From 4157f0f5784caef31dd7a0e83f805683d8a0aa16 Mon Sep 17 00:00:00 2001 From: Sebastian Schlenkrich Date: Sat, 30 Mar 2024 10:53:24 +0100 Subject: [PATCH] Update documentation - Vanilla options - YoY convexity adjustment - Add first_time in FixedRateCoupon --- docs/src/payoffs/payoffs.md | 30 ++++++++++++++++++++++++++++++ docs/src/products/products.md | 13 +++++++++++++ src/products/RatesCoupons.jl | 1 + 3 files changed, 44 insertions(+) diff --git a/docs/src/payoffs/payoffs.md b/docs/src/payoffs/payoffs.md index 3b478da8..18a9b9e9 100644 --- a/docs/src/payoffs/payoffs.md +++ b/docs/src/payoffs/payoffs.md @@ -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 diff --git a/docs/src/products/products.md b/docs/src/products/products.md index 29afe82e..2e485c3f 100644 --- a/docs/src/products/products.md +++ b/docs/src/products/products.md @@ -57,6 +57,19 @@ DiffFusion.OptionletCoupon( ) ``` +```@docs +DiffFusion.RelativeReturnCoupon +``` + +```@docs +DiffFusion.RelativeReturnIndexCoupon +``` + +```@docs +DiffFusion.VanillaAssetOptionFlow +``` + + ## Cash Flow and Coupon Methods ```@docs diff --git a/src/products/RatesCoupons.jl b/src/products/RatesCoupons.jl index 9c408bb9..79f99b6a 100644 --- a/src/products/RatesCoupons.jl +++ b/src/products/RatesCoupons.jl @@ -4,6 +4,7 @@ pay_time::ModelTime fixed_rate::ModelValue year_fraction::ModelValue + first_time::Union{ModelTime,Nothing} end A fixed rate coupon.