define multiplication and division of yield objects (#136)

README.md

@@ -84,7 +84,7 @@ convert(Yields.Continuous(),r)          # convert monthly rate to continuous
 
 #### Arithmetic
 
-Adding, substracting, and comparing rates is supported.
+Adding, substracting, multiplying, dividing, and comparing rates is supported.
 
 ### Curves
 

src/RateCombination.jl

@@ -1,4 +1,13 @@
 ## Curve Manipulations
+"""
+    RateCombination(curve1,curve2,operation)
+
+Creates a datastructure that will perform the given `operation` after independently calculating the effects of the two curves. 
+Can only be created via the public API by using the `+`, `-`, `*`, and `/` operatations on `AbstractYield` objects.
+
+As this is double the normal operations when performing calculations, if you are using the curve in performance critical locations, you should consider transforming the inputs and 
+constructing a single curve object ahead of time.
+"""
 struct RateCombination{T,U,V} <: AbstractYieldCurve
     r1::T
     r2::U
@@ -48,6 +57,46 @@ function Base.:+(a, b::T) where {T<:AbstractYieldCurve}
     return Constant(a) + b
 end
 
+"""
+    Yields.AbstractYieldCurve * Yields.AbstractYieldCurve
+
+The multiplication of two yields will create a `RateCombination`. For `rate`, `discount`, and `accumulation` purposes the spot rates of the two curves will be added together. This can be useful, for example, if you wanted to after-tax a yield.
+
+# Examples
+
+```julia-repl
+julia> m = Yields.Constant(0.01) * 0.79;
+
+julia> accumulation(m,1)
+1.0079
+
+julia> accumulation(.01*.79,1)
+1.0079
+```
+"""
+function Base.:*(a::AbstractYieldCurve, b::AbstractYieldCurve)
+    return RateCombination(a, b, *)
+end
+
+function Base.:*(a::Constant, b::Constant)
+    a_kind = rate(a).compounding
+    rate_new_basis = rate(convert(a_kind, rate(b)))
+    return Constant(
+        Rate(
+            rate(a.rate) * rate_new_basis,
+            a_kind
+        )
+    )
+end
+
+function Base.:*(a::T, b) where {T<:AbstractYieldCurve}
+    return a * Constant(b)
+end
+
+function Base.:*(a, b::T) where {T<:AbstractYieldCurve}
+    return Constant(a) * b
+end
+
 """
     Yields.AbstractYieldCurve - Yields.AbstractYieldCurve
 
@@ -74,4 +123,44 @@ end
 
 function Base.:-(a, b::T) where {T<:AbstractYieldCurve}
     return Constant(a) - b
+end
+
+"""
+    Yields.AbstractYieldCurve / Yields.AbstractYieldCurve
+
+The division of two yields will create a `RateCombination`. For `rate`, `discount`, and `accumulation` purposes the spot rates of the two curves will have the first divided by the second. This can be useful, for example, if you wanted to gross-up a yield to be pre-tax.
+
+# Examples
+
+```julia-repl
+julia> m = Yields.Constant(0.01) / 0.79;
+
+julia> accumulation(d,1)
+1.0126582278481013
+
+julia> accumulation(.01/.79,1)
+1.0126582278481013
+```
+"""
+function Base.:/(a::AbstractYieldCurve, b::AbstractYieldCurve)
+    return RateCombination(a, b, /)
+end
+
+function Base.:/(a::Constant, b::Constant)
+    a_kind = rate(a).compounding
+    rate_new_basis = rate(convert(a_kind, rate(b)))
+    return Constant(
+        Rate(
+            rate(a.rate) / rate_new_basis,
+            a_kind
+        )
+    )
+end
+
+function Base.:/(a::T, b) where {T<:AbstractYieldCurve}
+    return a / Constant(b)
+end
+
+function Base.:/(a, b::T) where {T<:AbstractYieldCurve}
+    return Constant(a) / b
 end

test/RateCombination.jl

@@ -1,12 +1,13 @@
 @testset "Rate Combinations" begin
+    riskfree_maturities = [0.5, 1.0, 1.5, 2.0]
+    riskfree = [5.0, 5.8, 6.4, 6.8] ./ 100 # spot rates
+    rf_curve = Yields.Zero(riskfree, riskfree_maturities)
+
     @testset "base + spread" begin
-        riskfree_maturities = [0.5, 1.0, 1.5, 2.0]
-        riskfree = [5.0, 5.8, 6.4, 6.8] ./ 100 # spot rates
 
         spread_maturities = [0.5, 1.0, 1.5, 3.0] # different maturities
         spread = [1.0, 1.8, 1.4, 1.8] ./ 100 # spot spreads
 
-        rf_curve = Yields.Zero(riskfree, riskfree_maturities)
         spread_curve = Yields.Zero(spread, spread_maturities)
 
         yield = rf_curve + spread_curve
@@ -16,4 +17,34 @@
         @test discount(yield, 1.0) ≈ 1 / (1 + riskfree[2] + spread[2])^1
         @test discount(yield, 1.5) ≈ 1 / (1 + riskfree[3] + spread[3])^1.5
     end
+
+    @testset "multiplicaiton and division" begin
+        @testset "multiplication" begin
+            factor = .79
+            c = rf_curve * factor
+            (discount(c,10)-1 * factor) ≈ discount(rf_curve,10)
+            (accumulation(c,10)-1 * factor) ≈ accumulation(rf_curve,10)
+            forward(c,5,10) * factor ≈ forward(rf_curve,5,10)
+            Yields.par(c,10) * factor ≈ Yields.par(rf_curve,10)
+
+            c = factor * rf_curve
+            (discount(c,10)-1 * factor) ≈ discount(rf_curve,10)
+            (accumulation(c,10)-1 * factor) ≈ accumulation(rf_curve,10)
+            forward(c,5,10) * factor ≈ forward(rf_curve,5,10)
+            Yields.par(c,10) * factor ≈ Yields.par(rf_curve,10)
+
+            @test discount(Yields.Constant(0.1) * Yields.Constant(0.1),10) ≈ discount(Yields.Constant(0.01),10)
+        end
+
+        @testset "division" begin
+            factor = .79
+            c = rf_curve / (factor^-1)
+            (discount(c,10)-1 * factor) ≈ discount(rf_curve,10)
+            (accumulation(c,10)-1 * factor) ≈ accumulation(rf_curve,10)
+            forward(c,5,10) * factor ≈ forward(rf_curve,5,10)
+            Yields.par(c,10) * factor ≈ Yields.par(rf_curve,10)
+            @test discount(Yields.Constant(0.1) / Yields.Constant(0.5),10) ≈ discount(Yields.Constant(0.2),10)
+            @test discount(0.1 / Yields.Constant(0.5),10) ≈ discount(Yields.Constant(0.2),10)
+        end
+    end
 end