Add functions for Year-on-Year coupons with convexity adjustments #69
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- log_asset_convexity_adjustment model functions - asset_convexity_adjustment path function - index_convexity_adjustment path function - AssetConvexityAdjustment payoff - IndexConvexityAdjustment payoff - ForwardIndex, FutureIndex payoff - RelativeReturnCoupon cash flow - RelativeReturnIndexCoupon cash flow
Codecov ReportAll modified and coverable lines are covered by tests ✅
Additional details and impacted files@@ Coverage Diff @@
## main #69 +/- ##
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+ Coverage 98.19% 98.23% +0.04%
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Files 66 69 +3
Lines 3430 3569 +139
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+ Hits 3368 3506 +138
- Misses 62 63 +1 ☔ View full report in Codecov by Sentry. |
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This PR adds methods for simulating YoY coupons with resulting convexity adjustments.
Primary use case are inflation-linked products. Methodology can also be applied to FX- or equity-linked products.