Update for Julia 1.0

README.md

@@ -6,13 +6,13 @@ For example:
 
 ```julia
 # Load packages
-using Dates, FinancialMarkets
-# Create US Dollar object
-USD = USD()
+ using Dates, FinancialMarkets
+
 # Create 3m USD LIBOR
-depo = Deposit(USD, Month(3), 0.05)
-# Price depo at trade date
-price(depo)
+depo = Deposit(USD(), Month(3), 0.05)
+
+# Price depo at trade date with default par of 1e6 
+price(depo) # returns 987518.8588670965
 ```
 ## Features
 

src/FinancialMarkets.jl

@@ -1,10 +1,5 @@
 module FinancialMarkets
 
-if VERSION < v"0.4-"
-    using Dates
-else
-    using Base.Dates
-end
 import DataFrames.DataFrame
 
 export

src/businessdayconventions.jl

@@ -1,49 +1,50 @@
+import Dates: adjust
 #####
 # Types
 #####
 
 
-abstract BusinessDayConvention
+abstract type BusinessDayConvention end
 
 # Sources:
 # 1. ISDA 2006 definitions
 # 2. Opengamma: Interest rate instruments and market conventions guide
 
-immutable Unadjusted <: BusinessDayConvention end
-immutable Preceding <: BusinessDayConvention end
-immutable ModifiedPreceding <: BusinessDayConvention end
-immutable Following <: BusinessDayConvention end
-immutable ModifiedFollowing <: BusinessDayConvention end
-immutable Succeeding <: BusinessDayConvention end
+struct Unadjusted <: BusinessDayConvention end
+struct Preceding <: BusinessDayConvention end
+struct ModifiedPreceding <: BusinessDayConvention end
+struct Following <: BusinessDayConvention end
+struct ModifiedFollowing <: BusinessDayConvention end
+struct Succeeding <: BusinessDayConvention end
 
 #####
 # Methods
 #####
 
-adjust(dt::TimeType, bdc::Unadjusted, c::FinCalendar = NoFCalendar()) = dt
-function adjust(dt::TimeType, bdc::Preceding, c::FinCalendar = NoFCalendar())
+Dates.adjust(dt::TimeType, bdc::Unadjusted, c::FinCalendar = NoFCalendar()) = dt
+function Dates.adjust(dt::TimeType, bdc::Preceding, c::FinCalendar = NoFCalendar())
     while !isgood(dt, c)
         dt -= Day(1)
     end
     return dt
 end
-function adjust(dt::TimeType, bdc::Following, c::FinCalendar = NoFCalendar())
+function Dates.adjust(dt::TimeType, bdc::Following, c::FinCalendar = NoFCalendar())
     while !isgood(dt, c)
         dt += Day(1)
     end
     return dt
 end
-function adjust(dt::TimeType, bdc::ModifiedPreceding,
+function Dates.adjust(dt::TimeType, bdc::ModifiedPreceding,
     c::FinCalendar = NoFCalendar())
     pre_dt = adjust(dt, Preceding(), c)
     month(dt) != month(pre_dt) ? adjust(dt, Following(), c) : pre_dt
 end
-function adjust(dt::TimeType, bdc::ModifiedFollowing,
+function Dates.adjust(dt::TimeType, bdc::ModifiedFollowing,
     c::FinCalendar = NoFCalendar())
     follow_dt = adjust(dt, Following(), c)
     month(dt) != month(follow_dt) ? adjust(dt, Preceding(), c) : follow_dt
 end
-function adjust(dt::TimeType, bdc::Succeeding, c::FinCalendar = NoFCalendar())
+function Dates.adjust(dt::TimeType, bdc::Succeeding, c::FinCalendar = NoFCalendar())
     follow_dt = adjust(dt, Following(), c)
     is_barrier_crossed = (month(follow_dt) != month(dt) ||
         day(dt) ≤ 15 && day(follow_dt) > 15)

src/calendars.jl

@@ -2,23 +2,23 @@
 # Type declarations
 #####
 
-abstract FinCalendar
-abstract SingleFCalendar <: FinCalendar
-immutable JointFCalendar <: FinCalendar
+abstract type FinCalendar end
+abstract type SingleFCalendar <: FinCalendar end
+struct JointFCalendar <: FinCalendar
     calendars::Vector{SingleFCalendar}
     onbad::Bool
 end
-immutable NoFCalendar <: SingleFCalendar end
+struct NoFCalendar <: SingleFCalendar end
 
 
 #####
 # Methods
 #####
 
 JointFCalendar(c::SingleFCalendar...) = JointFCalendar([ ci for ci in c ], true)
-+(c1::SingleFCalendar, c2::SingleFCalendar) = JointFCalendar([c1, c2], true)
-*(c1::SingleFCalendar, c2::SingleFCalendar) = JointFCalendar([c1, c2], false)
-+(jc::JointFCalendar, c::SingleFCalendar) = JointFCalendar([jc.calendars, c],
+Base.:+(c1::SingleFCalendar, c2::SingleFCalendar) = JointFCalendar([c1, c2], true)
+Base.:*(c1::SingleFCalendar, c2::SingleFCalendar) = JointFCalendar([c1, c2], false)
+Base.:+(jc::JointFCalendar, c::SingleFCalendar) = JointFCalendar([jc.calendars, c],
     jc.onbad)
 Base.convert(::Type{JointFCalendar}, c::SingleFCalendar) = JointFCalendar(c)
 

src/calendars/calendars_au.jl

@@ -2,7 +2,7 @@
 # Type declarations
 #####
 
-abstract AUFCalendar <: SingleFCalendar
+abstract type AUFCalendar <: SingleFCalendar end
 
