Risk Measure Revamp (#107)

* WIP Risk Measure Revamp

* WIP Risk Measure revamp, tests passing

* move to FinancialMath module

* move utilities to submodule

* add Distributions to docs

.gitignore

@@ -21,6 +21,6 @@ docs/site/
 # It records a fixed state of all packages used by the project. As such, it should not be
 # committed for packages, but should be committed for applications that require a static
 # environment.
-*Manifest.toml
+Manifest.toml
 
 settings.json

Project.toml

@@ -9,18 +9,16 @@ Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
 FinanceCore = "b9b1ffdd-6612-4b69-8227-7663be06e089"
 FinanceModels = "77f2ae65-bdde-421f-ae9d-22f1af19dd76"
 ForwardDiff = "f6369f11-7733-5829-9624-2563aa707210"
-MuladdMacro = "46d2c3a1-f734-5fdb-9937-b9b9aeba4221"
 PrecompileTools = "aea7be01-6a6a-4083-8856-8a6e6704d82a"
 QuadGK = "1fd47b50-473d-5c70-9696-f719f8f3bcdc"
 Reexport = "189a3867-3050-52da-a836-e630ba90ab69"
 StatsBase = "2913bbd2-ae8a-5f71-8c99-4fb6c76f3a91"
 
 [compat]
-Distributions = "0.24,0.25"
+Distributions = "0.25"
 FinanceCore = "^2"
 FinanceModels = "^4"
 ForwardDiff = "^0.10"
-MuladdMacro = "^0.2"
 PrecompileTools = "^1"
 QuadGK = "^2"
 Reexport = "^1.2"

README.md

@@ -35,21 +35,20 @@ A collection of common functions/manipulations used in Actuarial Calculations.
 - `accum_offset` to calculate accumulations like survivorship from a mortality vector
 - `spread` will calculate the spread needed between two yield curves to equate a set of cashflows
 
-### Options Pricing
-- `eurocall` and `europut` for Black-Scholes option prices (note: API may change for this in future)
-
 ### Risk Measures
 
 - Calculate risk measures for a given vector of risks:
-  - `CTE` for the Conditional Tail Expectation, or
-  - `VaR` for the percentile/Value at Risk.
+  - `CTE` for the Conditional Tail Expectation
+  - `VaR` for the percentile/Value at Risk
+  - `WangTransform` for the Wang Transformation
+  - `ProportionalHazard` for proportional hazards
+  - `DualPower` for dual power measure
 
 ### Insurance mechanics
 
 - `duration`:
   - Calculate the duration given an issue date and date (a.k.a. policy duration)
 
-
 ### Typed Rates
 
 - functions which return a rate/yield will return a `FinanceCore.Rate` object. E.g. `irr(cashflows)` will return a `Rate(0.05,Periodic(1))` instead of just a `0.05` (`float64`) to convey the compounding frequency. This is compatible across the JuliaActuary ecosystem and can be used anywhere you would otherwise use a simple floating point rate.