update for FinanceModels & Transducers (#43)

JuliaActuary · Aug 19, 2023 · 3fec429 · 3fec429 · alecloudenback · Aug 19, 2023
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diff --git a/.github/workflows/CI.yml b/.github/workflows/CI.yml
@@ -18,8 +18,8 @@ jobs:
       fail-fast: false
       matrix:
         version:
-          - '1.6'
-          - '1.7'
+          - '1.9'
+          - '1'
           - 'nightly'
         os:
           - ubuntu-latest

diff --git a/Project.toml b/Project.toml
@@ -1,23 +1,25 @@
 name = "EconomicScenarioGenerators"
 uuid = "1d18cbdc-9ca7-45fd-a8b2-b9434f9145be"
 authors = ["Alec Loudenback <alecloudenback@gmail.com> and contributors"]
-version = "0.4.2"
+version = "0.5.0"
 
 [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"
-IterTools = "c8e1da08-722c-5040-9ed9-7db0dc04731e"
 Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
-Yields = "d7e99b2f-e7f3-4d9e-9f01-2338fc023ad3"
+Transducers = "28d57a85-8fef-5791-bfe6-a80928e7c999"
 
 [compat]
 Copulas = "0.1"
+FinanceCore = "2"
+FinanceModels = "4"
+Transducers = "0.4"
 Distributions = "0.25"
 ForwardDiff = "^0.10"
-IterTools = "^1.4"
-Yields = "^3"
-julia = "1.6"
+julia = "1.9"
 
 [extras]
 Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"

diff --git a/README.md b/README.md
@@ -5,8 +5,6 @@
 [![Build Status](https://github.com/JuliaActuary/EconomicScenarioGenerators.jl/actions/workflows/CI.yml/badge.svg?branch=main)](https://github.com/JuliaActuary/EconomicScenarioGenerators.jl/actions/workflows/CI.yml?query=branch%3Amain)
 [![Coverage](https://codecov.io/gh/JuliaActuary/EconomicScenarioGenerators.jl/branch/main/graph/badge.svg)](https://codecov.io/gh/JuliaActuary/EconomicScenarioGenerators.jl)
 
-> **NOTE**: Yields.jl was recently upgraded to become FinanceModel.jl. EconomicScenarioGenerators.jl is not yet compatible with FinanceModels. You can still utilize the package, but you should use Yields.jl instead of FinanceModels.jl. Track progress of the migration in [pull #43](https://github.com/JuliaActuary/EconomicScenarioGenerators.jl/pull/43)
-
 **This package is in Technical Preview Stage: The API is stabilizing and tests are passing but it has not been used in practice for very long. Please report any issues, provide feedback, and request specific features using the Discussions or Issues in this repository.**
 
 Interested in developing economic scenario generators in Julia? Consider contributing to this package. Open an issue, create a pull request, or discuss on the Julia Zulip's #actuary channel.
@@ -21,11 +19,11 @@ EconoicScenarioGenerators.jl is now available via the General Registry. Install
 
 ### Importing packages
 
-First, import both `EconomicScenarioGenerators` and [`Yields`](https://github.com/JuliaActuary/Yields.jl):
+First, import both `EconomicScenarioGenerators` and [`FinanceModels`](https://github.com/JuliaActuary/FinanceModels.jl):
 
 ```
 using EconomicScenarioGenerators
-using Yields
+using FinanceModels
 ```
 
 ## Models
@@ -53,21 +51,13 @@ s = ScenarioGenerator(
     )
 ```
 
-This can be iterated over, or you can collect all of the rates like:
+You can collect a single generated scenario lik so:
 
 ```julia
 rates = collect(s)
 ```
 
-or 
-
-```julia
-for r in s
-    # do something with r
-end
-```
-
-And the package integrates with [Yields.jl](https://github.com/JuliaActuary/Yields.jl):
+And the package integrates with [FinanceModels.jl](https://github.com/JuliaActuary/FinanceModels.jl):
 
