build based on abd10b4

dev/.documenter-siteinfo.json

@@ -1 +1 @@
-{"documenter":{"julia_version":"1.9.3","generation_timestamp":"2023-10-28T03:16:09","documenter_version":"1.1.2"}}
+{"documenter":{"julia_version":"1.9.3","generation_timestamp":"2023-10-29T04:41:57","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 28 October 2023 03:16">Saturday 28 October 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="Sunday 29 October 2023 04:41">Sunday 29 October 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

@@ -39,4 +39,4 @@
  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><p><strong>When the cashflow depends on a model</strong>. 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 28 October 2023 03:16">Saturday 28 October 2023</span>. Using Julia version 1.9.3.</p></section><footer class="modal-card-foot"></footer></div></div></div></body></html>
+ 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><p><strong>When the cashflow depends on a model</strong>. 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="Sunday 29 October 2023 04:41">Sunday 29 October 2023</span>. Using Julia version 1.9.3.</p></section><footer class="modal-card-foot"></footer></div></div></div></body></html>

dev/index.html

@@ -42,4 +42,4 @@
 Continuous()(0.05)</code></pre><h4 id="Conversion"><a class="docs-heading-anchor" href="#Conversion">Conversion</a><a id="Conversion-1"></a><a class="docs-heading-anchor-permalink" href="#Conversion" title="Permalink"></a></h4><p>Convert rates between different types with <code>convert</code>. E.g.:</p><pre><code class="language-julia-repl hljs">r = Rate(FinanceModels.Periodic(12),0.01)             # rate that compounds 12 times per rate period (ie monthly)
 
