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lungbenlungben
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Merge pull request #1 from pazzo83/master
merge upstream
2 parents bebb119 + f63b122 commit 174c74d

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6 files changed

+275
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‎Manifest.toml

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# This file is machine-generated - editing it directly is not advised
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[[Arpack]]
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deps = ["Arpack_jll", "Libdl", "LinearAlgebra"]
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git-tree-sha1 = "2ff92b71ba1747c5fdd541f8fc87736d82f40ec9"
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uuid = "7d9fca2a-8960-54d3-9f78-7d1dccf2cb97"
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version = "0.4.0"
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[[Arpack_jll]]
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deps = ["Libdl", "OpenBLAS_jll", "Pkg"]
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git-tree-sha1 = "68a90a692ddc0eb72d69a6993ca26e2a923bf195"
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uuid = "68821587-b530-5797-8361-c406ea357684"
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version = "3.5.0+2"
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[[Base64]]
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uuid = "2a0f44e3-6c83-55bd-87e4-b1978d98bd5f"
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[[BinaryProvider]]
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deps = ["Libdl", "SHA"]
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git-tree-sha1 = "5b08ed6036d9d3f0ee6369410b830f8873d4024c"
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uuid = "b99e7846-7c00-51b0-8f62-c81ae34c0232"
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version = "0.5.8"
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[[DataAPI]]
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git-tree-sha1 = "674b67f344687a88310213ddfa8a2b3c76cc4252"
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uuid = "9a962f9c-6df0-11e9-0e5d-c546b8b5ee8a"
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version = "1.1.0"
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[[DataStructures]]
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deps = ["InteractiveUtils", "OrderedCollections"]
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git-tree-sha1 = "b7720de347734f4716d1815b00ce5664ed6bbfd4"
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uuid = "864edb3b-99cc-5e75-8d2d-829cb0a9cfe8"
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version = "0.17.9"
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[[Dates]]
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deps = ["Printf"]
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uuid = "ade2ca70-3891-5945-98fb-dc099432e06a"
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[[Dierckx]]
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deps = ["BinaryProvider", "Libdl", "Random", "Test"]
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git-tree-sha1 = "27a74763c20938a814da26f31a9e8408d16fec44"
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uuid = "39dd38d3-220a-591b-8e3c-4c3a8c710a94"
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version = "0.4.1"
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[[Distributed]]
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deps = ["Random", "Serialization", "Sockets"]
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uuid = "8ba89e20-285c-5b6f-9357-94700520ee1b"
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[[Distributions]]
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deps = ["FillArrays", "LinearAlgebra", "PDMats", "Printf", "QuadGK", "Random", "SpecialFunctions", "Statistics", "StatsBase", "StatsFuns"]
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git-tree-sha1 = "a700a7dfde8bb3859e358b293772c56f5446e4b2"
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uuid = "31c24e10-a181-5473-b8eb-7969acd0382f"
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version = "0.22.2"
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[[FillArrays]]
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deps = ["LinearAlgebra", "Random", "SparseArrays"]
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git-tree-sha1 = "fec413d4fc547992eb62a5c544cedb6d7853c1f5"
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uuid = "1a297f60-69ca-5386-bcde-b61e274b549b"
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version = "0.8.4"
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[[InteractiveUtils]]
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deps = ["Markdown"]
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uuid = "b77e0a4c-d291-57a0-90e8-8db25a27a240"
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[[LibGit2]]
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uuid = "76f85450-5226-5b5a-8eaa-529ad045b433"
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[[Libdl]]
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uuid = "8f399da3-3557-5675-b5ff-fb832c97cbdb"
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[[LinearAlgebra]]
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deps = ["Libdl"]
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uuid = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
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[[Logging]]
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uuid = "56ddb016-857b-54e1-b83d-db4d58db5568"
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[[Markdown]]
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deps = ["Base64"]
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uuid = "d6f4376e-aef5-505a-96c1-9c027394607a"
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[[Missings]]
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deps = ["DataAPI"]
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git-tree-sha1 = "de0a5ce9e5289f27df672ffabef4d1e5861247d5"
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uuid = "e1d29d7a-bbdc-5cf2-9ac0-f12de2c33e28"
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version = "0.4.3"
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[[OpenBLAS_jll]]
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deps = ["Libdl", "Pkg"]
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git-tree-sha1 = "3a6e5767e8ae022871c19162cc3ecd80748bd3dc"
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uuid = "4536629a-c528-5b80-bd46-f80d51c5b363"
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version = "0.3.7+4"
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[[OpenSpecFun_jll]]
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deps = ["Libdl", "Pkg"]
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git-tree-sha1 = "65f672edebf3f4e613ddf37db9dcbd7a407e5e90"
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uuid = "efe28fd5-8261-553b-a9e1-b2916fc3738e"
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version = "0.5.3+1"
