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@wilsonfreitas wilsonfreitas released this 15 Jul 23:41
· 38 commits to main since this release
v0.0.2
91f4bc1

fixedincome 0.0.2

Term class

  • Term class accepts multiple units.
  • toyears returns Term objects
  • New methods tomonths and todays for Term conversion in different units.

SpotRate

  • SpotRate Compare method split into spectific methods: ==, !=, >, <, >=, <=. The methods >, <, >=, <= raise error for objects with different slots: compounding, daycount, calendar.
  • SpotRate Arith methods raise error for objects with different slots: compounding, daycount, calendar.

SpotRateCurve

  • The curve methods [ and [[ don't propagate interpolation. The returned curves don't have interpolation. This avoids recurrent prepare_interpolation calls.
  • New SpotRateCurve method [[ for missing returns interpolated curve in curve's terms.
  • SpotRateCurve converts terms to days units, so days units becomes the default units to SpotRateCurve.

Interpolation

  • Added progagate slot to Interpolation class. It defines if the interpolation method is propagated to interpolated curves.
  • The interpolate function, for NelsonSiegel and NelsonSiegelSvensson models, converts term argument to years with toyears.
  • Organized nelsonsiegel and nelsonsiegelsvensson code.
    • New objective functions (and their gradients) have been created to improve the optimization.

Compounding

  • rates method has been renamed to implied_rate

Misc

  • Code refactoring
  • Updated to bizdays version 0.1.10 (Issue #21)
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