Merge pull request #18 from farzadwp/master

Adding CDS bootstrapping

DESCRIPTION

@@ -25,7 +25,8 @@ Imports:
     stats,
     tibble,
     utils,
-    tidyr
+    tidyr,
+    credule
 Suggests: 
     covr,
     knitr,

NAMESPACE

@@ -2,46 +2,80 @@
 
 S3method("!=",DiscountFactor)
 S3method("!=",InterestRate)
+S3method("!=",SurvivalProbabilities)
+S3method("!=",ZeroHazardRate)
 S3method("<",DiscountFactor)
 S3method("<",InterestRate)
+S3method("<",SurvivalProbabilities)
+S3method("<",ZeroHazardRate)
 S3method("<=",DiscountFactor)
 S3method("<=",InterestRate)
+S3method("<=",SurvivalProbabilities)
+S3method("<=",ZeroHazardRate)
 S3method("==",DiscountFactor)
 S3method("==",InterestRate)
+S3method("==",SurvivalProbabilities)
+S3method("==",ZeroHazardRate)
 S3method(">",InterestRate)
+S3method(">",ZeroHazardRate)
 S3method(">=",DiscountFactor)
 S3method(">=",InterestRate)
+S3method(">=",SurvivalProbabilities)
+S3method(">=",ZeroHazardRate)
 S3method("[",DiscountFactor)
 S3method("[",InterestRate)
+S3method("[",SurvivalProbabilities)
+S3method("[",ZeroHazardRate)
 S3method("[<-",DiscountFactor)
 S3method("[<-",InterestRate)
+S3method("[<-",SurvivalProbabilities)
+S3method("[<-",ZeroHazardRate)
 S3method(all.equal,InterestRate)
+S3method(all.equal,ZeroHazardRate)
 S3method(as.character,Currency)
 S3method(as.double,DiscountFactor)
 S3method(as.double,InterestRate)
 S3method(as_DiscountFactor,InterestRate)
 S3method(as_InterestRate,DiscountFactor)
 S3method(as_InterestRate,InterestRate)
+S3method(as_SurvivalProbabilities,CDSCurve)
+S3method(as_SurvivalProbabilities,ZeroHazardRate)
+S3method(as_ZeroHazardRate,SurvivalProbabilities)
+S3method(as_ZeroHazardRate,ZeroHazardRate)
 S3method(as_tibble,CashFlow)
+S3method(as_tibble,CreditCurve)
 S3method(as_tibble,MultiCurrencyMoney)
 S3method(as_tibble,ZeroCurve)
 S3method(c,DiscountFactor)
 S3method(c,InterestRate)
 S3method(c,SingleCurrencyMoney)
+S3method(c,SurvivalProbabilities)
+S3method(c,ZeroHazardRate)
+S3method(format,CDSCurve)
+S3method(format,CDSMarkitSpec)
+S3method(format,CDSSingleNameSpec)
+S3method(format,CDSSpec)
 S3method(format,CashIndex)
+S3method(format,CreditCurve)
 S3method(format,Currency)
 S3method(format,CurrencyPair)
 S3method(format,DiscountFactor)
 S3method(format,IborIndex)
 S3method(format,InterestRate)
 S3method(format,Interpolation)
 S3method(format,SingleCurrencyMoney)
+S3method(format,SurvivalProbabilities)
 S3method(format,VolSurface)
 S3method(format,ZeroCurve)
+S3method(format,ZeroHazardRate)
+S3method(interpolate,CreditCurve)
 S3method(interpolate,VolSurface)
 S3method(interpolate,ZeroCurve)
+S3method(interpolate_dfs,CreditCurve)
 S3method(interpolate_dfs,ZeroCurve)
+S3method(interpolate_fwds,CreditCurve)
 S3method(interpolate_fwds,ZeroCurve)
+S3method(interpolate_zeros,CreditCurve)
