Core API Revisions

[alecloudenback]

value

Instead of present_value, the core function would be value which would have an inner call for all contracts to push the model through the contract to handle any dependencies, e.g. something like:

function value(model,contract) 
	contract(econ)
        ...
end

This would allow for more natural handling of contracts which depend on the economic conditions. Further, if the model is, e.g. stochastic, adding a method for value for the associated model would allow for the logic to synthesize into a scalar value.

project

project would create a scenario-dependent path for the given contract and model.

Sensitivity Analysis

How to better expose sensitivity analysis with this? duration is currently solely focused on a scalar discount rate or a single curve, but not if the economic parameters are a basket of curves. Is there some way to use accessors to tell a sensitivity function which parameter to sensitize, with yields just being a special case?

Proof of concept: