Yields.jl Smith-Wilson Grading example (Solvency II)

smith-wilson-grading.jl

using Yields, Plots
yields = [0.02,0.023,0.026,0.029,0.035]
maturities = [1,2,3,7,15]
price = [1,1,1,1,1]
payments = 1
observable_prices = Yields.BulletBondQuotes(yields,maturities,price,payments)
grading_speed = 0.01:0.01:0.25 
ultimate_forward = 0.02
curves = [Yields.SmithWilson(observable_prices,ufr=ultimate_forward,α=g) for g in grading_speed ]
times = 0.5:0.5:30
zeros = [zero(curve,time) for time in times, curve in curves ]
plot(times,
     rate.(zeros),
     label="",
     ylabel = "zero rate", 
     xlabel="time",
     palette=palette(:dense,length(grading_speed)),
     grid=false,
     title="Solvency II Yield Curves \nwith different grading speeds \n (dummy data)"
    )