switch FinanceModels to Extension (#45)

* switch FInanceModels to Extension * tweaks * wrap up
JuliaActuary · Jan 30, 2024 · 2603bc9 · 2603bc9 · alecloudenback · Jan 30, 2024
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diff --git a/Project.toml b/Project.toml
@@ -1,17 +1,22 @@
 name = "EconomicScenarioGenerators"
 uuid = "1d18cbdc-9ca7-45fd-a8b2-b9434f9145be"
 authors = ["Alec Loudenback <alecloudenback@gmail.com> and contributors"]
-version = "0.5.1"
+version = "0.6.0"
+
+[weakdeps]
+FinanceModels = "77f2ae65-bdde-421f-ae9d-22f1af19dd76"
 
 [deps]
 Copulas = "ae264745-0b69-425e-9d9d-cf662c5eec93"
 Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
 FinanceCore = "b9b1ffdd-6612-4b69-8227-7663be06e089"
-FinanceModels = "77f2ae65-bdde-421f-ae9d-22f1af19dd76"
 ForwardDiff = "f6369f11-7733-5829-9624-2563aa707210"
 Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
 Transducers = "28d57a85-8fef-5791-bfe6-a80928e7c999"
 
+[extensions]
+FinanceModelsExt = "FinanceModels"
+
 [compat]
 Copulas = "0.1"
 FinanceCore = "2"

diff --git a/ext/FinanceModelsExt.jl b/ext/FinanceModelsExt.jl
@@ -0,0 +1,52 @@
+module FinanceModelsExt
+import FinanceModels
+import FinanceCore
+import ForwardDiff
+
+using EconomicScenarioGenerators
+const ESG = EconomicScenarioGenerators
+
+export YieldCurve
+
+# make this an extension w/ FinanceModels?
+function ESG.θ(M::ESG.HullWhite{T}, time, timestep) where {T<:Union{FinanceModels.Yield.AbstractYieldModel,FinanceCore.Rate}}
+    # https://quantpie.co.uk/srm/hull_white_sr.php
+    # https://quant.stackexchange.com/questions/8724/how-to-calibrate-hull-white-from-zero-curve
+    # https://mdpi-res.com/d_attachment/mathematics/mathematics-08-01719/article_deploy/mathematics-08-01719-v2.pdf?version=1603181408
+    a = M.a
+    f(t) = log(FinanceCore.discount(M.curve, t[1]))
+    δf = -only(ForwardDiff.hessian(f, [time]))::Float64
+    f_t = -only(ForwardDiff.gradient(f, [time]))::Float64
+
+    return δf + f_t * a + M.σ^2 / (2 * a) * (1 - exp(-2 * a * time))
+
+end
+
+function ESG.YieldCurve(sg::ESG.ScenarioGenerator{M,N,T,R}; model=FinanceModels.Spline.Linear()) where {M,N,T<:ESG.InterestRateModel,R}
+    times = sg.timestep:sg.timestep:(sg.endtime+sg.timestep)
+    # compute the accumulated discount factor (ZCB price)
+    zeros = cumsum(FinanceCore.rate.(sg .* sg.timestep)) ./ times
+
+    zero_vec = clamp.(zeros, 0.00001, 1)
+    return FinanceModels.Yield.Spline(model, times, zero_vec)
+
+end
+
+function ESG.YieldCurve(c::C; model=FinanceModels.Spline.Linear()) where {C<:ESG.Correlated}
+    fsg = first(c.sg)
+    Δt = fsg.timestep
+    times = Δt:Δt:(fsg.endtime+Δt)
+    # compute the accumulated discount factor (ZCB price)
+    rs = collect(c)
+    ycs = map(eachindex(c.sg)) do i
+        r = [x[i] for x in rs]
+        zeros = cumsum(FinanceCore.rate.(r .* Δt)) ./ times
+
+        zero_vec = clamp.(zeros, 0.00001, 1)
+
+        FinanceModels.Yield.Spline(model, times, zero_vec)
+    end
+
+    return ycs
+end
+end
diff --git a/src/EconomicScenarioGenerators.jl b/src/EconomicScenarioGenerators.jl
@@ -1,7 +1,6 @@
 module EconomicScenarioGenerators
 
 import ForwardDiff
-import FinanceModels
 import FinanceCore
 using Transducers
 using Transducers: @next, complete, __foldl__, asfoldable, next
@@ -129,10 +128,10 @@ end
 __initial_value(sg::ScenarioGenerator) = __initial_value(sg.model, sg.timestep)
 __initial_value(m, timestep) = m.initial
 
+YieldCurve() = error("Must have FinanceModels imported and call this function on a ScenarioGenerator.")
 
-include("Yields.jl")
 export Vasicek, CoxIngersollRoss, HullWhite,
     BlackScholesMerton, ConstantElasticityofVariance,
-    ScenarioGenerator, YieldCurve, Correlated
+    ScenarioGenerator, Correlated, YieldCurve
 
 end
diff --git a/src/Yields.jl b/src/Yields.jl
diff --git a/src/interest.jl b/src/interest.jl
@@ -164,19 +164,6 @@ function nextvalue(M::HullWhite{T}, prior, time, timestep, variate) where {T}
     prior + (θ_t - M.a * prior) * timestep + M.σ * √(timestep) * variate
 end
 
-# make this an extension w/ FinanceModels?
-function θ(M::HullWhite{T}, time, timestep) where {T<:Union{FinanceModels.Yield.AbstractYieldModel,FinanceCore.Rate}}
-    # https://quantpie.co.uk/srm/hull_white_sr.php
-    # https://quant.stackexchange.com/questions/8724/how-to-calibrate-hull-white-from-zero-curve
-    # https://mdpi-res.com/d_attachment/mathematics/mathematics-08-01719/article_deploy/mathematics-08-01719-v2.pdf?version=1603181408
-    a = M.a
-    f(t) = log(FinanceCore.discount(M.curve, t[1]))
-    δf = -only(ForwardDiff.hessian(f, [time]))::Float64
-    f_t = -only(ForwardDiff.gradient(f, [time]))::Float64
-
-    return δf + f_t * a + M.σ^2 / (2 * a) * (1 - exp(-2 * a * time))
-
-end
 
 function θ(M::HullWhite{T}, time, timestep) where {T<:Real}
     # https://quantpie.co.uk/srm/hull_white_sr.php