8000 Date improvement by thrasibule · Pull Request #333 · enthought/pyql · GitHub
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Date improvement #333

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Merged
merged 4 commits into from
Mar 7, 2025
Merged

Date improvement #333

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cbebf27
no need to check for type
thrasibule Mar 1, 2023
7941030
cleanup
thrasibule Apr 22, 2024
8915469
Date doesn't need to be a shared pointer
thrasibule May 22, 2024
e23485f
use from_string constructor
thrasibule May 23, 2024
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4 changes: 2 additions & 2 deletions quantlib/cashflow.pyx
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Original file line number Diff line number Diff lin 1E79 e change
Expand Up @@ -40,13 +40,13 @@ cdef class CashFlow:
if include_ref_date is not None:
c_include_ref_date = <bool>include_ref_date
if cf:
return cf.hasOccurred(deref(ref_date._thisptr), c_include_ref_date)
return cf.hasOccurred(ref_date._thisptr, c_include_ref_date)

cdef class SimpleCashFlow(CashFlow):

def __init__(self, Real amount, Date cfdate):
self._thisptr = shared_ptr[_cf.CashFlow](
new _cf.SimpleCashFlow(amount, deref(cfdate._thisptr))
new _cf.SimpleCashFlow(amount, cfdate._thisptr)
)

def __str__(self):
Expand Down
21 changes: 10 additions & 11 deletions quantlib/cashflows/cap_floored_coupon.pyx
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Original file line number Diff line number Diff line change
@@ -1,7 +1,6 @@
include '../types.pxi'
from libcpp cimport bool
from cython.operator cimport dereference as deref

from quantlib.utilities.null cimport Null
from quantlib.handle cimport shared_ptr, static_pointer_cast
from quantlib.cashflows.coupon_pricer cimport FloatingRateCouponPricer
Expand Down Expand Up @@ -82,18 +81,18 @@ cdef class CappedFlooredIborCoupon(CappedFlooredCoupon):
DayCounter day_counter=DayCounter(),
bool is_in_arrears=False):
self._thisptr = shared_ptr[CashFlow](new _cfc.CappedFlooredIborCoupon(
deref(payment_date._thisptr),
payment_date._thisptr,
nominal,
deref(start_date._thisptr),
deref(end_date._thisptr),
start_date._thisptr,
end_date._thisptr,
fixing_days,
static_pointer_cast[_ii.IborIndex](index._thisptr),
gearing,
spread,
cap,
floor,
deref(ref_period_start._thisptr),
deref(ref_period_end._thisptr),
ref_period_start._thisptr,
ref_period_end._thisptr,
deref(day_counter._thisptr),
is_in_arrears))

Expand All @@ -113,17 +112,17 @@ cdef class CappedFlooredCmsCoupon(CappedFlooredCoupon):
DayCounter day_counter=DayCounter(),
bool is_in_arrears=False):
self._thisptr = shared_ptr[CashFlow](new _cfc.CappedFlooredCmsCoupon(
deref(payment_date._thisptr),
payment_date._thisptr,
nominal,
deref(start_date._thisptr),
deref(end_date._thisptr),
start_date._thisptr,
end_date._thisptr,
fixing_days,
static_pointer_cast[_si.SwapIndex](index._thisptr),
gearing,
spread,
cap,
floor,
deref(ref_period_start._thisptr),
deref(ref_period_end._thisptr),
ref_period_start._thisptr,
ref_period_end._thisptr,
deref(day_counter._thisptr),
is_in_arrears))
16 changes: 8 additions & 8 deletions quantlib/cashflows/cashflows.pyx
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Original file line number Diff line number Diff line change
Expand Up @@ -6,32 +6,32 @@ from ..cashflow cimport Leg
from ._cashflows cimport CashFlows

def previous_cash_flow_amount(Leg leg, bool include_settlement_date_flows, Date settlement_date=Date()):
return CashFlows.previousCashFlowAmount(leg._thisptr, include_settlement_date_flows, deref(settlement_date._thisptr))
return CashFlows.previousCashFlowAmount(leg._thisptr, include_settlement_date_flows, settlement_date._thisptr)

def next_cash_flow_amount(Leg leg, bool include_settlement_date_flows, Date settlement_date=Date()):
return CashFlows.nextCashFlowAmount(leg._thisptr, include_settlement_date_flows, deref(settlement_date._thisptr))
return CashFlows.nextCashFlowAmount(leg._thisptr, include_settlement_date_flows, settlement_date._thisptr)


def npv(Leg leg, YieldTermStructure discount_curve, bool include_settlement_date_flows,
Date settlement_date=Date, Date npv_date=Date()):
return CashFlows.npv(leg._thisptr,
deref(discount_curve.as_ptr()),
include_settlement_date_flows,
deref(settlement_date._thisptr),
deref(npv_date._thisptr))
settlement_date._thisptr,
npv_date._thisptr)

def bps(Leg leg, YieldTermStructure discount_curve, bool include_settlement_date_flows,
Date settlement_date=Date, Date npv_date=Date()):
return CashFlows.bps(leg._thisptr,
deref(discount_curve.as_ptr()),
include_settlement_date_flows,
deref(settlement_date._thisptr),
deref(npv_date._thisptr))
settlement_date._thisptr,
npv_date._thisptr)

