TermStructures.jl

[EricForgy]

Hi @felipenoris 👋

I don't know how I missed it, but I just noticed your TermStructures.jl 😃

I see the description says:

Term Structures of Interest Rates.

@alecloudenback and I were discussing this in the mega issue

#4 (comment)

I don't know if you're actively working on this, but I wonder if we can make this more general than just about "interest rates". There are many other things in finance that could be covered by a generic TermStructures.jl package, for example mortality / morbidity rates, prepayments, defaults, various other insurance related structure related to claims, etc.

Let's try to keep TermStructures.jl very generic. How does that sound? 🙏

[felipenoris]

Hi, @EricForgy ! Yes, I've been a bit busy lately. I can't tell much about this issue, because I don't have experience with mortality rates. If default means a term structure of probability of default, I usually see them in a very different time span, and don't know if it is usual to apply interpolation models on that.

Anyway, I propose to just lay down the code for the term structure of interest rates. And then someone with experience on other things might come up and contribute with other kinds of term structures.

[alecloudenback]

I commented more over in the mega issue #4 (comment), but I think there's definitely a place for interest-rate workings, as each type of 'decrement' has specific maths that are applicable to that domain. For example, interest rates have interpolation and extrapolation, mortality decrements can have single vs joint, etc.

I think perhaps similar to what the group is trying to do with currencies, etc should also apply here - we could come up with an underlying interface and then work on integrating or adapting solid projects like InterestRates.jl[1] into that framework.

[1] is InterestRates.jl what you originally meant, @EricForgy? I don't see TermStructures.jl

[EricForgy]

Hi @alecloudenback 👋

I agree. Some bikeshedding around term structures / decrements makes sense to me.

[1] is InterestRates.jl what you originally meant, @EricForgy? I don't see TermStructures.jl

I was referring to this stub: https://github.com/JuliaFinance/TermStructures.jl

By the way, "Term Structure of Interest Rates" is a long way to say "Yield Curves", so we might have a basic TermStructures.jl package with things like

• Interpolated / extrapolated term structures
• Parametric term structures

and then other packages like YieldCurves.jl, SurvivalRates.jl, CreditSpreads.jl sitting on top of that.

Then we should think about "spreads", i.e. there could be some baseline term structure together with other terms structures sitting on top of that, e.g. credit spreads, survival rates, etc.

Term structures can probably have some algrebra, etc.