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[[OrderedCollections]]
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deps = ["Random", "Serialization", "Test"]
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git-tree-sha1 = "c4c13474d23c60d20a67b217f1d7f22a40edf8f1"
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uuid = "bac558e1-5e72-5ebc-8fee-abe8a469f55d"
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version = "1.1.0"
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[[PDMats]]
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deps = ["Arpack", "LinearAlgebra", "SparseArrays", "SuiteSparse", "Test"]
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git-tree-sha1 = "035f8d60ba2a22cb1d2580b1e0e5ce0cb05e4563"
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uuid = "90014a1f-27ba-587c-ab20-58faa44d9150"
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version = "0.9.10"
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[[Pkg]]
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deps = ["Dates", "LibGit2", "Libdl", "Logging", "Markdown", "Printf", "REPL", "Random", "SHA", "Test", "UUIDs"]
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uuid = "44cfe95a-1eb2-52ea-b672-e2afdf69b78f"
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[[Printf]]
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deps = ["Unicode"]
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uuid = "de0858da-6303-5e67-8744-51eddeeeb8d7"
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[[QuadGK]]
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deps = ["DataStructures", "LinearAlgebra"]
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git-tree-sha1 = "dc84e810393cfc6294248c9032a9cdacc14a3db4"
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uuid = "1fd47b50-473d-5c70-9696-f719f8f3bcdc"
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version = "2.3.1"
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[[REPL]]
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deps = ["InteractiveUtils", "Markdown", "Sockets"]
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uuid = "3fa0cd96-eef1-5676-8a61-b3b8758bbffb"
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[[Random]]
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deps = ["Serialization"]
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uuid = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
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[[Rmath]]
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deps = ["BinaryProvider", "Libdl", "Random", "Statistics"]
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git-tree-sha1 = "2bbddcb984a1d08612d0c4abb5b4774883f6fa98"
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uuid = "79098fc4-a85e-5d69-aa6a-4863f24498fa"
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version = "0.6.0"
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[[SHA]]
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uuid = "ea8e919c-243c-51af-8825-aaa63cd721ce"
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[[Serialization]]
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uuid = "9e88b42a-f829-5b0c-bbe9-9e923198166b"
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[[Sobol]]
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deps = ["Random"]
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git-tree-sha1 = "f8afbde90f4e2d5e579dae4b0e71f931b2e194ca"
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uuid = "ed01d8cd-4d21-5b2a-85b4-cc3bdc58bad4"
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version = "1.3.0"
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[[Sockets]]
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uuid = "6462fe0b-24de-5631-8697-dd941f90decc"
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[[SortingAlgorithms]]
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deps = ["DataStructures", "Random", "Test"]
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git-tree-sha1 = "03f5898c9959f8115e30bc7226ada7d0df554ddd"
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uuid = "a2af1166-a08f-5f64-846c-94a0d3cef48c"
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version = "0.3.1"
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[[SparseArrays]]
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deps = ["LinearAlgebra", "Random"]
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uuid = "2f01184e-e22b-5df5-ae63-d93ebab69eaf"
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[[SpecialFunctions]]
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deps = ["OpenSpecFun_jll"]
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git-tree-sha1 = "268052ee908b2c086cc0011f528694f02f3e2408"
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uuid = "276daf66-3868-5448-9aa4-cd146d93841b"
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version = "0.9.0"
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[[Statistics]]
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deps = ["LinearAlgebra", "SparseArrays"]
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uuid = "10745b16-79ce-11e8-11f9-7d13ad32a3b2"
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[[StatsBase]]
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deps = ["DataAPI", "DataStructures", "LinearAlgebra", "Missings", "Printf", "Random", "SortingAlgorithms", "SparseArrays", "Statistics"]
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git-tree-sha1 = "c53e809e63fe5cf5de13632090bc3520649c9950"
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uuid = "2913bbd2-ae8a-5f71-8c99-4fb6c76f3a91"
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version = "0.32.0"
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[[StatsFuns]]
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deps = ["Rmath", "SpecialFunctions"]
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git-tree-sha1 = "79982835d2ff3970685cb704500909c94189bde9"
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uuid = "4c63d2b9-4356-54db-8cca-17b64c39e42c"
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version = "0.9.3"
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[[SuiteSparse]]
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deps = ["Libdl", "LinearAlgebra", "Serialization", "SparseArrays"]
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uuid = "4607b0f0-06f3-5cda-b6b1-a6196a1729e9"
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[[Test]]
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deps = ["Distributed", "InteractiveUtils", "Logging", "Random"]
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uuid = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
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[[UUIDs]]
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deps = ["Random", "SHA"]
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uuid = "cf7118a7-6976-5b1a-9a39-7adc72f591a4"
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[[Unicode]]
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uuid = "4ec0a83e-493e-50e2-b9ac-8f72acf5a8f5"

