added possibility to specify an offset for curve construction from tenor

Project.toml

@@ -1,7 +1,7 @@
 name = "Curves"
 uuid = "9bed79ab-e35b-4b7a-8527-918872a9571e"
 authors = ["Benjamin Lungwitz <[email protected]>"]
-version = "0.2.4"
+version = "0.2.5"
 
 [deps]
 Interpolations = "a98d9a8b-a2ab-59e6-89dd-64a1c18fca59"

src/Curves.jl

@@ -117,11 +117,15 @@ Construct Curve objects from an array of tenor strings as x-axis.
 Curve(x:: AbstractVector{<: AbstractString}, y:: AbstractVector; kwargs...) = Curve(Tenor.(x), y; kwargs...)
 
 """
-    Curve(x:: AbstractVector{Tenor}, y:: AbstractVector; kwargs...)
+    Curve(x:: AbstractVector{Tenor}, y:: AbstractVector; offset:: Real = 0, kwargs...)
 
 Construct Curve objects from an array of Tenor objects strings as x-axis.
+
+With the `offset` keyword argument the points on the x-axis, defined by the given tenors, can be shifted.
+This could be e.g. used to take a spot lag of financial instruments into account.
+Note that the shift is always in calendar days, a spot lag given in business days must be converted to calendar days beforehand.
 """
-Curve(x:: AbstractVector{Tenor}, y:: AbstractVector; kwargs...) = Curve(get_days.(x), y; kwargs...)
+Curve(x:: AbstractVector{Tenor}, y:: AbstractVector; offset:: Real = 0, kwargs...) = Curve(get_days.(x) .+ offset, y; kwargs...)
 
 Curve(x:: Real, y:: Real; kwargs...) = Curve([x], [y]; kwargs...)
 Curve(x:: Tenor, y:: Real; kwargs...) = Curve([get_days(x)], [y]; kwargs...)

test/test_tenors.jl

@@ -37,6 +37,10 @@ ct2 = Curve(collect(t), [0.5, 0.7, 0.75, 0.83])
 @test t"1W" == Tenor(Curves.TWeeks, 1)
 @test_throws KeyError t"1X"
 
+ct3 = Curve(["1D", "3W", "1M", "10y"], [0.5, 0.7, 0.75, 0.83], offset=2)
+ct4 = Curve(collect(t), [0.5, 0.7, 0.75, 0.83], offset=2)
+@test ct3 == ct4 == Curve([1+2, 21+2, 30+2, 3650+2], [0.5, 0.7, 0.75, 0.83])
+
 # test pretty printing
 io = IOBuffer(append=true)
 print(io, t"1W")