build based on 078e19e

dev/.documenter-siteinfo.json

@@ -1 +1 @@
-{"documenter":{"julia_version":"1.9.3","generation_timestamp":"2023-11-04T02:04:56","documenter_version":"1.1.2"}}
+{"documenter":{"julia_version":"1.9.3","generation_timestamp":"2023-11-04T14:14:29","documenter_version":"1.1.2"}}

dev/Rates/index.html

@@ -9,4 +9,4 @@
 convert(Yields.Continuous(),r)          # convert monthly rate to continuous</code></pre><p>To get the scalar value out of the <code>Rate</code>, use <code>FinanceModels.rate(r)</code>:</p><pre><code class="language-julia-rel hljs">julia&gt; r = Rate(0.01,Periodic(12));   
 julia&gt; rate(r)
 0.01
-</code></pre><h4 id="Arithmetic"><a class="docs-heading-anchor" href="#Arithmetic">Arithmetic</a><a id="Arithmetic-1"></a><a class="docs-heading-anchor-permalink" href="#Arithmetic" title="Permalink"></a></h4><p>Adding, subtracting, multiplying, dividing, and comparing rates is supported.</p></article><nav class="docs-footer"><a class="docs-footer-prevpage" href="../contracts/">« Contracts</a><a class="docs-footer-nextpage" href="../migration/">Migration Guide »</a><div class="flexbox-break"></div><p class="footer-message">Powered by <a href="https://github.com/JuliaDocs/Documenter.jl">Documenter.jl</a> and the <a href="https://julialang.org/">Julia Programming Language</a>.</p></nav></div><div class="modal" id="documenter-settings"><div class="modal-background"></div><div class="modal-card"><header class="modal-card-head"><p class="modal-card-title">Settings</p><button class="delete"></button></header><section class="modal-card-body"><p><label class="label">Theme</label><div class="select"><select id="documenter-themepicker"><option value="documenter-light">documenter-light</option><option value="documenter-dark">documenter-dark</option><option value="auto">Automatic (OS)</option></select></div></p><hr/><p>This document was generated with <a href="https://github.com/JuliaDocs/Documenter.jl">Documenter.jl</a> version 1.1.2 on <span class="colophon-date" title="Saturday 4 November 2023 02:04">Saturday 4 November 2023</span>. Using Julia version 1.9.3.</p></section><footer class="modal-card-foot"></footer></div></div></div></body></html>
+</code></pre><h4 id="Arithmetic"><a class="docs-heading-anchor" href="#Arithmetic">Arithmetic</a><a id="Arithmetic-1"></a><a class="docs-heading-anchor-permalink" href="#Arithmetic" title="Permalink"></a></h4><p>Adding, subtracting, multiplying, dividing, and comparing rates is supported.</p></article><nav class="docs-footer"><a class="docs-footer-prevpage" href="../contracts/">« Contracts</a><a class="docs-footer-nextpage" href="../migration/">Migration Guide »</a><div class="flexbox-break"></div><p class="footer-message">Powered by <a href="https://github.com/JuliaDocs/Documenter.jl">Documenter.jl</a> and the <a href="https://julialang.org/">Julia Programming Language</a>.</p></nav></div><div class="modal" id="documenter-settings"><div class="modal-background"></div><div class="modal-card"><header class="modal-card-head"><p class="modal-card-title">Settings</p><button class="delete"></button></header><section class="modal-card-body"><p><label class="label">Theme</label><div class="select"><select id="documenter-themepicker"><option value="documenter-light">documenter-light</option><option value="documenter-dark">documenter-dark</option><option value="auto">Automatic (OS)</option></select></div></p><hr/><p>This document was generated with <a href="https://github.com/JuliaDocs/Documenter.jl">Documenter.jl</a> version 1.1.2 on <span class="colophon-date" title="Saturday 4 November 2023 14:14">Saturday 4 November 2023</span>. Using Julia version 1.9.3.</p></section><footer class="modal-card-foot"></footer></div></div></div></body></html>

dev/contracts/index.html

@@ -39,7 +39,15 @@
  Cashflow{Float64, Float64}(0.1, 3.5)
  Cashflow{Float64, Float64}(0.1, 4.0)
  Cashflow{Float64, Float64}(0.1, 4.5)
- Cashflow{Float64, Float64}(0.1, 5.0)</code></pre><p>Note that all contracts in FinanceModels.jl are currently <em>unit</em> contracts in that they assume a unit par value. </p><h4 id="More-complex-Contracts"><a class="docs-heading-anchor" href="#More-complex-Contracts">More complex Contracts</a><a id="More-complex-Contracts-1"></a><a class="docs-heading-anchor-permalink" href="#More-complex-Contracts" title="Permalink"></a></h4><h5 id="Transformations"><a class="docs-heading-anchor" href="#Transformations">Transformations</a><a id="Transformations-1"></a><a class="docs-heading-anchor-permalink" href="#Transformations" title="Permalink"></a></h5><p>Contracts (<code>&lt;:AbstractContract</code>) and <a href="../API/FinanceModels/#FinanceModels.Projection"><code>Projection</code></a>s can be modified to be scaled or transformed using the transformations in <a href="https://juliafolds2.github.io/Transducers.jl/stable/#List-of-transducers">Transducers.jl</a> after importing that package.</p><p>Most commonly, this is likely simply chaining <code>Map(...)</code> calls. Two use-cases of this may be to (1) scale the contract by a factor or (2) change the sign of the contract to indicate an obligation/liability instead of an asset. Examples of this:</p><pre><code class="language-julia-repl hljs">julia&gt; using Transducers, FinanceModels
+ Cashflow{Float64, Float64}(0.1, 5.0)</code></pre><p>Note that all contracts in FinanceModels.jl are currently <em>unit</em> contracts in that they assume a unit par value. </p><h4 id="More-complex-Contracts"><a class="docs-heading-anchor" href="#More-complex-Contracts">More complex Contracts</a><a id="More-complex-Contracts-1"></a><a class="docs-heading-anchor-permalink" href="#More-complex-Contracts" title="Permalink"></a></h4><h5 id="Sets-of-contracts"><a class="docs-heading-anchor" href="#Sets-of-contracts">Sets of contracts</a><a id="Sets-of-contracts-1"></a><a class="docs-heading-anchor-permalink" href="#Sets-of-contracts" title="Permalink"></a></h5><p>Sets of contracts can be put in an <code>AbstractArray</code> contained (e.g. a <code>Vector</code>) and then handled together. For example, we combine two bonds as a portfolio to project together:</p><pre><code class="language-julia-repl hljs">julia&gt; c1 = Bond.Fixed(0.05, Periodic(1), 2.0);
+julia&gt; c2 = Bond.Fixed(0.04, Periodic(1), 2.0);
+
+julia&gt; Projection([c1, c2]) |&gt; collect
+4-element Vector{Cashflow{Float64, Float64}}:
+ Cashflow{Float64, Float64}(0.05, 1.0)
+ Cashflow{Float64, Float64}(1.05, 2.0)
+ Cashflow{Float64, Float64}(0.04, 1.0)
+ Cashflow{Float64, Float64}(1.04, 2.0)</code></pre><h5 id="Transformations"><a class="docs-heading-anchor" href="#Transformations">Transformations</a><a id="Transformations-1"></a><a class="docs-heading-anchor-permalink" href="#Transformations" title="Permalink"></a></h5><p>Contracts (<code>&lt;:AbstractContract</code>) and <a href="../API/FinanceModels/#FinanceModels.Projection"><code>Projection</code></a>s can be modified to be scaled or transformed using the transformations in <a href="https://juliafolds2.github.io/Transducers.jl/stable/#List-of-transducers">Transducers.jl</a> after importing that package.</p><p>Most commonly, this is likely simply chaining <code>Map(...)</code> calls. Two use-cases of this may be to (1) scale the contract by a factor or (2) change the sign of the contract to indicate an obligation/liability instead of an asset. Examples of this:</p><pre><code class="language-julia-repl hljs">julia&gt; using Transducers, FinanceModels
 
 julia&gt; Bond.Fixed(0.05,Periodic(1),3) |&gt; collect
 3-element Vector{Cashflow{Float64, Float64}}:
@@ -62,4 +70,4 @@
     fixed_leg = Bond.Fixed(rate(fixed_rate), Periodic(4), tenor)
     float_leg = Bond.Floating(0.0, Periodic(4), tenor, model_key) |&gt; Map(-)
     return Composite(fixed_leg, float_leg)
-end</code></pre><h5 id="Cashflows-are-model-dependent"><a class="docs-heading-anchor" href="#Cashflows-are-model-dependent">Cashflows are model dependent</a><a id="Cashflows-are-model-dependent-1"></a><a class="docs-heading-anchor-permalink" href="#Cashflows-are-model-dependent" title="Permalink"></a></h5><p>An example of this is a floating bond where the coupon paid depends on a view of forward rates. See <a href="../introduction/#Contracts-that-depend-on-the-model-(or-multiple-models)">this section in the overview</a> on projections for how this is handled.</p><h2 id="Available-Contracts-and-Modules"><a class="docs-heading-anchor" href="#Available-Contracts-and-Modules">Available Contracts &amp; Modules</a><a id="Available-Contracts-and-Modules-1"></a><a class="docs-heading-anchor-permalink" href="#Available-Contracts-and-Modules" title="Permalink"></a></h2><p>See the Modules in the left navigation for details on available contracts/models/functions.</p></article><nav class="docs-footer"><a class="docs-footer-prevpage" href="../models/">« Models, Valuation, and Fitting</a><a class="docs-footer-nextpage" href="../Rates/">Rates »</a><div class="flexbox-break"></div><p class="footer-message">Powered by <a href="https://github.com/JuliaDocs/Documenter.jl">Documenter.jl</a> and the <a href="https://julialang.org/">Julia Programming Language</a>.</p></nav></div><div class="modal" id="documenter-settings"><div class="modal-background"></div><div class="modal-card"><header class="modal-card-head"><p class="modal-card-title">Settings</p><button class="delete"></button></header><section class="modal-card-body"><p><label class="label">Theme</label><div class="select"><select id="documenter-themepicker"><option value="documenter-light">documenter-light</option><option value="documenter-dark">documenter-dark</option><option value="auto">Automatic (OS)</option></select></div></p><hr/><p>This document was generated with <a href="https://github.com/JuliaDocs/Documenter.jl">Documenter.jl</a> version 1.1.2 on <span class="colophon-date" title="Saturday 4 November 2023 02:04">Saturday 4 November 2023</span>. Using Julia version 1.9.3.</p></section><footer class="modal-card-foot"></footer></div></div></div></body></html>
+end</code></pre><h5 id="Cashflows-are-model-dependent"><a class="docs-heading-anchor" href="#Cashflows-are-model-dependent">Cashflows are model dependent</a><a id="Cashflows-are-model-dependent-1"></a><a class="docs-heading-anchor-permalink" href="#Cashflows-are-model-dependent" title="Permalink"></a></h5><p>An example of this is a floating bond where the coupon paid depends on a view of forward rates. See <a href="../introduction/#Contracts-that-depend-on-the-model-(or-multiple-models)">this section in the overview</a> on projections for how this is handled.</p><h2 id="Available-Contracts-and-Modules"><a class="docs-heading-anchor" href="#Available-Contracts-and-Modules">Available Contracts &amp; Modules</a><a id="Available-Contracts-and-Modules-1"></a><a class="docs-heading-anchor-permalink" href="#Available-Contracts-and-Modules" title="Permalink"></a></h2><p>See the Modules in the left navigation for details on available contracts/models/functions.</p></article><nav class="docs-footer"><a class="docs-footer-prevpage" href="../models/">« Models, Valuation, and Fitting</a><a class="docs-footer-nextpage" href="../Rates/">Rates »</a><div class="flexbox-break"></div><p class="footer-message">Powered by <a href="https://github.com/JuliaDocs/Documenter.jl">Documenter.jl</a> and the <a href="https://julialang.org/">Julia Programming Language</a>.</p></nav></div><div class="modal" id="documenter-settings"><div class="modal-background"></div><div class="modal-card"><header class="modal-card-head"><p class="modal-card-title">Settings</p><button class="delete"></button></header><section class="modal-card-body"><p><label class="label">Theme</label><div class="select"><select id="documenter-themepicker"><option value="documenter-light">documenter-light</option><option value="documenter-dark">documenter-dark</option><option value="auto">Automatic (OS)</option></select></div></p><hr/><p>This document was generated with <a href="https://github.com/JuliaDocs/Documenter.jl">Documenter.jl</a> version 1.1.2 on <span class="colophon-date" title="Saturday 4 November 2023 14:14">Saturday 4 November 2023</span>. Using Julia version 1.9.3.</p></section><footer class="modal-card-foot"></footer></div></div></div></body></html>