add name field to CurveMap

felipenoris · Sep 23, 2021 · 7a64d04 · 7a64d04 · felipenoris · Sep 23, 2021
1 parent c25d7e1
commit 7a64d04
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Showing 2 changed files with 6 additions and 3 deletions.
diff --git a/src/curvemap.jl b/src/curvemap.jl
@@ -27,7 +27,7 @@ end
 
 dt_curve = Date(2015,08,03)
 
-curve_map = InterestRates.CurveMap(map_parallel_1pct, InterestRates.IRCurve("dummy-cont-flatforward", InterestRates.Actual360(),
+curve_map = InterestRates.CurveMap("mapped-curve", map_parallel_1pct, InterestRates.IRCurve("dummy-cont-flatforward", InterestRates.Actual360(),
     InterestRates.ContinuousCompounding(), InterestRates.FlatForward(), dt_curve,
     vert_x, vert_y))
 
@@ -36,14 +36,16 @@ zero_rate(curve_map, dt_curve + Dates.Day(11)) ≈ 0.1
 ```
 """
 struct CurveMap{M, C<:AbstractIRCurve{M}, F<:Function} <: AbstractIRCurve{M}
+    name::String
     f::F
     curve::C
 end
 
-for fun in (:curve_get_name, :curve_get_daycount, :curve_get_compounding, :curve_get_method, :curve_get_date, :curve_get_dtm, :curve_get_zero_rates, :curve_get_model_parameters, :curve_get_spline_fit_on_rates, :curve_get_spline_fit_on_discount_factors)
+for fun in (:curve_get_daycount, :curve_get_compounding, :curve_get_method, :curve_get_date, :curve_get_dtm, :curve_get_zero_rates, :curve_get_model_parameters, :curve_get_spline_fit_on_rates, :curve_get_spline_fit_on_discount_factors)
     @eval begin
         ($fun)(curve::CurveMap) = ($fun)(curve.curve)
     end
 end
 
 zero_rate(curve::CurveMap, maturity::Date) = curve.f(zero_rate(curve.curve, maturity), maturity)
+curve_get_name(curve::CurveMap) = curve.name
diff --git a/test/runtests.jl b/test/runtests.jl
@@ -597,10 +597,11 @@ end
 
     dt_curve = Date(2015,08,03)
 
-    curve_map = InterestRates.CurveMap(map_parallel_1pct, InterestRates.IRCurve("dummy-cont-flatforward", InterestRates.Actual360(),
+    curve_map = InterestRates.CurveMap("parallel-1pct", map_parallel_1pct, InterestRates.IRCurve("dummy-cont-flatforward", InterestRates.Actual360(),
         InterestRates.ContinuousCompounding(), InterestRates.FlatForward(), dt_curve,
         vert_x, vert_y))
 
+    @test InterestRates.curve_get_name(curve_map) == "parallel-1pct"
     @test zero_rate(curve_map, dt_curve + Dates.Day(11)) ≈ 0.1
     @test zero_rate(curve_map, dt_curve + Dates.Day(15)) ≈ 0.15
     @test zero_rate(curve_map, dt_curve + Dates.Day(19)) ≈ 0.20