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Add Monotone Convex #171

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@alecloudenback alecloudenback commented Nov 11, 2023

Todo:

  • Make more FM-like (e.g. create associated types and align with fit method)
    • If just given some quotes, needs some model setup to know how many and what timepoints to fit the model to. Should all models come with a setup(model,quotes) function which returns a model set up to be fit? The default definition being setup(model,quotes) = model to avoid needing to define setup stages for models that don't need it.

The aforementioned approach doesn't seem to have negative performance implications in the default case:

image
  • document
  • move tests to test suite
  • decide which extra methods to support at inception (un-ameliorated, for example)

Based on the paper below

HaganWest Yield Curve Comparison
HaganWest Yield Curve Comparison.pdf

Closes #147

@alecloudenback alecloudenback marked this pull request as draft November 11, 2023 05:23
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codecov bot commented Nov 11, 2023

Codecov Report

Attention: Patch coverage is 0% with 129 lines in your changes missing coverage. Please review.

Project coverage is 63.22%. Comparing base (078e19e) to head (d21bdeb).
Report is 22 commits behind head on master.

Current head d21bdeb differs from pull request most recent head 7b3017c

Please upload reports for the commit 7b3017c to get more accurate results.

Files Patch % Lines
src/model/Yield/MonotoneConvex.jl 0.00% 127 Missing ⚠️
src/fit.jl 0.00% 2 Missing ⚠️

❗ There is a different number of reports uploaded between BASE (078e19e) and HEAD (d21bdeb). Click for more details.

HEAD has 16 uploads less than BASE | Flag | BASE (078e19e) | HEAD (d21bdeb) | |------|------|------| ||18|2|
Additional details and impacted files
@@             Coverage Diff             @@
##           master     #171       +/-   ##
===========================================
- Coverage   87.43%   63.22%   -24.22%     
===========================================
  Files          13       14        +1     
  Lines         366      503      +137     
===========================================
- Hits          320      318        -2     
- Misses         46      185      +139     

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Add Monotone Convex
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