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