autograd with scenario dependent cashflows

autograd.jl

    ### A Pluto.jl notebook ###
# v0.20.4

using Markdown
using InteractiveUtils

# ╔═╡ 93ebaa22-e762-11ef-066b-d73eee15ef42
begin
	using Accessors
	using AccessorsExtra
	using DifferentiationInterface
end

# ╔═╡ bd3a4aad-a6d5-434e-973e-017f6fdc13de
using FinanceCore

# ╔═╡ 9597e871-70fc-434e-bb31-72e666fefe84
import Enzyme

# ╔═╡ 32206da1-e3de-40b5-85f2-796f912b1f33


# ╔═╡ b9737e74-ad9a-4050-ba29-041524515934
struct Scenario{T<:Rate}
	rate::T
end

# ╔═╡ e76faea2-df2c-44ee-be0c-3781d0caf648
u = Scenario(Continuous(0.05))

# ╔═╡ fea3cec1-d225-4947-94df-e1a61e3798e9
struct Liability{T<:Rate}
	credit_rate::T
end

# ╔═╡ 27af473c-f66f-41d8-9907-001e9de8547b
b = Liability(Continuous(0.04))

# ╔═╡ 533bb5bb-f827-4898-876f-9fdbce83b64b
function project(b::Liability,u::Scenario) 
	# emulate a projection
	d = rate(u.rate)-rate(b.credit_rate)
	[Cashflow(1/(1+exp(-d)),1)]
end

# ╔═╡ 0a31449b-f854-421f-a13e-ed892692acd3
function value(u::Scenario,b::Liability)
	cfs = project(b,u)
	mapreduce(+,cfs) do cf
		exp(-rate(u.rate) * cf.time) * cf.amount
	end
end

# ╔═╡ 7a5ec046-8ad8-4aaa-8ebd-46fa65e9439a
value(u,b)

# ╔═╡ 89e41b8f-8ff6-49f5-a08e-f80c33f6dbad
g = gradient(u-> value(u,b), AutoEnzyme(), u)

# ╔═╡ bd97b052-1b3e-45fc-a39b-94eff70d4771
md"It's okay that the gradient returns a `Rate`: this can be interpreted naturally as a way to adjust the price via $$\text{exp}(g * ∇\text{rate})$$"

# ╔═╡ ebd2d8d1-5c4a-4600-bf1f-a6ce5ad226ba
let u2 = @set u.rate += .0001
	value(u2,b)/value(u,b)
end

# ╔═╡ 7a0dc539-4a1a-45aa-9b8c-388657dfd878
exp(rate(g.rate) * 0.0001)

# ╔═╡ 05d29aff-b566-4b35-aba1-01c9bf8f2a4e
@set u.rate += .0001

# ╔═╡ 00000000-0000-0000-0000-000000000001
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    [deps.LLVM.extensions]
    BFloat16sExt = "BFloat16s"

    [deps.LLVM.weakdeps]
    BFloat16s = "ab4f0b2a-ad5b-11e8-123f-65d77653426b"

[[deps.LLVMExtra_jll]]
deps = ["Artifacts", "JLLWrappers", "LazyArtifacts", "Libdl", "TOML"]
git-tree-sha1 = "4b5ad6a4ffa91a00050a964492bc4f86bb48cea0"
uuid = "dad2f222-ce93-54a1-a47d-0025e8a3acab"
version = "0.0.35+0"

[[deps.LayoutPointers]]
deps = ["ArrayInterface", "LinearAlgebra", "ManualMemory", "SIMDTypes", "Static", "StaticArrayInterface"]
git-tree-sha1 = "a9eaadb366f5493a5654e843864c13d8b107548c"
uuid = "10f19ff3-798f-405d-979b-55457f8fc047"
version = "0.1.17"

[[deps.LazyArtifacts]]
deps = ["Artifacts", "Pkg"]
uuid = "4af54fe1-eca0-43a8-85a7-787d91b784e3"
version = "1.11.0"

[[deps.LibCURL]]
deps = ["LibCURL_jll", "MozillaCACerts_jll"]
uuid = "b27032c2-a3e7-50c8-80cd-2d36dbcbfd21"
version = "0.6.4"

[[deps.LibCURL_jll]]
deps = ["Artifacts", "LibSSH2_jll", "Libdl", "MbedTLS_jll", "Zlib_jll", "nghttp2_jll"]
uuid = "deac9b47-8bc7-5906-a0fe-35ac56dc84c0"
version = "8.6.0+0"

