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start updating for new set of upstream packages #101

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merged 6 commits into from Jul 28, 2023
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@alecloudenback alecloudenback commented Jun 25, 2023

Migration Guide:

The shape and API of the package is mostly unchanged. The changes that have made fall into a few categores:

  • Accommodating FinanceModels.jl, the next-generation version of Yields.jl. Release notes here
  • Simplifying the API, generally making function calls require more specific arguments to avoid ambiguity
  • Accommodating the new Cashflow type which makes modeling heterogeneous assets and liabilities simpler.

API Changes

  • Breaking: The functions europut and eurocall have been moved to FinanceModels
  • Breaking: Previously, the first argument to present_value or present_values would be interpreted as a set of Periodic(1) one-period forward rates if a vector of real values was passed. Users should explicitly create the yield model first, instead of relying on the implicit conversion:
# old 
pv([0.05,0.1], cfs)  

# new
using FinanceModels
y = fit(Spline.Linear(),ForwardYields([0.05,0.1]),Bootstrap())
pv(y,cfs)
  • integrate Cashflow
  • remove generator-accomodating functions if create ambiguous methods
  • determine if breaking changes
  • pv has been moved to FinanceCore

@alecloudenback alecloudenback marked this pull request as draft June 25, 2023 04:01
@alecloudenback alecloudenback marked this pull request as ready for review July 28, 2023 02:15
@alecloudenback alecloudenback merged commit 75698de into master Jul 28, 2023
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@alecloudenback alecloudenback deleted the FinanceModels branch July 28, 2023 02:15
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