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add Cashflows datastructure #95

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add Cashflows datastructure #95

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alecloudenback
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@alecloudenback alecloudenback commented Jan 1, 2023

New branch due to changes to master, replaces #77

  • Tests
  • Other methods
    • duration
    • convexity
    • spread
    • others?
  • How to handle/dispatch on vector/StructArray of cashflows
  • may need to upstream to FinanceCore to support IRR
  • Confirm little to none performance penalty

Followups:

  • there are functions like IRR which will work on vectors of Cashflow but not on generators returning cashflows. This was simple enough to work around with, e.g. present_value but there are other cases like IRR which don't dispatch on the value of an iterable because they need to know the information of the entire iterable. Is there a way to generalize the dispatch?
  • minor breaking change that I didn't realize was an option was to specify a vector of discount rates as the first positional argument. This should be removed Cashflows or not and point users to Yields.jl

@alecloudenback alecloudenback marked this pull request as draft January 1, 2023 06:15
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implemented in FinanceCore/FinanceModels

@alecloudenback alecloudenback deleted the cashflows2 branch April 18, 2024 04:15
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