 convert(FinanceModels.Periodic(1),r)                  # convert monthly rate to annual effective
-convert(FinanceModels.Continuous(),r)          # convert monthly rate to continuous</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, substracting, multiplying, dividing, and comparing rates is supported.</p><h2 id="Guide-and-Documentation"><a class="docs-heading-anchor" href="#Guide-and-Documentation">Guide and Documentation</a><a id="Guide-and-Documentation-1"></a><a class="docs-heading-anchor-permalink" href="#Guide-and-Documentation" title="Permalink"></a></h2><p>A guide which explains more about the components of the package and from-scratch examples of extending the package is available in the <a href="https://juliaactuary.github.io/FinanceModels.jl/dev/">documenation</a></p><h2 id="Exported-vs-Un-exported-Functions"><a class="docs-heading-anchor" href="#Exported-vs-Un-exported-Functions">Exported vs Un-exported Functions</a><a id="Exported-vs-Un-exported-Functions-1"></a><a class="docs-heading-anchor-permalink" href="#Exported-vs-Un-exported-Functions" title="Permalink"></a></h2><p>Generally, CamelCase methods which construct a datatype are exported as they are unlikely to conflict with other parts of code that may be written. For example, <code>rate</code> is un-exported (it must be called with <code>FinanceModels.rate(...)</code>) because <code>rate</code> is likely a very commonly defined variable within actuarial and financial contexts and there is a high risk of conflicting with defined variables.</p><p>Consider using <code>import FinanceModels</code> which would require qualifying all methods, but alleviates any namespace conflicts and has the benefit of being explicit about the calls (internally we prefer this in the package design to keep dependencies and their usage clear). </p><h2 id="Internals"><a class="docs-heading-anchor" href="#Internals">Internals</a><a id="Internals-1"></a><a class="docs-heading-anchor-permalink" href="#Internals" title="Permalink"></a></h2><p>For time-variant FinanceModels (ie yield <em>curves</em>), the inputs are converted to spot rates and interpolated using quadratic B-splines by default (see documentation for alternatives, such as linear interpolations).</p><h3 id="Combination-Implementation"><a class="docs-heading-anchor" href="#Combination-Implementation">Combination Implementation</a><a id="Combination-Implementation-1"></a><a class="docs-heading-anchor-permalink" href="#Combination-Implementation" title="Permalink"></a></h3><p><a href="#combinations">Combinations</a> track two different curve objects and are not combined into a single underlying data structure. This means that you may achieve better performance if you combine the rates before constructing a <code>FinanceModels</code> representation. The exception to this is <code>Constant</code> curves, which <em>do</em> get combined into a single structure that is as performant as pre-combined rate structure.</p><h2 id="Related-Packages"><a class="docs-heading-anchor" href="#Related-Packages">Related Packages</a><a id="Related-Packages-1"></a><a class="docs-heading-anchor-permalink" href="#Related-Packages" title="Permalink"></a></h2><ul><li><a href="https://github.com/felipenoris/InterestRates.jl"><strong><code>InterestRates.jl</code></strong></a> specializes in fast rate calculations aimed at valuing fixed income contracts, with business-day-level accuracy.<ul><li>Comparative comments: <strong><code>FinanceModels.jl</code></strong> does not try to provide as precise controls over the timing, structure, and interpolation of the curve. Instead, <strong><code>FinanceModels.jl</code></strong> provides a minimal, but flexible and intuitive interface for common modeling needs.</li></ul></li></ul></article><nav class="docs-footer"><a class="docs-footer-nextpage" href="introduction/">Introduction »</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 28 October 2023 03:16">Saturday 28 October 2023</span>. Using Julia version 1.9.3.</p></section><footer class="modal-card-foot"></footer></div></div></div></body></html>
+convert(FinanceModels.Continuous(),r)          # convert monthly rate to continuous</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, substracting, multiplying, dividing, and comparing rates is supported.</p><h2 id="Guide-and-Documentation"><a class="docs-heading-anchor" href="#Guide-and-Documentation">Guide and Documentation</a><a id="Guide-and-Documentation-1"></a><a class="docs-heading-anchor-permalink" href="#Guide-and-Documentation" title="Permalink"></a></h2><p>A guide which explains more about the components of the package and from-scratch examples of extending the package is available in the <a href="https://juliaactuary.github.io/FinanceModels.jl/dev/">documenation</a></p><h2 id="Exported-vs-Un-exported-Functions"><a class="docs-heading-anchor" href="#Exported-vs-Un-exported-Functions">Exported vs Un-exported Functions</a><a id="Exported-vs-Un-exported-Functions-1"></a><a class="docs-heading-anchor-permalink" href="#Exported-vs-Un-exported-Functions" title="Permalink"></a></h2><p>Generally, CamelCase methods which construct a datatype are exported as they are unlikely to conflict with other parts of code that may be written. For example, <code>rate</code> is un-exported (it must be called with <code>FinanceModels.rate(...)</code>) because <code>rate</code> is likely a very commonly defined variable within actuarial and financial contexts and there is a high risk of conflicting with defined variables.</p><p>Consider using <code>import FinanceModels</code> which would require qualifying all methods, but alleviates any namespace conflicts and has the benefit of being explicit about the calls (internally we prefer this in the package design to keep dependencies and their usage clear). </p><h2 id="Internals"><a class="docs-heading-anchor" href="#Internals">Internals</a><a id="Internals-1"></a><a class="docs-heading-anchor-permalink" href="#Internals" title="Permalink"></a></h2><p>For time-variant FinanceModels (ie yield <em>curves</em>), the inputs are converted to spot rates and interpolated using quadratic B-splines by default (see documentation for alternatives, such as linear interpolations).</p><h3 id="Combination-Implementation"><a class="docs-heading-anchor" href="#Combination-Implementation">Combination Implementation</a><a id="Combination-Implementation-1"></a><a class="docs-heading-anchor-permalink" href="#Combination-Implementation" title="Permalink"></a></h3><p><a href="#combinations">Combinations</a> track two different curve objects and are not combined into a single underlying data structure. This means that you may achieve better performance if you combine the rates before constructing a <code>FinanceModels</code> representation. The exception to this is <code>Constant</code> curves, which <em>do</em> get combined into a single structure that is as performant as pre-combined rate structure.</p><h2 id="Related-Packages"><a class="docs-heading-anchor" href="#Related-Packages">Related Packages</a><a id="Related-Packages-1"></a><a class="docs-heading-anchor-permalink" href="#Related-Packages" title="Permalink"></a></h2><ul><li><a href="https://github.com/felipenoris/InterestRates.jl"><strong><code>InterestRates.jl</code></strong></a> specializes in fast rate calculations aimed at valuing fixed income contracts, with business-day-level accuracy.<ul><li>Comparative comments: <strong><code>FinanceModels.jl</code></strong> does not try to provide as precise controls over the timing, structure, and interpolation of the curve. Instead, <strong><code>FinanceModels.jl</code></strong> provides a minimal, but flexible and intuitive interface for common modeling needs.</li></ul></li></ul></article><nav class="docs-footer"><a class="docs-footer-nextpage" href="introduction/">Introduction »</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="Sunday 29 October 2023 04:41">Sunday 29 October 2023</span>. Using Julia version 1.9.3.</p></section><footer class="modal-card-foot"></footer></div></div></div></body></html>