 S3method(interpolate_zeros,ZeroCurve)
 S3method(iso,CashIndex)
 S3method(iso,CurrencyPair)
@@ -50,19 +84,30 @@ S3method(iso,SingleCurrencyMoney)
 S3method(iso,default)
 S3method(length,DiscountFactor)
 S3method(length,InterestRate)
+S3method(length,SurvivalProbabilities)
+S3method(length,ZeroHazardRate)
 S3method(locale,Currency)
 S3method(locale,CurrencyPair)
+S3method(print,CDSCurve)
+S3method(print,CDSMarkitSpec)
+S3method(print,CDSSingleNameSpec)
+S3method(print,CDSSpec)
+S3method(print,CreditCurve)
 S3method(print,Currency)
 S3method(print,CurrencyPair)
 S3method(print,DiscountFactor)
 S3method(print,Index)
 S3method(print,InterestRate)
 S3method(print,Interpolation)
 S3method(print,SingleCurrencyMoney)
+S3method(print,SurvivalProbabilities)
 S3method(print,VolSurface)
 S3method(print,ZeroCurve)
+S3method(print,ZeroHazardRate)
 S3method(rep,DiscountFactor)
 S3method(rep,InterestRate)
+S3method(rep,SurvivalProbabilities)
+S3method(rep,ZeroHazardRate)
 S3method(tbl_sum,CashFlow)
 S3method(tbl_sum,MultiCurrencyMoney)
 S3method(to_maturity,default)
@@ -77,12 +122,17 @@ export(AUDBBSW)
 export(AUDBBSW1b)
 export(AUDNZD)
 export(AUDUSD)
+export(CDSCurve)
+export(CDSMarkitSpec)
+export(CDSSingleNameSpec)
+export(CDSSpec)
 export(CHF)
 export(CHFLIBOR)
 export(CHFTOIS)
 export(CashFlow)
 export(CashIndex)
 export(ConstantInterpolation)
+export(CreditCurve)
 export(CubicInterpolation)
 export(Currency)
 export(CurrencyPair)
@@ -119,6 +169,7 @@ export(NZDUSD)
 export(NZIONA)
 export(SONIA)
 export(SingleCurrencyMoney)
+export(SurvivalProbabilities)
 export(TONAR)
 export(USD)
 export(USDCHF)
@@ -129,8 +180,11 @@ export(USDNOK)
 export(VolQuotes)
 export(VolSurface)
 export(ZeroCurve)
+export(ZeroHazardRate)
 export(as_DiscountFactor)
 export(as_InterestRate)
+export(as_SurvivalProbabilities)
+export(as_ZeroHazardRate)
 export(build_vol_quotes)
 export(build_vol_surface)
 export(build_zero_curve)
@@ -139,9 +193,12 @@ export(interpolate_dfs)
 export(interpolate_fwds)
 export(interpolate_zeros)
 export(invert)
+export(is.CDSCurve)
+export(is.CDSSpec)
 export(is.CashFlow)
 export(is.CashIndex)
 export(is.ConstantInterpolation)
+export(is.CreditCurve)
 export(is.CubicInterpolation)
 export(is.Currency)
 export(is.CurrencyPair)
@@ -155,9 +212,11 @@ export(is.LinearInterpolation)
 export(is.LogDFInterpolation)
 export(is.MultiCurrencyMoney)
 export(is.SingleCurrencyMoney)
+export(is.SurvivalProbabilities)
 export(is.VolQuotes)
 export(is.VolSurface)
 export(is.ZeroCurve)
+export(is.ZeroHazardRate)
 export(is_t1)
 export(iso)
 export(to_forward)

NEWS

@@ -10,7 +10,6 @@ IMPROVED:
 - Rebuilt documentation using newer version of `roxygen2`
 - `ZeroCurve` documentation explicitly describes the various interpolation methods available (#20)
 
-
 # Version 0.3.0
 
 NEW: