v0.7.1

Yields v0.7.1

Diff since v0.7.0

Merged pull requests:

• Improve type declaration for Rate to improve package type inference (#55) (@alecloudenback)

v0.7.0

Yields v0.7.0

Diff since v0.6.0

Closed issues:

• Calibrating other yield curves from par or zero rates (#36)
• Allow frequency to be a vector for per-instrument frequency (#43)
• CMT has doc copied, OIS has no doc (#47)

Merged pull requests:

• fix CMT duplication, OIS omission (#48) (@alecloudenback)

v0.6.0

Yields v0.6.0

Diff since v0.5.1

Merged pull requests:

• Smith Wilson yield (#37) (@kasperrisager)
• Format, Linting, and Copyedits (#45) (@alecloudenback)

v0.5.1

Yields v0.5.1

Diff since v0.5.0

Closed issues:

• provide function for efficient vector of accumulation/discount (#23)
• document conversion functionality in readme (#29)
• Inconsistent return type (#40)

Merged pull requests:

• call first value from rates, not the function rate (#35) (@alecloudenback)
• we want element-wise division when time is a vector instead of matrix division (#41) (@alecloudenback)

v0.5.0

Yields v0.5.0

Diff since v0.4.2

Closed issues:

• accumulaton(0.1,10) errors but discount(0.1,10) uses the default assumption of periodic interest (#28)
• swap argument order in two arg version of convert to maintain consistency with Julia base (#30)
• don't export continuous\periodic becuase of clash with Continuous from Distributions (#31)

Merged pull requests:

• convert consistency with base and documentation (#32) (@alecloudenback)
• Don't export Continuous or Periodic due to conflict with other popular packages (#33) (@alecloudenback)
• add convenience function for accumulation (#34) (@alecloudenback)

v0.4.2

Yields v0.4.2

Diff since v0.4.1

Merged pull requests:

• Fwd constructor (#27) (@alecloudenback)

v0.4.1

Yields v0.4.1

Diff since v0.4.0

Merged pull requests:

• switch to line extrapolation since base function is discount curve ra… (#26) (@alecloudenback)

v0.4.0

Yields v0.4.0

Diff since v0.3.1

Closed issues:

• Look at USTreasury again after resolving OIS issue (#22)

Merged pull requests:

• Rates refactor (#25) (@alecloudenback)

v0.3.1

Yields v0.3.1

Diff since v0.2.7

Merged pull requests:

• Treasury fix (#20) (@alecloudenback)

v0.2.7

Yields v0.2.7

Diff since v0.2.6

Closed issues:

• TagBot trigger issue (#17)

Merged pull requests:

• allow real number as argument to discount (#16) (@alecloudenback)
• Update ci.yml (#18) (@alecloudenback)