v3.3.0

Yields v3.3.0

Diff since v3.2.1

Merged pull requests:

• define multiplication and division of yield objects (#136) (@alecloudenback)

v3.2.1

Yields v3.2.1

Diff since v3.2.0

Merged pull requests:

• remove uncessary line (#135) (@alecloudenback)

v3.2.0

Yields v3.2.0

Diff since v3.1.1

Merged pull requests:

• refactor core items into FinanceCore (#134) (@alecloudenback)

v3.1.1

Yields v3.1.1

Diff since v3.1.0

Merged pull requests:

• correct some NS constructors and add test cases (#133) (@alecloudenback)

v3.1.0

Yields v3.1.0

Diff since v3.0.1

Closed issues:

• Support more Real types (e.g. curve bootsrapping fails on DecFP.Dec64 inputs (#117)

Merged pull requests:

• let Periodic work for numbers approximately equal to integers (#130) (@alecloudenback)

v3.0.1

Yields v3.0.1

Diff since v3.0.0

Merged pull requests:

• fix defaults when not given Rate type for rates (#126) (@alecloudenback)

v3.0.0

Yields v3.0.0

Diff since v2.2.0

Closed issues:

• Yields.Par errors on this combination of rates and tenors (#109)
• Should Yields.Par have a method without maturities? (#114)
• OIS and CMT refactor (#115)
• Add conversion methods Continuous(r<:Periodic) and Periodic(c<:Continuous,period) (#118)
• Are rates bit types and what would be the impact of making them? (#119)

Merged pull requests:

• Add NelsonSeigel Curves (per @leeyuntien) and some accomodating refactoring (#116) (@alecloudenback)
• tag v3 (#120) (@alecloudenback)
• add precompile statements (#122) (@alecloudenback)
• remove unnecessary parameterizations (#123) (@alecloudenback)
• define __ratetype for Rates (#124) (@alecloudenback)
• add missing code (#125) (@alecloudenback)

v2.2.0

Yields v2.2.0

Diff since v2.1.0

v2.1.0

Yields v2.1.0

Diff since v2.0.0

Merged pull requests:

• Have Rate subtype AbstractYield and add AbstractYieldCurve to heirarchy (#110) (@alecloudenback)

v2.0.0

Yields v2.0.0

Diff since v1.1.2

• For some yield curves, the type of Rate returned may have changed (e.g. where a curve returned a Rate with CompoundingFrequency of Periodic(1), it may now return a Continuous() frequency.
  • As a reminder, you can convert the rates if you need with convert(Periodic(1),continuous_rate)
  • Also as a reminder, in general when working with rates within the JuliaActuary family of packages in general you should try to keep from converting Rates to floating point numbers, as the methods will know how to appropriately accumulate a Rate whereas it is ambiguous with floating point numbers.

Closed issues:

• Provide rate type expected given only curve Type (#101)
• Rename YieldCurve type to something else (#103)
• Define * and / for Rates (#105)

Merged pull requests:

• Readying Yields.jl for EconomicScenarioGenerators.jl (#102) (@alecloudenback)
• Renamed YieldCurve (#104) (@PrajwalBorkar)