 #####
 # Methods

src/calendars/calendars_aume.jl

@@ -2,7 +2,7 @@
 # Type declarations
 #####
 
-immutable AUMEFCalendar <: AUFCalendar end
+struct AUMEFCalendar <: AUFCalendar end
 
 #####
 # Methods

src/calendars/calendars_ausy.jl

@@ -2,7 +2,7 @@
 # Type declarations
 #####
 
-immutable AUSYFCalendar <: AUFCalendar end
+struct AUSYFCalendar <: AUFCalendar end
 
 #####
 # Methods

src/calendars/calendars_euta.jl

@@ -2,9 +2,9 @@
 # Type declarations
 #####
 
-abstract EUFCalendar <: SingleFCalendar
-immutable EUTAFCalendar <: EUFCalendar end
-immutable EULIBORFCalendar <: EUFCalendar end
+abstract type EUFCalendar <: SingleFCalendar end
+struct EUTAFCalendar <: EUFCalendar end
+struct EULIBORFCalendar <: EUFCalendar end
 
 #####
 # Methods

src/calendars/calendars_gb.jl

@@ -2,8 +2,8 @@
 # Type declarations
 #####
 
-abstract GBFCalendar <: SingleFCalendar
-immutable GBLOFCalendar <: GBFCalendar end
+abstract type GBFCalendar <: SingleFCalendar end
+struct GBLOFCalendar <: GBFCalendar end
 
 #####
 # Methods

src/calendars/calendars_jp.jl

@@ -3,8 +3,8 @@
 #####
 
 
-abstract JPFCalendar <: SingleFCalendar
-immutable JPTOFCalendar <: JPFCalendar end
+abstract type JPFCalendar <: SingleFCalendar end
+struct JPTOFCalendar <: JPFCalendar end
 
 #####
 # Methods

src/calendars/calendars_nz.jl

@@ -2,7 +2,7 @@
 # Type declarations
 #####
 
-abstract NZFCalendar <: SingleFCalendar
+abstract type NZFCalendar <: SingleFCalendar end
 
 #####
 # Methods

src/calendars/calendars_nzau.jl

@@ -2,7 +2,7 @@
 # Type declarations
 #####
 
-immutable NZAUFCalendar <: NZFCalendar end
+struct NZAUFCalendar <: NZFCalendar end
 
 #####
 # Methods

src/calendars/calendars_nzwe.jl

@@ -2,7 +2,7 @@
 # Type declarations
 #####
 
-immutable NZWEFCalendar <: NZFCalendar end
+struct NZWEFCalendar <: NZFCalendar end
 
 #####
 # Methods

src/calendars/calendars_us.jl

@@ -2,9 +2,9 @@
 # Type declarations
 #####
 
-abstract USFCalendar <: SingleFCalendar
-immutable USNYFCalendar <: USFCalendar end
-immutable USLIBORFCalendar <: USFCalendar end
+abstract type USFCalendar <: SingleFCalendar end
+struct USNYFCalendar <: USFCalendar end
+struct USLIBORFCalendar <: USFCalendar end
 
 #####
 # Methods

src/calendars/epochs.jl

@@ -51,7 +51,9 @@ function seasonstart(y::Integer, m::Integer)
     y = (y - 2000) / 1000
     k = SEASON[m]
     jde0 = 0
-    for i in 1:length(k) jde0 += y ^ (i - 1) * k[i] end
+    for i in 1:length(k)
+        jde0 += (y ^ (i - 1) * k[i])[1]
+    end
     # Calculate corrections
     tt = (jde0 - 2451545) / 36525
     w = 35999.373tt - 2.47

src/cashflow.jl

@@ -2,7 +2,7 @@
 # Types
 ####
 
-type CashFlow
+struct CashFlow
     currency::Vector{Currency}
     date::Vector{TimeType}
     amount::Vector{Real}
@@ -17,8 +17,7 @@ end
 
 CashFlow(currency::Currency, date::TimeType, amount::Real) = (
     CashFlow([currency], [date], [amount]))
-function CashFlow{C<:Currency, T<:TimeType, R<:Real}(currency::Vector{C},
-    date::Vector{T}, amount::Vector{R})
+function CashFlow(currency::Vector{C}, date::Vector{T}, amount::Vector{R}) where {C<:Currency, T<:TimeType, R<:Real}
     currency = Currency[ccy for ccy in currency]
     date = TimeType[dt for dt in date]
     amount = Real[amt for amt in amount]

src/constants.jl

@@ -1,5 +1,7 @@
+using Dates
+
 # Session variables
-const EVAL_DATE = today()
+const EVAL_DATE = Dates.today()
 