[[deps.LibGit2]]
deps = ["Base64", "LibGit2_jll", "NetworkOptions", "Printf", "SHA"]
uuid = "76f85450-5226-5b5a-8eaa-529ad045b433"
version = "1.11.0"

[[deps.LibGit2_jll]]
deps = ["Artifacts", "LibSSH2_jll", "Libdl", "MbedTLS_jll"]
uuid = "e37daf67-58a4-590a-8e99-b0245dd2ffc5"
version = "1.7.2+0"

[[deps.LibSSH2_jll]]
deps = ["Artifacts", "Libdl", "MbedTLS_jll"]
uuid = "29816b5a-b9ab-546f-933c-edad1886dfa8"
version = "1.11.0+1"

[[deps.Libdl]]
uuid = "8f399da3-3557-5675-b5ff-fb832c97cbdb"
version = "1.11.0"

[[deps.LinearAlgebra]]
deps = ["Libdl", "OpenBLAS_jll", "libblastrampoline_jll"]
uuid = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
version = "1.11.0"

[[deps.Logging]]
uuid = "56ddb016-857b-54e1-b83d-db4d58db5568"
version = "1.11.0"

[[deps.LoopVectorization]]
deps = ["ArrayInterface", "CPUSummary", "CloseOpenIntervals", "DocStringExtensions", "HostCPUFeatures", "IfElse", "LayoutPointers", "LinearAlgebra", "OffsetArrays", "PolyesterWeave", "PrecompileTools", "SIMDTypes", "SLEEFPirates", "Static", "StaticArrayInterface", "ThreadingUtilities", "UnPack", "VectorizationBase"]
git-tree-sha1 = "8084c25a250e00ae427a379a5b607e7aed96a2dd"
uuid = "bdcacae8-1622-11e9-2a5c-532679323890"
version = "0.12.171"

    [deps.LoopVectorization.extensions]
    ForwardDiffExt = ["ChainRulesCore", "ForwardDiff"]
    SpecialFunctionsExt = "SpecialFunctions"

    [deps.LoopVectorization.weakdeps]
    ChainRulesCore = "d360d2e6-b24c-11e9-a2a3-2a2ae2dbcce4"
    ForwardDiff = "f6369f11-7733-5829-9624-2563aa707210"
    SpecialFunctions = "276daf66-3868-5448-9aa4-cd146d93841b"

[[deps.MacroTools]]
git-tree-sha1 = "72aebe0b5051e5143a079a4685a46da330a40472"
uuid = "1914dd2f-81c6-5fcd-8719-6d5c9610ff09"
version = "0.5.15"

[[deps.ManualMemory]]
git-tree-sha1 = "bcaef4fc7a0cfe2cba636d84cda54b5e4e4ca3cd"
uuid = "d125e4d3-2237-4719-b19c-fa641b8a4667"
version = "0.1.8"

[[deps.Markdown]]
deps = ["Base64"]
uuid = "d6f4376e-aef5-505a-96c1-9c027394607a"
version = "1.11.0"

[[deps.MbedTLS_jll]]
deps = ["Artifacts", "Libdl"]
uuid = "c8ffd9c3-330d-5841-b78e-0817d7145fa1"
version = "2.28.6+0"

[[deps.MozillaCACerts_jll]]
uuid = "14a3606d-f60d-562e-9121-12d972cd8159"
version = "2023.12.12"

[[deps.NetworkOptions]]
uuid = "ca575930-c2e3-43a9-ace4-1e988b2c1908"
version = "1.2.0"

[[deps.ObjectFile]]
deps = ["Reexport", "StructIO"]
git-tree-sha1 = "dfcc26739b1ffa3ab51fb16f01ba7eb144f7bc50"
uuid = "d8793406-e978-5875-9003-1fc021f44a92"
version = "0.4.3"

[[deps.OffsetArrays]]
git-tree-sha1 = "5e1897147d1ff8d98883cda2be2187dcf57d8f0c"
uuid = "6fe1bfb0-de20-5000-8ca7-80f57d26f881"
version = "1.15.0"
weakdeps = ["Adapt"]

    [deps.OffsetArrays.extensions]
    OffsetArraysAdaptExt = "Adapt"

[[deps.OpenBLAS_jll]]
deps = ["Artifacts", "CompilerSupportLibraries_jll", "Libdl"]
uuid = "4536629a-c528-5b80-bd46-f80d51c5b363"
version = "0.3.27+1"

