Version 2.0.0 adds risk sensitivity (“greeks”) calculations along with the supporting cache infrastructure that makes them efficient.
find_greeks() computes delta, gamma, vega, rates
DV01 and credit DV01 for grid-priced instruments. Delta and gamma are
read directly from a single pricing grid, while vega, rates DV01 and
credit DV01 come from central-difference “bumping” of the supplied term
structure functions. Callers may request any subset of the greeks.reset_caches(), and
integrate_pde() clears per-run instrument state
automatically. A single instrument object can therefore be priced
repeatedly (as in bump-and-reprice greeks) without recreating it.futile.logger layout so that logger names no
longer leak into formatted log messages.Version 1.3.1 uses limSolve for matrix operations when
available, otherwise falls back to Matrix::bandSparse
solvers. As a result, limSolve is demoted from a dependency
to a suggested package.
The file matrix.R is added to handle this, along with
new regression tests. Vignette dependency on BondValuation
is now guarded.
Version 1.2.1 incorporates an important bugfix thanks to M Muecke, handling accumulation of previously-paid coupons.
Version 1.2.1 also add some vectorization and sanity checks with warnings, as well as other minor fixes suggested by Muecke.
Version 1.2.0 recovers from deprecation / archiving which happened due to CI finding test failures in its limSolve dependency. limSolve has now resolved those problems.
Version 1.2.0 also switches from Quandl to the treasury package for optional US interest rate downloads, and improves documentation formatting.
Version 1.1.1 fixes extraneous parameter inheritance in documentation.
Version 1.1.0 adds the detail_from_AnnivDates() function
to make it simple for bond definitions to take advantage of the
excellent daycount convention treatments coded into the
BondValuation package. A few typos in documentation were
also fixed.
After 2 stable years, ragtop is advancing to version
1.0. The following minor changes were made since the 0.5 release:
recovery_fcn to the bond objects that reads the
previously unused recovery_rate variable. The implicit
finite difference solver is able to use recovery_fcn to set
default-conditional values on the grid.NEWS.md file to track changes to the
package.The initial version of the package, released in 2016.