Add CairnsPritchard #128
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Add CairnsPritchard #128
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Codecov Report
@@ Coverage Diff @@
## master #128 +/- ##
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- Coverage 88.58% 77.17% -11.41%
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Files 9 10 +1
Lines 543 574 +31
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- Hits 481 443 -38
- Misses 62 131 +69
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Here's a test case: @testset "CairnsPritchard" begin
# used WebPlotDigitizer to sample points from the curve in this PDF
# http://web.math.ku.dk/~rolf/Cairns.PDF
target = [4.106762688183153, 4.264064261935675, 4.403887883049028, 4.550725327846389, 4.739607977033906, 4.925342222661497, 5.017616324256814, 5.01874845567391, 5.009529671277556, 4.990299610492881, 4.85329014461631, 4.732249122822781, 4.625801814105818] ./100
mats = [0.4511004586929275, 0.850176783219295, 1.2049112939094009, 1.6052006163826604, 2.2324553324737497, 3.277385674943506, 5.2141390634757325, 6.605043375908062, 8.136251117530515, 10.225033582072788, 17.61340407657162, 23.191577301663614, 29.55631230653806]
# reference rates from https://www.bankofengland.co.uk/statistics/yield-curves
gilt = [4.38,4.83,5.09,5.21,5.26,5.26,5.24,5.20,5.16,5.11,5.07,5.03,4.98,4.95,4.91,4.88,4.86,4.83,4.82,4.80,4.79,4.78,4.77,4.75,4.74,4.73,4.72,4.70,4.69,4.67,4.66,4.64,4.62,4.61,4.59,4.56,4.54,4.52,4.50,4.47,4.45,4.42,4.40,4.37,4.34,4.31,4.28,4.26,4.23,4.20] ./100
gmats = 0.5:0.5:25
end |
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Closes #127
To-do:
cgiven tends to result in allcparameters being the same value