[[deps.Pkg]]
deps = ["Artifacts", "Dates", "Downloads", "FileWatching", "LibGit2", "Libdl", "Logging", "Markdown", "Printf", "Random", "SHA", "TOML", "Tar", "UUIDs", "p7zip_jll"]
uuid = "44cfe95a-1eb2-52ea-b672-e2afdf69b78f"
version = "1.11.0"

    [deps.Pkg.extensions]
    REPLExt = "REPL"

    [deps.Pkg.weakdeps]
    REPL = "3fa0cd96-eef1-5676-8a61-b3b8758bbffb"

[[deps.PolyesterWeave]]
deps = ["BitTwiddlingConvenienceFunctions", "CPUSummary", "IfElse", "Static", "ThreadingUtilities"]
git-tree-sha1 = "645bed98cd47f72f67316fd42fc47dee771aefcd"
uuid = "1d0040c9-8b98-4ee7-8388-3f51789ca0ad"
version = "0.2.2"

[[deps.PrecompileTools]]
deps = ["Preferences"]
git-tree-sha1 = "5aa36f7049a63a1528fe8f7c3f2113413ffd4e1f"
uuid = "aea7be01-6a6a-4083-8856-8a6e6704d82a"
version = "1.2.1"

[[deps.Preferences]]
deps = ["TOML"]
git-tree-sha1 = "9306f6085165d270f7e3db02af26a400d580f5c6"
uuid = "21216c6a-2e73-6563-6e65-726566657250"
version = "1.4.3"

[[deps.Printf]]
deps = ["Unicode"]
uuid = "de0858da-6303-5e67-8744-51eddeeeb8d7"
version = "1.11.0"

[[deps.Random]]
deps = ["SHA"]
uuid = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
version = "1.11.0"

[[deps.Reexport]]
git-tree-sha1 = "45e428421666073eab6f2da5c9d310d99bb12f9b"
uuid = "189a3867-3050-52da-a836-e630ba90ab69"
version = "1.2.2"

[[deps.Requires]]
deps = ["UUIDs"]
git-tree-sha1 = "838a3a4188e2ded87a4f9f184b4b0d78a1e91cb7"
uuid = "ae029012-a4dd-5104-9daa-d747884805df"
version = "1.3.0"

[[deps.Roots]]
deps = ["Accessors", "CommonSolve", "Printf"]
git-tree-sha1 = "e52cf0872526c7a0b3e1af9c58a69b90e19b022e"
uuid = "f2b01f46-fcfa-551c-844a-d8ac1e96c665"
version = "2.2.5"

    [deps.Roots.extensions]
    RootsChainRulesCoreExt = "ChainRulesCore"
    RootsForwardDiffExt = "ForwardDiff"
    RootsIntervalRootFindingExt = "IntervalRootFinding"
    RootsSymPyExt = "SymPy"
    RootsSymPyPythonCallExt = "SymPyPythonCall"

    [deps.Roots.weakdeps]
    ChainRulesCore = "d360d2e6-b24c-11e9-a2a3-2a2ae2dbcce4"
    ForwardDiff = "f6369f11-7733-5829-9624-2563aa707210"
    IntervalRootFinding = "d2bf35a9-74e0-55ec-b149-d360ff49b807"
    SymPy = "24249f21-da20-56a4-8eb1-6a02cf4ae2e6"
    SymPyPythonCall = "bc8888f7-b21e-4b7c-a06a-5d9c9496438c"

[[deps.SHA]]
uuid = "ea8e919c-243c-51af-8825-aaa63cd721ce"
version = "0.7.0"

[[deps.SIMDTypes]]
git-tree-sha1 = "330289636fb8107c5f32088d2741e9fd7a061a5c"
uuid = "94e857df-77ce-4151-89e5-788b33177be4"
version = "0.1.0"

[[deps.SLEEFPirates]]
deps = ["IfElse", "Static", "VectorizationBase"]
git-tree-sha1 = "456f610ca2fbd1c14f5fcf31c6bfadc55e7d66e0"
uuid = "476501e8-09a2-5ece-8869-fb82de89a1fa"
version = "0.6.43"

[[deps.Scratch]]
deps = ["Dates"]
git-tree-sha1 = "3bac05bc7e74a75fd9cba4295cde4045d9fe2386"
uuid = "6c6a2e73-6563-6170-7368-637461726353"
version = "1.2.1"

[[deps.Serialization]]
uuid = "9e88b42a-f829-5b0c-bbe9-9e923198166b"
version = "1.11.0"

[[deps.SparseArrays]]
deps = ["Libdl", "LinearAlgebra", "Random", "Serialization", "SuiteSparse_jll"]
uuid = "2f01184e-e22b-5df5-ae63-d93ebab69eaf"
version = "1.11.0"

[[deps.Static]]
deps = ["CommonWorldInvalidations", "IfElse", "PrecompileTools"]
git-tree-sha1 = "87d51a3ee9a4b0d2fe054bdd3fc2436258db2603"
uuid = "aedffcd0-7271-4cad-89d0-dc628f76c6d3"
version = "1.1.1"

[[deps.StaticArrayInterface]]
deps = ["ArrayInterface", "Compat", "IfElse", "LinearAlgebra", "PrecompileTools", "Static"]
git-tree-sha1 = "96381d50f1ce85f2663584c8e886a6ca97e60554"
uuid = "0d7ed370-da01-4f52-bd93-41d350b8b718"
version = "1.8.0"

    [deps.StaticArrayInterface.extensions]
    StaticArrayInterfaceOffsetArraysExt = "OffsetArrays"
    StaticArrayInterfaceStaticArraysExt = "StaticArrays"

    [deps.StaticArrayInterface.weakdeps]
    OffsetArrays = "6fe1bfb0-de20-5000-8ca7-80f57d26f881"
    StaticArrays = "90137ffa-7385-5640-81b9-e52037218182"

[[deps.StructIO]]
git-tree-sha1 = "c581be48ae1cbf83e899b14c07a807e1787512cc"
uuid = "53d494c1-5632-5724-8f4c-31dff12d585f"
version = "0.3.1"

[[deps.SuiteSparse_jll]]
deps = ["Artifacts", "Libdl", "libblastrampoline_jll"]
uuid = "bea87d4a-7f5b-5778-9afe-8cc45184846c"
version = "7.7.0+0"

[[deps.TOML]]
deps = ["Dates"]
uuid = "fa267f1f-6049-4f14-aa54-33bafae1ed76"
version = "1.0.3"

[[deps.Tar]]
deps = ["ArgTools", "SHA"]
uuid = "a4e569a6-e804-4fa4-b0f3-eef7a1d5b13e"
version = "1.10.0"

[[deps.ThreadingUtilities]]
deps = ["ManualMemory"]
git-tree-sha1 = "eda08f7e9818eb53661b3deb74e3159460dfbc27"
uuid = "8290d209-cae3-49c0-8002-c8c24d57dab5"
version = "0.5.2"

[[deps.TimerOutputs]]
deps = ["ExprTools", "Printf"]
git-tree-sha1 = "d7298ebdfa1654583468a487e8e83fae9d72dac3"
uuid = "a759f4b9-e2f1-59dc-863e-4aeb61b1ea8f"
version = "0.5.26"

[[deps.UUIDs]]
deps = ["Random", "SHA"]
uuid = "cf7118a7-6976-5b1a-9a39-7adc72f591a4"
version = "1.11.0"

[[deps.UnPack]]
git-tree-sha1 = "387c1f73762231e86e0c9c5443ce3b4a0a9a0c2b"
uuid = "3a884ed6-31ef-47d7-9d2a-63182c4928ed"
version = "1.0.2"

[[deps.Unicode]]
uuid = "4ec0a83e-493e-50e2-b9ac-8f72acf5a8f5"
version = "1.11.0"

[[deps.VectorizationBase]]
deps = ["ArrayInterface", "CPUSummary", "HostCPUFeatures", "IfElse", "LayoutPointers", "Libdl", "LinearAlgebra", "SIMDTypes", "Static", "StaticArrayInterface"]
git-tree-sha1 = "4ab62a49f1d8d9548a1c8d1a75e5f55cf196f64e"
uuid = "3d5dd08c-fd9d-11e8-17fa-ed2836048c2f"
version = "0.21.71"

[[deps.Zlib_jll]]
deps = ["Libdl"]
uuid = "83775a58-1f1d-513f-b197-d71354ab007a"
version = "1.2.13+1"

[[deps.libblastrampoline_jll]]
deps = ["Artifacts", "Libdl"]
uuid = "8e850b90-86db-534c-a0d3-1478176c7d93"
version = "5.11.0+0"

[[deps.nghttp2_jll]]
deps = ["Artifacts", "Libdl"]
uuid = "8e850ede-7688-5339-a07c-302acd2aaf8d"
version = "1.59.0+0"

[[deps.p7zip_jll]]
deps = ["Artifacts", "Libdl"]
uuid = "3f19e933-33d8-53b3-aaab-bd5110c3b7a0"
version = "17.4.0+2"
"""

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