Minor changes

Author: domokane

CHANGELOG.md

@@ -14,7 +14,7 @@
 - Extended inheritance of DiscountCurves to all curves
 - All inheriting classes have a bump_parallel method
 - Removed alternative calculations of zero, par, swap and forward rates so all such calls use DiscountCurve methods
-- Added argument to determine day count rule for converting dates to times
+- Added discount curve level property to determine day count rule for converting dates to times
 - Set default value of time_dc_type to ACT_365F - which means we divide by 365
 - Fixed bug in swap_float_leg so we use specifed accrual basis and not index curve basis
 - Set all references to call directly discountCurve._dfs and ._times to avoid copying using accessor methods

regression_tests/TestFinBond.py

@@ -813,6 +813,10 @@ def test_cpn_types():
 
 def test_stack_exchange():
 
+    # https://quant.stackexchange.com/questions/66508/schedule-yield-to-maturity-and-npv-of-fixed-rate-bond-from-quantlib-python
+
+    # Unable to reconcile with strange example
+
     issue_dt = Date(28, 9, 2019)
     maturity_dt = Date(28, 9, 2024)
     coupon = 0.05
@@ -823,9 +827,9 @@ def test_stack_exchange():
 
     value_dt = Date(31, 7, 2020)
     settle_dt = value_dt.add_days(100)
-    print(settle_dt)
+    #    print(settle_dt)
 
-    print(bond.print_payments(settle_dt, 100))
+    #    print(bond.print_payments(settle_dt, 100))
 
     spot_dts = [Date(31, 7, 2020), Date(1, 1, 2027)]
     spot_rates = [0.01, 0.02]
@@ -839,15 +843,15 @@ def test_stack_exchange():
         DayCountTypes.ACT_360,
     )
 
-    print(
-        "Dirty Price = %12.7f"
-        % bond.dirty_price_from_discount_curve(settle_dt, zero_curve)
-    )
+    # print(
+    #     "Dirty Price = %12.7f"
+    #     % bond.dirty_price_from_discount_curve(settle_dt, zero_curve)
+    # )
 
-    print(
-        "Clean Price = %12.7f"
-        % bond.clean_price_from_discount_curve(settle_dt, zero_curve)
-    )
+    # print(
+    #     "Clean Price = %12.7f"
+    #     % bond.clean_price_from_discount_curve(settle_dt, zero_curve)
+    # )
 
 
 ###############################################################################

regression_tests/TestFinBondFittedYieldCurve.py

@@ -28,11 +28,9 @@
 
 def test_bond_fitted_yield_curve():
 
-    path = os.path.join(os.path.dirname(__file__),
-                        "./data/gilt_bond_prices.txt")
+    path = os.path.join(os.path.dirname(__file__), "./data/gilt_bond_prices.txt")
     bond_dataframe = pd.read_csv(path, sep="\t")
-    bond_dataframe["mid"] = 0.5 * \
-        (bond_dataframe["bid"] + bond_dataframe["ask"])
+    bond_dataframe["mid"] = 0.5 * (bond_dataframe["bid"] + bond_dataframe["ask"])
 
     freq_type = FrequencyTypes.SEMI_ANNUAL
     dc_type = DayCountTypes.ACT_ACT_ICMA
@@ -101,7 +99,7 @@ def test_bond_fitted_yield_curve():
     test_cases.print("tau_2", fitted_curve4.curve_fit.tau_2)
 
     maturity_dt = Date(19, 9, 2030)
-    interp_yield = fitted_curve5.interp_rate(maturity_dt)
+    interp_yield = fitted_curve5.interp_yield(maturity_dt)
     test_cases.print(maturity_dt, interp_yield)
 
 

regression_tests/TestFinFXBarrierOption.py

@@ -7,7 +7,7 @@
 from financepy.utils.date import Date
 from financepy.market.curves.discount_curve_flat import DiscountCurveFlat
 from financepy.products.fx.fx_barrier_option import FXBarrierOption
-from financepy.products.fx.fx_barrier_option import BarrierTypes
+from financepy.products.fx.fx_barrier_option import FXBarrierTypes
 from financepy.models.black_scholes import BlackScholes
 from financepy.models.process_simulator import FinGBMNumericalScheme
 from financepy.models.process_simulator import ProcessTypes
@@ -28,7 +28,7 @@ def test_fin_fx_barrier_option():
     volatility = 0.20
     dom_interest_rate = 0.05
     for_interest_rate = 0.02
-    opt_type = BarrierTypes.DOWN_AND_OUT_CALL
+    opt_type = FXBarrierTypes.DOWN_AND_OUT_CALL
     notional = 100.0
     notional_currency = "USD"
 
@@ -42,7 +42,7 @@ def test_fin_fx_barrier_option():
     start = time.time()
     num_obs_per_year = 100
 
-    for opt_type in BarrierTypes:
+    for opt_type in FXBarrierTypes:
 
         test_cases.header("Type", "K", "B", "S", "Value", "ValueMC", "TIME", "Diff")
 
@@ -141,7 +141,7 @@ def test_fin_fx_barrier_option():
 
     test_cases.header("Type", "K", "B", "S:", "Value", "Delta", "Vega", "Theta")
 
-    for opt_type in BarrierTypes:
+    for opt_type in FXBarrierTypes:
         for spot_fx_rate in spot_fx_rates:
             barrier_option = FXBarrierOption(
                 expiry_dt,