 ```julia
 YieldCurve(s)
@@ -77,25 +67,25 @@ YieldCurve(s)
 will produce a yield curve object:
 
 ```julia-repl
-              ⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀Yield Curve (Yields.BootstrapCurve)⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀           
+              ⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀Yield Curve (FinanceModels.Yield.Spline)⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀           
               ┌────────────────────────────────────────────────────────────┐           
-         0.03 │⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⣀⠤⠤⠔⠒⠉⠉⠒⠒⠒⠒⠒⠤⣄⣀│ Zero rates
-              │⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⣀⠤⠒⠒⠉⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│           
-              │⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⣀⠔⠊⠁⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│           
-              │⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⣀⠔⠋⠁⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│           
-              │⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⢀⣀⣀⠀⠀⣀⡤⠖⠊⠉⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│           
-              │⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⣀⠤⠖⠋⠁⠀⠀⠉⠉⠁⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│           
-              │⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⣀⠔⠋⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│           
-   Continuous │⠀⠀⠀⠀⠀⠀⠀⠀⠀⣀⡤⠒⠓⠦⠤⠖⠉⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│           
-              │⠀⠀⠀⠀⠀⠀⠀⢰⠋⠁⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│           
-              │⠀⠀⣀⠖⠢⡀⡰⠃⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│           
-              │⠉⠉⠁⠀⠀⠉⠁⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│           
+         0.04 │⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│ Zero rates
               │⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│           
+              │⠀⠀⠀⠀⠀⠀⠀⠀⡀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│           
+              │⠀⠀⠀⠀⠀⠀⡠⠎⠉⠉⠊⠉⠑⠦⠤⠤⣄⡀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⣀⣀⡠⠤⠤⠔│           
+              │⠀⠀⠀⠀⢀⠖⠁⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠉⠑⠦⢄⣀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⢀⣀⣀⣀⠤⠔⠒⠊⠉⠉⠀⠀⠀⠀⠀⠀│           
+              │⠀⠀⠀⢰⠃⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠉⠓⠒⠦⠤⢄⣀⠀⠀⠀⠀⠀⠀⠀⠀⣀⣀⠤⠔⠒⠉⠉⠁⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│           
+              │⠀⠀⠀⡎⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠉⠒⠒⠒⠒⠊⠉⠉⠁⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│           
+   Continuous │⠀⠀⢰⠁⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│           
+              │⠀⠀⡇⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│           
+              │⠀⡸⠁⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│           
+              │⢀⡇⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│           
+              │⡸⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│           
+              │⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉⠉│           
               │⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│           
-              │⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│           
-            0 │⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│           
+        -0.01 │⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│           
               └────────────────────────────────────────────────────────────┘           
-              ⠀0⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀time⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀30⠀           
+              ⠀0⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀time⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀30⠀        
 ```
 
 #### CoxIngersolRoss
@@ -111,13 +101,19 @@ m = CoxIngersollRoss(0.136,0.0168,0.0119,Continuous(0.01))
 Construct a yield curve and use that as the arbitrage-free forward curve within the Hull-White model.
 
 ```julia
-using Yields, EconomicScenarioGenerators
+using FinanceModels, EconomicScenarioGenerators
 rates =[0.01, 0.01, 0.03, 0.05, 0.07, 0.16, 0.35, 0.92, 1.40, 1.74, 2.31, 2.41] ./ 100
 mats = [1/12, 2/12, 3/12, 6/12, 1, 2, 3, 5, 7, 10, 20, 30]
-c = Yields.CMT(rates,mats)
 
 
-m = HullWhite(.1,.002,c) # a, σ, curve
+curve = FinanceModels.fit(
+    Spline.Cubic(),
+    CMTYield.(rates,mats),
+    Fit.Bootstrap()
+)
+
+
+m = HullWhite(.1,.002,curve) # a, σ, curve
 
 s = ScenarioGenerator(
         1/12,  # timestep
@@ -140,11 +136,13 @@ using Plots
 
 times = 1:30
 p=plot(title="EconomicScenarioGenerators.jl Hull White Model")
+
+# plot the zero rates
 for d in curves
-    plot!(p,times,Yields.rate.(Yields.zero.(d,times)),alpha=0.2,label="")
+    plot!(p,times,rate.(zero.(d,times)),alpha=0.2,label="")
 end
 
-plot!(times,Yields.rate.(Yields.zero.(c,times)),line=(:black, 5), label="Given Yield Curve")
+plot!(times,rate.(zero.(curve,times)),line=(:black, 5), label="Given Yield Curve")
 p
 
 ```
@@ -209,25 +207,17 @@ ss = [s,s] # these don't have to be the exact same, but do need same shape
 g = ClaytonCopula(2,7) # highly dependendant model
 c = Correlated(ss,g)
 
-collect(c)
+x = collect(c) # an array of tuples
 
 using Plots
-plot(collect(c))
-```
-![plot_20](https://user-images.githubusercontent.com/711879/183552235-9c44f0a7-932d-4e81-9ac1-9115628d3374.svg)
 
-## Benchmarks
-
-Generating 10,000 scenarios of daily timesteps for 1 year (252 business days) with a Black-Scholes-Merton model:
+# get the 1st/2nd value from the scenario points
+plot(getindex.(x,1))
+plot!(getindex.(x,2))
+```
 
+![plot_20](https://user-images.githubusercontent.com/711879/183552235-9c44f0a7-932d-4e81-9ac1-9115628d3374.svg)
 
-| library                    | multi-threaded? | pre-allocated arrays? |  language | time (absolute) | time (relative) |
-|----------------------------|-----------------|-----------------------|-----------------|-----------------|---------|
-| EconomicScenarioGenerators | 8x    |Yes | Julia    | 5ms          | 1x              |
-| EconomicScenarioGenerators | 8x    |No | Julia    | 6ms          | 1x              |
-| EconomicScenarioGenerators | No    |Yes | Julia    | 19ms          | 4x              |
-| EconomicScenarioGenerators | No    |No | Julia    | 20ms          | 4x              |
-| pyesg                      | No?   |No | Python   | 135ms           | 27x              |
 
 ## Other ESG packages