‎Project.toml

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name = "QuantLib"
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uuid = "96a2b5a2-274e-5d11-8b3e-35bccd200598"
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author = ["Chris Alexander <[email protected]>"]
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version = "0.1.0"
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[deps]
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Dates = "ade2ca70-3891-5945-98fb-dc099432e06a"
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Dierckx = "39dd38d3-220a-591b-8e3c-4c3a8c710a94"
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Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
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LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
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Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
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Sobol = "ed01d8cd-4d21-5b2a-85b4-cc3bdc58bad4"
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SpecialFunctions = "276daf66-3868-5448-9aa4-cd146d93841b"
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StatsBase = "2913bbd2-ae8a-5f71-8c99-4fb6c76f3a91"
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StatsFuns = "4c63d2b9-4356-54db-8cca-17b64c39e42c"
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[compat]
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julia = "1"
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Dierckx = "0.4"
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Distributions = "0.22"
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Sobol = "1.3"
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SpecialFunctions = "0.10"
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StatsBase = "0.32"
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StatsFuns = "0.9"
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[extras]
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Dates = "ade2ca70-3891-5945-98fb-dc099432e06a"
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Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
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[targets]
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test = ["Dates", "Test"]

‎REQUIRE

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This file was deleted.

‎src/math/interpolation/linear_interpolation.jl

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s::Vector{Float64}
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end
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"""
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initialize without data, e.g. for usage in curve constructors
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Example:
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QuantLib.InterpolatedDiscountCurve(curve_dates, curve_values, daycount,
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QuantLib.Math.LinearInterpolation())
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"""
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function LinearInterpolation()
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x_vals = Vector{Float64}()
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y_vals = Vector{Float64}()
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s = Vector{Float64}()
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QuantLib.Math.LinearInterpolation(x_vals, y_vals, s)
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end
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# Linear initialize
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function initialize!(interp::LinearInterpolation, x_vals::Vector{Float64}, y_vals::Vector{Float64})
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interp.x_vals = x_vals

‎test/curves.jl

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using Dates
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effective_date = Date(2020, 01, 15)
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days = [369, 462, 553, 735, 1100, 1465]
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df = [0.97678403, 0.97153083, 0.96655364, 0.95695995, 0.93829085, 0.91954718]
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test_date = effective_date + Day(900)
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const dc_act_360 = QuantLib.Time.Actual360()
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# test log-linear interpolation
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test_curve_loglinear = QuantLib.InterpolatedDiscountCurve(effective_date .+ Day.(days), df, dc_act_360, QuantLib.Math.LogLinear())
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disc_factor = QuantLib.discount(test_curve_loglinear, test_date)
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x1 = (test_date - test_curve_loglinear.dates[4]).value
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dx = (test_curve_loglinear.dates[5]-test_curve_loglinear.dates[4]).value
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dy = log(test_curve_loglinear.data[5]) - log(test_curve_loglinear.data[4])
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df_recalc = exp(log(test_curve_loglinear.data[4]) + x1*dy/dx)
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@test disc_factor == df_recalc
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test_curve_linear = QuantLib.InterpolatedDiscountCurve(effective_date .+ Day.(days), df, dc_act_360, QuantLib.Math.LinearInterpolation())
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disc_factor = QuantLib.discount(test_curve_linear, test_date)
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x1 = (test_date - test_curve_linear.dates[4]).value
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dx = (test_curve_linear.dates[5]-test_curve_linear.dates[4]).value
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dy = (test_curve_linear.data[5]) - (test_curve_linear.data[4])
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df_recalc = ((test_curve_linear.data[4]) + x1*dy/dx)
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@test disc_factor == df_recalc

‎test/runtests.jl

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"options",
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"swaps",
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"swaptions",
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"fd_mesher"]
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"fd_mesher",
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"curves"]
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println("Running tests:")
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