Version Upgrade Guide

v3 to v4

Overview

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.
  • 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)