add InterestRate Swap and one layer of unwrapping Transducers from Co…

…ntracts

src/Contract.jl

@@ -424,4 +424,19 @@ end
 
 function cashflows_timepoints(qs::Vector{Q}) where {Q<:Quote}
     cashflows_timepoints([q.instrument for q in qs])
-end
+end
+
+"""
+    InterestRateSwap(curve, tenor; model_key="OIS")
+
+A convenience method for creating an interest rate swap given a curve and a tenor via a `Composite` contract consisting of receiving a [fixed bond](@ref Bond.Fixed) and paying (i.e. [`Negative`](@ref FinanceCore.Negative)) [floating bond](@ref Bond.Floating). To switch directions of the pay/receive, simply wrap the swap with `Negative(...)`.
+
+The notional is a unit (1.0) amount and assumed to settle four times per period.
+
+"""
+function InterestRateSwap(curve, tenor; model_key="OIS")
+    fixed_rate = par(curve, tenor; frequency=4)
+    fixed_leg = Bond.Fixed(rate(fixed_rate), Periodic(4), tenor)
+    float_leg = Bond.Floating(0.0, Periodic(4), tenor, model_key) |> Map(-)
+    return Composite(fixed_leg, float_leg)
+end

src/FinanceModels.jl

@@ -24,7 +24,7 @@ include("model/Model.jl")
 include("Projection.jl")
 include("fit.jl")
 
-export Cashflow, Quote, Forward, CommonEquity, Option
+export Cashflow, Quote, Forward, CommonEquity, Option, InterestRateSwap
 
 using .Bond: ZCBYield, ZCBPrice, ParSwapYield, ParYield, CMTYield, ForwardYields, OISYield
 export Bond, ZCBYield, ZCBPrice, ParSwapYield, ParYield, CMTYield, ForwardYields, OISYield

src/Projection.jl

@@ -60,7 +60,7 @@ struct CashflowProjection <: ProjectionKind end
 # collecting a Projection gives your the reducible defined below with __foldl__
 Base.collect(p::P) where {P<:AbstractProjection} = p |> Map(identity) |> collect
 # collecting a contract wraps the contract in with the default Projection, defined next
-Base.collect(c::C) where {C<:FinanceCore.AbstractContract} = Projection(c) |> Map(identity) |> collect
+Base.collect(c::C) where {C<:FinanceCore.AbstractContract} = Projection(c) |> collect
 
 # Default Projections ##########################
 
@@ -73,7 +73,7 @@ Projection(c, m) = Projection(c, m, CashflowProjection())
 
 # Reducibles ###################################
 
-# a more composible, efficient way to create a collection of things that you can apply subsequent transformations to 
+# a more composable, efficient way to create a collection of things that you can apply subsequent transformations to 
 # (and those transformations can be Transducers).
 # https://juliafolds2.github.io/Transducers.jl/stable/howto/reducibles/
 # https://www.youtube.com/watch?v=6mTbuzafcII
@@ -84,7 +84,7 @@ Projection(c, m) = Projection(c, m, CashflowProjection())
 # `__foldl__` where you can define the collection using a `for` loop
 # and `foldl__` you can also define state that is used within the loop
 
-# this wraps a contract in a default proejction and makes a contract a reducible collection of cashflows
+# this wraps a contract in a default projection and makes a contract a reducible collection of cashflows
 function Transducers.asfoldable(c::C) where {C<:FinanceCore.AbstractContract}
     Projection(c) |> Map(identity)
 end
@@ -97,6 +97,15 @@ end
     return complete(rf, val)
 end
 
+# If a Transducer has been combined with a contract into an Eduction
+# then unwrap the contract and apply the transducer to the projection
+@inline function Transducers.__foldl__(rf, val, p::Projection{C,M,K}) where {C<:Transducers.Eduction,M,K}
+    rfx = p.contract.rf.xform                    # get the transducer's "xform" from the projection's contract
+    rf = Transducers.Reduction(rfx, rf)          # compose the xform with any othe existing transducers
+    p_alt = @set p.contract = p.contract.coll    # reset the contract to the underlying contract without transducers
+    Transducers.__foldl__(rf, val, p_alt)        # project with a newly combined reduction 
+end
+
 # 
 @inline function Transducers.__foldl__(rf, val, p::Projection{C,M,K}) where {C<:Bond.Fixed,M,K}
     b = p.contract