Yields

An AbstractYield is an object which can be called with:

• rate(yield,time) for the spot rate at a given time
• discount(yield,time) for the spot discount rate at a given time

Constant(rate)

Construct a yield object where the spot rate is constant for all maturities.

Examples

julia> y = Yields.Constant(0.05)
julia> discount(y,2)
0.9070294784580498     # 1 / (1.05) ^ 2

Step(rates,times)

Create a yield curve object where the applicable rate is the effective rate of interest applicable until corresponding time.

Examples

julia>y = Yields.Step([0.02,0.05], [1,2])

julia>rate(y,0.5)
0.02

julia>rate(y,1.5)
0.05

julia>rate(y,2.5)
0.05

Yields.AbstractYield + Yields.AbstractYield

The addition of two yields will create a RateCombination. For rate, discount, and accumulation purposes the spot rates of the two curves will be added together.

Yields.AbstractYield - Yields.AbstractYield

The subtraction of two yields will create a RateCombination. For rate, discount, and accumulation purposes the spot rates of the second curves will be subtracted from the first.

accumulate(yield,time)

The accumulation factor for the yield from time zero through time.

Forward(rate_vector)

Takes a vector of 1-period forward rates and constructs a discount curve.

Construct a curve given a set of bond yields priced at par with a single coupon per period.

discount(yield,from,to)

The discount factor for the yield from time from through to.

discount(yield,time)

The discount factor for the yield from time zero through time. If yield is a Real number, will assume a Constant interest rate.

rate(yield,time)

The spot rate at time for the given yield.