Merge pull request #8 from JuliaActuary/Step

Author: alecloudenback

.github/workflows/ci.yml

@@ -9,7 +9,7 @@ jobs:
     strategy:
       matrix:
         version:
-          - '1.0'
+          - '1.1'
           - '1.5'
           - 'nightly'
         os:

Project.toml

@@ -8,7 +8,7 @@ Dierckx = "39dd38d3-220a-591b-8e3c-4c3a8c710a94"
 
 [compat]
 Dierckx = "0.4, 0.5"
-julia = "1"
+julia = "^1.1"
 
 [extras]
 Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"

README.md

@@ -40,6 +40,7 @@ There are a few ways to construct a yield curve object:
 - `Zero(rates)` or `Zero(rates,maturities)` using a vector of zero, or spot, rates
 - `Forward(rates)` or `Forward(rates,periods)` using a vector of one-period (or `periods`-long) forward rates
 - `Constant(rate)` takes a single constant rate for all times
+- `Step(rates)` or `Step(rates,times)` doesn't interpolate - the rate is flat up to the corresponding time in `times`
 - `Par(rates)` or `Par(rates,maturities)` takes a series of yields for securities priced at par and paying one coupon per period
 - `USTreasury(rates)` takes the most commonly presented rate data (e.g. [Treasury.gov](https://www.treasury.gov/resource-center/data-chart-center/interest-rates/Pages/TextView.aspx?data=yield)) and bootstraps the curve given the combination of bills and bonds.
 

src/Yields.jl

@@ -8,10 +8,10 @@ export rate, discount, forward
 # USTreasury,  AbstractYield
 # Zero,Constant, Forward
 """
-An AbstractInterestCurve is an object which can be called with:
+An AbstractYield is an object which can be called with:
 
-- `rate` for the spot rate at a given time
-- `discount` for the spot discount rate at a given time
+- `rate(yield,time)` for the spot rate at a given time
+- `discount(yield,time)` for the spot discount rate at a given time
 
 """
 abstract type AbstractYield end
@@ -20,7 +20,7 @@ abstract type AbstractYield end
 Base.Broadcast.broadcastable(ic::AbstractYield) = Ref(ic) 
 
 struct YieldCurve <: AbstractYield
-    rates
+    rates # spot rates
     maturities
     spline
 end
@@ -34,6 +34,64 @@ end
 rate(c::Constant,time) = c.rate
 discount(c::Constant,time) = 1/ (1 + rate(c,time)) ^ time
 
+"""
+    Step(rates,times)
+
+Create a yield curve object where the applicable rate is the effective rate of interest applicable until corresponding time.
+
+# Examples
+
+```julia-repl
+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
+```
+"""
+struct Step <: AbstractYield
+    rates
+    times
+end
+
+Step(rates) = Step(rates,collect(1:length(rates)))
+
+function rate(y::Step,time)
+    i = findfirst(t-> time <= t,y.times)
+    if isnothing(i)
+        return y.rates[end]
+    else
+        return y.rates[i]
+    end
+end
+
+function discount(y::Step,time)
+    v = 1 / (1+y.rates[1]) ^ min(y.times[1],time)
+
+    if y.times[1] >= time
+        return v
+    end
+
+    for i in 2:length(y.times)
+
+        if y.times[i] >= time
+            # take partial discount and break
+            v /= (1+y.rates[i]) ^ (time - y.times[i-1])
+            break
+        else
+            # take full discount and continue
+            v /=  (1+y.rates[i]) ^ (y.times[i] - y.times[i-1])
+        end
+
+    end
+
+    return v
+end
 
 function Zero(rates,maturities)
     # bump to a constant yield if only given one rate

test/runtests.jl

@@ -36,6 +36,31 @@ using Test
         @test rate(z,2) ≈ 0.05
     end
 
+    @testset "Step curve" begin
+        y = Yields.Step([0.02,0.05],[1,2])
+
+        @test rate(y,0.5) == 0.02
+
+        @test discount(y,0.5) ≈ 1 / (1.02) ^ (0.5)
+        @test discount(y,1) ≈ 1 / (1.02) ^ (1)
+        @test rate(y,1) ≈ 0.02
+
+        @test discount(y,2) ≈ 1 / (1.02) / 1.05
+        @test rate(y,2) ≈ 0.05
+        @test rate(y,2.5) ≈ 0.05
+
+        @test discount(y,2) ≈ 1 / (1.02) / 1.05
+
+        @test discount(y,1.5) ≈ 1 / (1.02) / 1.05 ^ (0.5)
+
+
+        y = Yields.Step([0.02,0.07])
+        @test rate(y,0.5) ≈ 0.02
+        @test rate(y,1) ≈ 0.02
+        @test rate(y,1.5) ≈ 0.07
+
+    end
+
     @testset "Salomon Understanding the Yield Curve Pt 1 Figure 9" begin
         maturity = collect(1:10)