Version 0.3.0

NEW:

• interpolate_dfs(), interpolate_fwds() and interpolate_zeros() build on the lower level interpolate() for ZeroCurve objects.
• SingleCurrencyMoney() and MultiCurrencyMoney() allows you to create single and multi-currency money objects that are not date dependent
• CashFlow() allows you to create date dependent cash flows
• Added a vignette to describe # objects introduced in v0.2 and in this version.

FIXED:

• pfc_calendar field of IborIndex and CashIndex fields must now inherit from Calendar (#8). CashIndex and IborIndex constructors now support this.
• The names of key indices are no longer prefixed by the associated currency ISO.

REMOVED:

• fmdata_example() as only one data file is likely to be used in this package and this is to be used internally for the purposes of build_zero_curve()

Version 0.2.0

Implement ZeroCurve and associated interpolation schemes and methods (#1)

• ZeroCurve() allows you to create zero curve objects from a set of discount factors and specifying the interpolation scheme to be used
• Implement a set of lightweight interpolation schemes including ConstantInterpolation(), LinearInterpolation(), LogDFInterpolation() and CubicInterpolation(). Their behaviour is determined by the object in which they are stored
• Implement a set of interpolation checkers is.[X]Interpolation()
• Provide convenience functions that source example market data and allows you to build a zero curve from one such data set (fmdata_example() and build_zero_curve() respectively).

Version 0.1.0-99

Fix title of one of the vignettes

Version 0.1.0

• Initial version
• Exposes basic financial market building blocks as classes. These include currencies, currency pairs, indices, interest rates and discount factors.
• Implements methods to create key instances of currency, currency pairs and indices for major markets.