An array where the 1st term corresponds to the known zero rate with the lowest maturity, and the second term corresponds to the zero rate with the next lowest maturity and so on.
maturities
An array where the 1st term corresponds to the maturity (in years) of the zero rate with the lowest maturity, the second term corresponds to the maturity (in years) of the zero rate with the next lowest maturity and so on. Note that each maturity is given in years in decimal format (i.e. 3 years 6 months = 3.5) and each of the maturities must be distinct.
maturityRequired
This the maturity of the zero rate which will be returned by the method.
Return Value
The zero rate for the required maturity in decimal format (i.e. 1 percent = 0.01)
Remarks
In particular, we apply the
(usual) convention that the zero curve in linear between known points of the curve (that is,
known zero rates) and is constant (i.e. flat) for maturities less than the lowest known maturity,
or greater than the highest known maturity.