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.