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Update documentation #75

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Update documentation
  - Vanilla options
  - YoY convexity adjustment
  - Add first_time in FixedRateCoupon
FrameConsult committed Mar 30, 2024
commit 4157f0f5784caef31dd7a0e83f805683d8a0aa16
30 changes: 30 additions & 0 deletions docs/src/payoffs/payoffs.md
Original file line number Diff line number Diff line change
@@ -44,6 +44,22 @@ DiffFusion.Asset
DiffFusion.ForwardAsset
```

```@docs
DiffFusion.AssetConvexityAdjustment
```

```@docs
DiffFusion.ForwardIndex
```

```@docs
DiffFusion.IndexConvexityAdjustment
```

```@docs
DiffFusion.FutureIndex
```

```@docs
DiffFusion.Fixing
```
@@ -62,6 +78,14 @@ DiffFusion.ScalarValue
DiffFusion.UnaryNode
```

```@docs
DiffFusion.Exp
```

```@docs
DiffFusion.Log
```

```@docs
DiffFusion.Pay
```
@@ -166,6 +190,12 @@ DiffFusion.Swaption(
```


## Asset Option Payoffs

```@docs
DiffFusion.VanillaAssetOption
```


## American Monte Carlo Payoffs

13 changes: 13 additions & 0 deletions docs/src/products/products.md
Original file line number Diff line number Diff line change
@@ -57,6 +57,19 @@ DiffFusion.OptionletCoupon(
)
```

```@docs
DiffFusion.RelativeReturnCoupon
```

```@docs
DiffFusion.RelativeReturnIndexCoupon
```

```@docs
DiffFusion.VanillaAssetOptionFlow
```


## Cash Flow and Coupon Methods

```@docs
1 change: 1 addition & 0 deletions src/products/RatesCoupons.jl
Original file line number Diff line number Diff line change
@@ -4,6 +4,7 @@
pay_time::ModelTime
fixed_rate::ModelValue
year_fraction::ModelValue
first_time::Union{ModelTime,Nothing}
end
A fixed rate coupon.