Interest Rates

Concrete Interest Rate type

type InterestRate
  rate::Float64
  dc::DayCount
  comp::CompoundingType
  freq::Frequency
end

discount_factor(ir::InterestRate, time_frac::Float64)

Discount factor implied by the rate compounded at time time_frac

discount_factor(ir::InterestRate, date1::Date, date2::Date, ref_start::Date = Date(), ref_end::Date = Date())

Discount factor implied by the rate compounded between two dates

compound_factor(ir::InterestRate, time_frac::Float64)

Compound factor implied by the rate compounded at time time_frac

compound_factor(ir::InterestRate, date1::Date, date2::Date, ref_start::Date = Date(), ref_end::Date = Date())

Compound factor implied by the rate compounded between two dates

equivalent_rate(ir::InterestRate, comp::CompoundingType, freq::Frequency, time_frac::Float64)

Equivalent interest rate for a compounding period time_frac. The resulting InterestRate shares the same implicit day-counting rule of the original InterestRate instance

equivalent_rate(ir::InterestRate, result_dc::DayCount, comp::CompoundingType, freq::Frequency, date1::Date, date2::Date, ref_start::Date = Date(), ref_end::Date = Date())

Equivalent rate for a compounding period between two dates. The resulting rate is calculated taking the required day-counting rule into account

implied_rate(compound::Float64, dc::DayCount, comp::CompoundingType, time_frac::Float64, freq::Frequency)

Implied interest rate for a given compound factor at a given time. The resulting InterestRate has the day-counter provided as input

implied_rate(compound::Float64, dc::DayCount, comp::CompoundingType, date1::Date, date2::Date, freq::Frequency, ref_start::Date = Date(), ref_end::Date = Date())

Implied rate for a given compound factor between two dates. The resulting rate is calculated taking the required day-counting rule into account

Compounding Types

abstract CompoundingType

type ContinuousCompounding <: CompoundingType end # exp(r * t)
type SimpleCompounding <: CompoundingType end     # (1+r*t)
type CompoundedCompounding <: CompoundingType end # (1 + r)^t
type SimpleThenCompounded <: CompoundingType end  # Simple up to the first period then Compounded

Duration

abstract Duration

type ModifiedDuration <: Duration end