessDayAdjustment) live in MarketData.Abstractions.Calendars as a single source of truth; Curves schedule generation remains in Boutquin.Curves.Conventions.

For downstream pricing systems, the minimum dependency surface is Boutquin.Curves.Abstractions + Boutquin.Curves.Core.

See docs/architecture.md for design rationale and package placement guidance.

Design Principles

Boutquin.OptionPricing depends on Boutquin.Curves, not the reverse
Boutquin.Curves depends on Boutquin.MarketData for data access; the dependency never flows in reverse
Bootstrapping layer is separate from curve query objects
Diagnostics are first-class output
Risk layer uses actual shocked-vs-base valuation deltas
Conventions, calendars, and benchmarks have explicit seams
Rates travel directly on ResolvedNode: no QuoteId/MarketQuoteSet indirection
EOD-first data strategy: EOD settlement prices and daily benchmark fixings are free and production-grade
Boutquin.Curves depends on Boutquin.Numerics for interpolation, root solving and covariance analysis; the dependency never flows in reverse

Directory Structure

Boutquin.Curves/
+-- src/                        # Source projects (11)
|   +-- Abstractions/           # Core interfaces and value objects
|   +-- Conventions/            # Day-count, business-day, roll conventions
|   +-- Indices/                # Benchmark index definitions
|   +-- Quotes/                 # Normalized quote records
|   +-- Curves/                 # Discount curves and curve groups
|   +-- Curves.Interpolation/   # Interpolation methods
|   +-- Curves.Bootstrap/       # Piecewise bootstrap engine
|   +-- Risk/                   # Scenario and sensitivity
|   +-- Recipes/                # Standard curve recipes + MarketData integration
|   +-- Serialization/          # JSON serialization and CSV ingestion
|   +-- Examples/               # Executable examples
+-- tests/                      # Test projects (12)
+-- benchmarks/
|   +-- Benchmarks/             # BenchmarkDotNet suite
+-- docs/                       # Documentation
+-- Resources/                  # Shared assets (icon)
+-- scripts/                    # Utility scripts
+-- .github/                    # CI/CD workflows

Documentation

Document	Description
docs/architecture.md	Layer design rationale, pipeline context, and package placement guide
docs/curve-construction-guide.md	Practitioner guide: bootstrapping, multi-curve, querying, diagnostics, fixings, and OptionPricing integration
docs/repository-map.md	Per-package descriptions organized by layer with navigation guidance
docs/tolerance-policy.md	Numerical tolerance standards for tests and diagnostics

Contributing

Contributions are welcome! Please read the contributing guidelines and code of conduct first.

Reporting Bugs

If you find a bug, please report it by opening an issue on the Issues page with:

A clear and descriptive title
Steps to reproduce the issue
Expected and actual behavior
Screenshots or code snippets, if applicable

Contributing Code

Fork the repository and clone locally
Create a feature branch: git checkout -b feature-name
Make your changes following the style guides
Commit with clear messages: git commit -m "Add feature X"
Push and open a pull request

Disclaimer

Boutquin.Curves is open-source software provided under the Apache 2.0 License. It is a general-purpose library intended for educational and research purposes.

This software does not constitute financial advice. The curve construction, market data, and risk analysis tools are provided as-is for research and development. Before using any financial calculations in production, consult with qualified professionals who understand your specific requirements and regulatory obligations.

License

Licensed under the Apache License, Version 2.0.

Contact

For inquiries, please open an issue or reach out via GitHub Discussions.

Name		Name	Last commit message	Last commit date
.github		.github
.vscode		.vscode
Resources		Resources
benchmarks/Boutquin.Curves.Benchmarks		benchmarks/Boutquin.Curves.Benchmarks
docs		docs
scripts		scripts
src		src
tests		tests
.editorconfig		.editorconfig
.gitattributes		.gitattributes
.gitignore		.gitignore
Boutquin.Curves.slnx		Boutquin.Curves.slnx
CHANGELOG.md		CHANGELOG.md
CODE_OF_CONDUCT.md		CODE_OF_CONDUCT.md
CONTRIBUTING.md		CONTRIBUTING.md
Directory.Build.props		Directory.Build.props
Directory.Packages.props		Directory.Packages.props
LICENSE.txt		LICENSE.txt
README.md		README.md
SECURITY.md		SECURITY.md
dependency-source.json		dependency-source.json
global.json		global.json
nuget.ci.config		nuget.ci.config
nuget.config		nuget.config

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Boutquin.Curves

Data Access

Numerical Algorithms

Package Layering

Quick Start

Installation

Build a Curve with Fixture Data (No Network)

Build a Curve with Real Market Data (Network Required)

Available Standard Recipes

Build a Flat Curve Directly

Key Types

Architecture

Design Principles

Directory Structure

Documentation

Contributing

Reporting Bugs

Contributing Code

Disclaimer

License

Contact

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Boutquin.Curves

Data Access

Numerical Algorithms

Package Layering

Quick Start

Installation

Build a Curve with Fixture Data (No Network)

Build a Curve with Real Market Data (Network Required)

Available Standard Recipes

Build a Flat Curve Directly

Key Types

Architecture

Design Principles

Directory Structure

Documentation

Contributing

Reporting Bugs

Contributing Code

Disclaimer

License

Contact

About

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Resources

Code of conduct

Contributing

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