 # Seasonal constants to determine start of seasons (more precisely, equinoxes
 # ands solstices)
@@ -8,8 +10,8 @@ const SEASON_MAR = [2451623.80984, 365242.37404, 0.05169, -0.00411, -0.00057]
 const SEASON_JUN = [2451716.56767, 365241.62603, 0.00325, 0.00888, -0.00030]
 const SEASON_SEP = [2451810.21715, 365242.01767, -0.11575,  0.00337,  0.00078]
 const SEASON_DEC = [2451900.05952, 365242.74049, 0.06223, 0.00823, 0.00032]
-const SEASON = [Mar => SEASON_MAR, Jun => SEASON_JUN, Sep => SEASON_SEP,
-    Dec => SEASON_DEC]
+const SEASON = Dict(Mar => SEASON_MAR, Jun => SEASON_JUN, Sep => SEASON_SEP,
+    Dec => SEASON_DEC)
 const SEASON_A = [485, 203, 199, 182, 156, 136, 77, 74, 70, 58, 52, 50, 45, 44,
     29, 18, 17, 16, 14, 12, 12, 12, 9, 8]
 const SEASON_B = [324.96, 337.23, 342.08, 27.85, 73.14, 171.52, 222.54, 296.72,
@@ -24,7 +26,7 @@ const SEASON_C = [1934.136, 32964.467, 20.186, 445267.112, 45036.886, 22518.443,
 (const Simply, Annually, SemiAnnually, TriAnnually, Quarterly, BiMonthly,
     Monthly, Fortnightly, Weekly, Daily, Continuously =
     0, 1, 2, 3, 4, 6, 12, 24, 52, 365, 1000)
-const COMPOUNDINGS = [0 => "simply", 1 => "annually", 2 => "semi-annually",
+const COMPOUNDINGS = Dict(0 => "simply", 1 => "annually", 2 => "semi-annually",
     3 => "tri-annually", 4 => "quarterly", 6 => "bi-monthly", 12 => "monthly",
-    24 => "fornightly", 52 => "weekly", 365 => "daily", 1000 => "continuously"]
+    24 => "fornightly", 52 => "weekly", 365 => "daily", 1000 => "continuously")
 

src/currencies.jl

@@ -2,37 +2,37 @@
 # Types
 ####
 
-abstract Currency
+abstract type Currency end
 
 # Sources:
 # 1. ISDA 2006 definitions
 # 2. Opengamma: Interest rate instruments and market conventions guide
 
-immutable AUD <: Currency
+struct AUD <: Currency
     calendar::JointFCalendar
     AUD(calendar::AUSYFCalendar) = new(calendar)
 end
 AUD() = AUD(AUSYFCalendar())
 
-immutable EUR <: Currency
+struct EUR <: Currency
     calendar::JointFCalendar
     EUR(calendar::EUTAFCalendar) = new(calendar)
 end
 EUR() = EUR(EUTAFCalendar())
 
-immutable GBP <: Currency
+struct GBP <: Currency
     calendar::JointFCalendar
     GBP(calendar::GBLOFCalendar) = new(calendar)
 end
 GBP() = GBP(GBLOFCalendar())
 
-immutable JPY <: Currency
+struct JPY <: Currency
     calendar::JointFCalendar
     JPY(calendar::JPTOFCalendar) = new(calendar)
 end
 JPY() = JPY(JPTOFCalendar())
 
-immutable NZD <: Currency
+struct NZD <: Currency
     calendar::JointFCalendar
     function NZD(calendar::JointFCalendar)
         cals = [NZAUFCalendar(), NZWEFCalendar()]
@@ -43,7 +43,7 @@ immutable NZD <: Currency
 end
 NZD() = NZD(+(NZAUFCalendar(), NZWEFCalendar()))
 
-immutable USD <: Currency
+struct USD <: Currency
     calendar::JointFCalendar
     USD(calendar::USNYFCalendar) = new(calendar)
 end
@@ -52,14 +52,13 @@ USD() = USD(USNYFCalendar())
 # Source:
 # 2. Opengamma: Interest rate instruments and market conventions guide
 
-const CCY_STRENGTH = [EUR => 1,  GBP => 2, AUD => 3, NZD => 4, USD => 5,
-    JPY => 6]
+const CCY_STRENGTH = Dict(EUR => 1,  GBP => 2, AUD => 3, NZD => 4, USD => 5,
+    JPY => 6)
 
 Base.isless(x::Currency, y::Currency) = (CCY_STRENGTH[typeof(x)] >
     CCY_STRENGTH[typeof(y)])
 
-=={T<:Currency}(ccy1::T, ccy2::T) = true
+==(ccy1::T, ccy2::T) where {T<:Currency} = true
 ==(ccy1::Currency, ccy2::Currency) = false
 Base.string(ccy::Currency) = string(typeof(ccy))
 Base.show(io::IO, ccy::Currency) = print(io, string(ccy))
-@vectorize_1arg Currency Base.string