Changelog

New daycount 30E/360 (Eurobond basis): every month has 30 days, and the 31st is moved to the 30th. compound() and discount() with dates count the days with this rule instead of the calendar. Other 30/360 variants are still rejected. (Issue #5)
New vignette “Day Count Conventions”.
New vignette “B3’s Yield Curve and Flat Forward Interpolation”: a curve built from DI1 futures with interp_flatforward() matches the PRE curve published by B3, apart from rounding.
New period argument in spotrate(): rates for other periods, like a monthly inflation rate (period = "1 month") or a rate for a fixed period between two dates (period = term(d1, d2, calendar)), are converted to the equivalent annual rate. The vignette “Day Count Conventions” shows how to compute real interest rates. (Issue #25)
The error for operations between SpotRates with different slots says which slots: compounding, daycount or calendar.

daycount() rejects daycounts other than actual/... and business/..., such as 30/360, which were silently computed as actual days. (Issue #5)
Requires R >= 4.1.0.

New Bps class for basis points: bps(10) is 0.001, as.bps() converts a rate difference, and c() combines them. Adding or subtracting Bps to a SpotRate or SpotRateCurve shifts the rates and keeps the other slots. (Issue #33)
New with_daycount() evaluates operations between Term objects with different units using a daycount, e.g. with_daycount("business/252", term(1, "month") + term(12, "days")) gives 33 days. (Issue #27)
Arithmetic (+, -, %%, /, %/%) and comparison between Term objects with the same units; before, any operation between two Terms raised “Not implemented”. Terms with different units raise an error explaining how to convert them. (Issue #28)
forwardrate(curve, t1, t2) accepts numeric or Term vectors and uses the curve’s interpolation. (Issue #17)
New vignette “Working with Terms”, and a section about basis points in “Spot Rate Curve Interpolation”.

[[ and [[<- on SpotRateCurve convert Term objects to days before indexing. Before, curve[[term(1, "years")]] silently returned the rate at 1 day. (Issue #22)
Arithmetic on a SpotRateCurve with an interpolation prepares the interpolation again; before, curve + 0.01 kept returning the old rates from [[.
c() on Term objects keeps the units of each element; before, all elements took the units of the first one.
[ on SpotRateCurve gives a clear error for NA or out of range indices. (Issue #24)
Vignettes no longer run rb3 code or download data, and rb3 was removed from Suggests (the package was archived on CRAN because rb3 was not used conditionally). The rb3 code shown is updated to rb3 >= 0.1.0.

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.

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.

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.

fixedincome (development version)