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NEWS
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NEWS
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# Version 0.3.99
NEW:
- `VolQuotes()` and `VolSurface()` allow you to create volatility surfaces. The latter can be interpolated by a two-dimensional interpolator via `LinearCubicTimeVarInterpolation()` which uses linear interpolation in the maturity dimension (x), cubic splines in the smile dimension (y) for implied volatility squared (variance, z).
- Implemented a `VolSurface` method for `interpolate()`.
IMPROVED:
- Rebuilt documentation using newer version of `roxygen2`
- `ZeroCurve` documentation explicitly describes the various interpolation methods available (#20)
# Version 0.3.0
NEW:
- `interpolate_dfs()`, `interpolate_fwds()` and `interpolate_zeros()` build on the lower level `interpolate()` for `ZeroCurve` objects.
- `SingleCurrencyMoney()` and `MultiCurrencyMoney()` allows you to create single and multi-currency money objects that are not date dependent
- `CashFlow()` allows you to create date dependent cash flows
- Added a vignette to describe pricing objects introduced in v0.2 and in this version.
FIXED:
- `pfc_calendar` field of `IborIndex` and `CashIndex` fields must now inherit from `Calendar` (#8). CashIndex and IborIndex constructors now support this.
- The names of key indices are no longer prefixed by the associated currency ISO.
REMOVED:
- `fmdata_example()` as only one data file is likely to be used in this package and this is to be used internally for the purposes of `build_zero_curve()`
# Version 0.2.0
Implement `ZeroCurve` and associated interpolation schemes and methods (#1)
- `ZeroCurve()` allows you to create zero curve objects from a set of discount factors and specifying the interpolation scheme to be used
- Implement a set of lightweight interpolation schemes including `ConstantInterpolation()`, `LinearInterpolation()`, `LogDFInterpolation()` and `CubicInterpolation()`. Their behaviour is determined by the object in which they are stored
- Implement a set of interpolation checkers `is.[X]Interpolation()`
- Provide convenience functions that source example market data and allows you to build a zero curve from one such data set (`fmdata_example()` and `build_zero_curve()` respectively.
# Version 0.1.0-99
- Fix title of one of the vignettes
# Version 0.1.0
- Initial version
- Exposes basic financial market building blocks as classes. These include
currencies, currency pairs, indices, interest rates and discount factors.
- Implements methods to create key instances of currency, currency pairs and
indices for major markets.