Now by default df and zero rate accept ticks.

Author: aleCombi

src/greeks/greeks_problem.jl

@@ -134,7 +134,7 @@ function solve(gprob::GreekProblem, ::AnalyticGreek, ::BlackScholesAnalytic)
     T = yearfrac(prob.market.referenceDate, prob.payoff.expiry)
     K = prob.payoff.strike
 
-    D = df_ticks(prob.market.rate, T)
+    D = df(prob.market.rate, T)
     F = prob.market.spot / D
     √T = sqrt(T)
     d1 = (log(F / K) + 0.5 * σ^2 * T) / (σ * √T)
@@ -173,7 +173,7 @@ function solve(
     T = yearfrac(inputs.referenceDate, prob.payoff.expiry)
     K = prob.payoff.strike
 
-    D = df_ticks(inputs.rate, T)
+    D = df(inputs.rate, prob.payoff.expiry)
     F = S / D
     √T = sqrt(T)
     d1 = (log(F / K) + 0.5 * σ^2 * T) / (σ * √T)

src/market_inputs/market_inputs.jl

@@ -40,7 +40,7 @@ BlackScholesInputs(
     rate::Real,
     spot,
     sigma
-) = BlackScholesInputs(reference_date, FlatRateCurve(rate), spot, sigma)
+) = BlackScholesInputs(reference_date, FlatRateCurve(rate; reference_date=reference_date), spot, sigma)
 
 # in distribution.jl t is Real, hence we need to redefine it.
 """

src/market_inputs/rate_curve.jl

@@ -41,19 +41,19 @@ end
 
 # -- Accessors --
 # Accepts ticks (ms since epoch)
-df_ticks(curve::RateCurve, ticks::Real) =
-    exp(-zero_rate_ticks(curve, ticks) * yearfrac(curve.reference_date, ticks))
+df(curve::RateCurve, ticks::Real) =
+    exp(-zero_rate(curve, ticks) * yearfrac(curve.reference_date, ticks))
 
 # Accepts Date, routes to tick-based version
 df(curve::RateCurve, t::Date) =
-    df_ticks(curve, to_ticks(t))
+    df(curve, to_ticks(t))
 
 # Accepts ticks (ms since epoch)
-zero_rate_ticks(curve::RateCurve, ticks::Real) =
+zero_rate(curve::RateCurve, ticks::Real) =
     curve.interpolator(yearfrac(curve.reference_date, ticks))
 
 # Accepts daycounts (already in year fractions)
-zero_rate(curve::RateCurve, t::Date) = zero_rate_ticks(curve, to_ticks(t))
+zero_rate(curve::RateCurve, t::Date) = zero_rate(curve, to_ticks(t))
 
 # -- Forward rate between two times --
 function forward_rate(curve::RateCurve, t1::Real, t2::Real)

src/pricing_methods/black_scholes.jl

@@ -38,7 +38,7 @@ function solve(
     σ = prob.market.sigma
     cp = prob.payoff.call_put()
     T = yearfrac(prob.market.referenceDate, prob.payoff.expiry)
-    D = df_ticks(prob.market.rate, T)
+    D = df(prob.market.rate, prob.payoff.expiry)
     F = prob.market.spot / D
     price = if σ == 0
         D * prob.payoff(F)