Futures, Inflation, Credit

Futures Term Structure

DiffFusion.FuturesTermstructure — Type

abstract type FuturesTermstructure <: Termstructure end

An abstract futures term structure that provides methods to calculate prices of futures. Such prices represent risk-neutral expectations of spot prices.

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Call operator for FuturesTermstructure is defined as

(ts::FuturesTermstructure)(args...) = future_price(ts, args...)

DiffFusion.future_price — Method

future_price(ts::FuturesTermstructure, t::ModelTime)

Return the price of a future with settlement time t.

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Inflation Term Structure

DiffFusion.InflationTermstructure — Type

abstract type InflationTermstructure <: Termstructure end

An abstract inflation term structure that provides methods to calculate forward inflation index. Forward inflation index is a T-forward measure expectation of (spot) inflation index values.

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Call operator for InflationTermstructure is defined as

(ts::InflationTermstructure)(args...) = inflation_index(ts, args...)

DiffFusion.inflation_index — Method

inflation_index(ts::InflationTermstructure, t::ModelTime)

Return the forward inflation index with observation time t.

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Credit Default Term Structures

DiffFusion.CreditDefaultTermstructure — Type

abstract type CreditDefaultTermstructure <: Termstructure end

An abstract credit default term structure that provides methods to calculate survival probabilities.

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DiffFusion.FlatSpreadCurve — Type

struct FlatSpreadCurve <: CreditDefaultTermstructure
    alias::String
    spread::ModelValue
end

A flat credit spread curve.

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DiffFusion.flat_spread_curve — Function

flat_spread_curve(alias::String, spread::ModelValue)

Create a FlatSpreadCurve.

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flat_spread_curve(spread::ModelValue)

Create a FlatSpreadCurve without alias.

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DiffFusion.LogSurvivalCurve — Type

struct LogSurvivalCurve <: CreditDefaultTermstructure
    alias::String
    times::AbstractVector
    values::AbstractVector
end

Log-interpolated survival probabilities.

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DiffFusion.survival_curve — Function

survival_curve(
    alias::String,
    times::AbstractVector,
    survival_probs::AbstractVector,
    interp_method = (x,y) -> linear_interpolation(x, y, extrapolation_bc = Line()),
    )

Create a LogSurvivalCurve.

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survival_curve(
    alias::String,
    times::AbstractVector,
    survival_probs::AbstractVector,
    method_alias::String,
    )

Create a LogSurvivalCurve for pre-defined interpolation methods.

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Call operator for CreditDefaultTermstructure is defined as

(ts::CreditDefaultTermstructure)(args...) = survival(ts, args...)

DiffFusion.survival — Function

survival(ts::CreditDefaultTermstructure, t::ModelTime)

Return the survival probability with observation time t.

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survival(ts::FlatSpreadCurve, t::ModelTime)

Calculate survival probability.

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survival(ts::LogSurvivalCurve, t::ModelTime)

Calculate survival probability.

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