NEWS.md

In wilsonfreitas/R-fixedincome: Fixed Income Models, Calculations, Data Structures and Instruments

fixedincome 0.0.4

• Improved nelsonsiegel and nelsonsiegelsvensson optimization.
• Corrected bug due to recent changes in match in R-devel

fixedincome 0.0.3

• ggplot2 support.
• Added optional refdate attribute to ForwardRate class. (Issue #29)
• New vignette "Plotting Spot Rate Curves"
• Updated vignette "Spot Rate Curve Interpolation"

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)

fixedincome 0.0.1

• First CRAN version.

wilsonfreitas/R-fixedincome documentation built on June 30, 2023, 7:46 a.m.