Releases · felipenoris/InterestRates.jl

Breaking changes

AbstractIRCurve{M<:CurveMethod} is now parametric on the curve method.
YearFraction type was introduced. All internal API methods that had an year fraction argument as t::Float64 were changed to use t::YearFraction.
InterestRates.yearfraction method returns a YearFraction as result. Use InterestRates.yearfractionvalue to get the old behavior.

package docs website.
discountfactor(curve, fwd_maturity, maturity).
public API methods should accept maturity::YearFraction argument when possible. This means that the library now supports discountfactor and other methods for an arbitrary maturity::YearFraction that is not a closing date.