Merge pull request #24 from imanuelcostigan/feature-vol-surface

Implement volatility surface functionality

DESCRIPTION

@@ -2,30 +2,37 @@ Type: Package
 Package: fmbasics
 Title: Financial Market Building Blocks
 Version: 0.3.99
-Authors@R: person("Imanuel", "Costigan", email = "i.costigan@me.com", 
-                  role = c("aut", "cre"))
-Description: Implements basic financial market objects like currencies, currency
-  pairs, interest rates and interest rate indices. You will be able to use
-  Benchmark instances of these objects which have been defined using their most
-  common conventions or those defined by International Swap Dealer Association
-  (ISDA, <https://www.isda.org>) legal documentation. 
+Authors@R: c(person(given = "Imanuel", family = "Costigan", role = c("aut", "cre"),
+                    email = "i.costigan@me.com"),
+             person(given = "Sayf", family = "Hamada", role = "ctb",
+                    email = "sayfeddine.hamada@westpac.com.au"))
+Description: Implements basic financial market objects like
+    currencies, currency pairs, interest rates and interest rate indices.
+    You will be able to use Benchmark instances of these objects which
+    have been defined using their most common conventions or those defined
+    by International Swap Dealer Association (ISDA,
+    <https://www.isda.org>) legal documentation.
 License: GPL-2
-URL: https://github.com/imanuelcostigan/fmbasics, https://imanuelcostigan.github.io/fmbasics/
+URL: https://github.com/imanuelcostigan/fmbasics,
+    https://imanuelcostigan.github.io/fmbasics/
 BugReports: https://github.com/imanuelcostigan/fmbasics/issues
 Imports: 
-  assertthat,
-  fmdates (>= 0.1.2),
-  lubridate (>= 1.6.0),
-  methods,
-  stats,
-  tibble,
-  utils
+    assertthat,
+    fmdates (>= 0.1.2),
+    lubridate (>= 1.6.0),
+    methods,
+    readr,
+    stats,
+    tibble,
+    utils,
+    tidyr
 Suggests: 
-  covr,
-  knitr,
-  rmarkdown,
-  testthat
-VignetteBuilder: knitr
+    covr,
+    knitr,
+    rmarkdown,
+    testthat
+VignetteBuilder: 
+    knitr
 Encoding: UTF-8
 LazyData: true
 Roxygen: list(markdown = TRUE)

NAMESPACE

@@ -36,7 +36,9 @@ S3method(format,IborIndex)
 S3method(format,InterestRate)
 S3method(format,Interpolation)
 S3method(format,SingleCurrencyMoney)
+S3method(format,VolSurface)
 S3method(format,ZeroCurve)
+S3method(interpolate,VolSurface)
 S3method(interpolate,ZeroCurve)
 S3method(interpolate_dfs,ZeroCurve)
 S3method(interpolate_fwds,ZeroCurve)
@@ -57,6 +59,7 @@ S3method(print,Index)
 S3method(print,InterestRate)
 S3method(print,Interpolation)
 S3method(print,SingleCurrencyMoney)
+S3method(print,VolSurface)
 S3method(print,ZeroCurve)
 S3method(rep,DiscountFactor)
 S3method(rep,InterestRate)
@@ -104,6 +107,7 @@ export(InterestRate)
 export(JPY)
 export(JPYLIBOR)
 export(JPYTIBOR)
+export(LinearCubicTimeVarInterpolation)
 export(LinearInterpolation)
 export(LogDFInterpolation)
 export(MultiCurrencyMoney)
@@ -122,9 +126,13 @@ export(USDHKD)
 export(USDJPY)
 export(USDLIBOR)
 export(USDNOK)
+export(VolQuotes)
+export(VolSurface)
 export(ZeroCurve)
 export(as_DiscountFactor)
 export(as_InterestRate)
+export(build_vol_quotes)
+export(build_vol_surface)
 export(build_zero_curve)
 export(interpolate)
 export(interpolate_dfs)
@@ -142,10 +150,13 @@ export(is.IborIndex)
 export(is.Index)
 export(is.InterestRate)
 export(is.Interpolation)
+export(is.LinearCubicTimeVarInterpolation)
 export(is.LinearInterpolation)
 export(is.LogDFInterpolation)
 export(is.MultiCurrencyMoney)
 export(is.SingleCurrencyMoney)
+export(is.VolQuotes)
+export(is.VolSurface)
 export(is.ZeroCurve)
 export(is_t1)
 export(iso)

NEWS

@@ -1,5 +1,10 @@
 # Version 0.3.99
 
+NEW:
+
+- `VolQuotes()` and `VolSurface()` allow you to create volatility surfaces. The latter can be interpolated by a two-dimensional interpolator via `LinearCubicTimeVarInterpolation()` which uses linear interpolation in the maturity dimension (x), cubic splines in the smile dimension (y) for  implied volatility squared (variance, z).
+- Implemented a `VolSurface` method for `interpolate()`.
+
 IMPROVED:
 
 - Rebuilt documentation using newer version of `roxygen2`

R/generic-methods.R

@@ -54,20 +54,26 @@ to_maturity <- function(dates, index) UseMethod("to_maturity", index)
 #' @rdname indexshifters
 #' @export
 to_reset.default <- function(dates, index) {
-  fmdates::shift(dates, -index$spot_lag,
-    index$day_convention, index$calendar, index$is_eom)
+  fmdates::shift(
+    dates, -index$spot_lag,
+    index$day_convention, index$calendar, index$is_eom
+  )
 }
 #' @rdname indexshifters
 #' @export
 to_value.default <- function(dates, index) {
-  fmdates::shift(dates, index$spot_lag,
-    index$day_convention, index$calendar, index$is_eom)
+  fmdates::shift(
+    dates, index$spot_lag,
+    index$day_convention, index$calendar, index$is_eom
+  )
 }
 #' @rdname indexshifters
 #' @export
 to_maturity.default <- function(dates, index) {
-  fmdates::shift(dates, index$tenor,
-    index$day_convention, c(index$pfc_calendar, index$calendar), index$is_eom)
+  fmdates::shift(
+    dates, index$tenor,
+    index$day_convention, c(index$pfc_calendar, index$calendar), index$is_eom
+  )
 }
 
 
@@ -125,4 +131,4 @@ interpolate_dfs <- function(x, from, to, ...) UseMethod("interpolate_dfs")
 
 #' @export
 #' @rdname interpolate_dfs
-interpolate_fwds <- function(x, from, to, ...) UseMethod("interpolate_fwds")
+interpolate_fwds <- function(x, from, to, ...) UseMethod("interpolate_fwds")