Changelog

Source: NEWS.md

fixedincome 0.0.42022-10-13

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

fixedincome 0.0.32022-08-15

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

fixedincome 0.0.22022-07-16

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 0.0.12022-03-17

  • First CRAN version.