def npvbps(Leg leg, YieldTermStructure discount_curve, bool include_settlement_date_flows,
Date settlement_date=Date, Date npv_date=Date()):
return CashFlows.npvbps(leg._thisptr,
deref(discount_curve.as_ptr()),
include_settlement_date_flows,
deref(settlement_date._thisptr),
deref(npv_date._thisptr))
settlement_date._thisptr,
npv_date._thisptr)
10 changes: 5 additions & 5 deletions quantlib/cashflows/cms_coupon.pyx
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Original file line number Diff line number Diff line change
Expand Up @@ -25,16 +25,16 @@ cdef class CmsCoupon(FloatingRateCoupon):
bool is_in_arrears=False):
self._thisptr = shared_ptr[_cf.CashFlow](
new _cc.CmsCoupon(
deref(payment_date._thisptr),
payment_date._thisptr,
nominal,
deref(start_date._thisptr),
deref(end_date._thisptr),
start_date._thisptr,
end_date._thisptr,
fixing_days,
static_pointer_cast[_si.SwapIndex](index._thisptr),
gearing,
spread,
deref(ref_period_start._thisptr),
deref(ref_period_end._thisptr),
ref_period_start._thisptr,
ref_period_end._thisptr,
deref(day_counter._thisptr),
is_in_arrears))

Expand Down
6 changes: 3 additions & 3 deletions quantlib/cashflows/coupon.pyx
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Original file line number Diff line number Diff line change
Expand Up @@ -44,13 +44,13 @@ cdef class Coupon(CashFlow):
return self._get_coupon().accrualPeriod()

def accrued_period(self, Date date):
return self._get_coupon().accruedPeriod(deref(date._thisptr))
return self._get_coupon().accruedPeriod(date._thisptr)

def accrued_days(self, Date date):
return self._get_coupon().accruedDays(deref(date._thisptr))
return self._get_coupon().accruedDays(date._thisptr)

def accrued_amount(self, Date date):
return self._get_coupon().accruedAmount(deref(date._thisptr))
return self._get_coupon().accruedAmount(date._thisptr)

@property
def rate(self):
Expand Down
15 changes: 7 additions & 8 deletions quantlib/cashflows/fixed_rate_coupon.pyx
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Original file line number Diff line number Diff line change
@@ -1,5 +1,4 @@
include '../types.pxi'

from quantlib.types cimport Rate, Real
from cython.operator cimport dereference as deref, preincrement as preinc
from libcpp.vector cimport vector
from quantlib.compounding cimport Compounding
Expand All @@ -21,13 +20,13 @@ cdef class FixedRateCoupon(Coupon):
Date accrual_end_date not None, Date ref_period_start=Date(),
Date ref_period_end=Date(), Date ex_coupon_date=Date()):
self._thisptr = shared_ptr[_cf.CashFlow](
new _frc.FixedRateCoupon(deref(payment_date._thisptr), nominal,
new _frc.FixedRateCoupon(payment_date._thisptr, nominal,
rate, deref(day_counter._thisptr),
deref(accrual_start_date._thisptr),
deref(accrual_end_date._thisptr),
deref(ref_period_start._thisptr),
deref(ref_period_end._thisptr),
deref(ex_coupon_date._thisptr))
accrual_start_date._thisptr,
accrual_end_date._thisptr,
ref_period_start._thisptr,
ref_period_end._thisptr,
ex_coupon_date._thisptr)
)

def interest_rate(self):
Expand Down
6 changes: 3 additions & 3 deletions quantlib/cashflows/floating_rate_coupon.pyx
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Original file line number Diff line number Diff line change
Expand Up @@ -19,12 +19,12 @@ cdef class FloatingRateCoupon(Coupon):
DayCounter day_counter=DayCounter(), bool is_in_arrears=False):
self._thisptr = shared_ptr[_cf.CashFlow](
new _frc.FloatingRateCoupon(
deref(payment_date._thisptr), nominal,
deref(start_date._thisptr), deref(end_date._thisptr),
payment_date._thisptr, nominal,
start_date._thisptr, end_date._thisptr,
fixing_days,
static_pointer_cast[_iri.InterestRateIndex](index._thisptr),
gearing, spread,
deref(ref_period_start._thisptr), deref(ref_period_end._thisptr),
ref_period_start._thisptr, ref_period_end._thisptr,
deref(day_counter._thisptr), is_in_arrears)
)

Expand Down
6 changes: 3 additions & 3 deletions quantlib/cashflows/ibor_coupon.pyx
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Original file line number Diff line number Diff line change
Expand Up @@ -20,12 +20,12 @@ cdef class IborCoupon(FloatingRateCoupon):
DayCounter day_counter=DayCounter(), bool is_in_arrears=False):
self._thisptr = shared_ptr[_cf.CashFlow](
new _ic.IborCoupon(
deref(payment_date._thisptr), nominal,
deref(start_date._thisptr), deref(end_date._thisptr),
payment_date._thisptr, nominal,
start_date._thisptr, end_date._thisptr,
fixing_days,
static_pointer_cast[_ii.IborIndex](index._thisptr),
gearing, spread,
deref(ref_period_start._thisptr), deref(ref_period_end._thisptr),
ref_period_start._thisptr, ref_period_end._thisptr,
deref(day_counter._thisptr), is_in_arrears)
)
Settings = IborCouponSettings()
Expand Down
14 changes: 7 additions & 7 deletions quantlib/cashflows/overnight_indexed_coupon.pyx
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Original file line number Diff line number Diff line change
Expand Up @@ -22,11 +22,11 @@ cdef class OvernightIndexedCoupon(FloatingRateCoupon):
DayCounter day_counter=DayCounter(), bool telescopic_values= False,
RateAveraging averaging_method=RateAveraging.Compound):
self._thisptr = make_shared[_oic.OvernightIndexedCoupon](
deref(payment_date._thisptr), nominal,
deref(start_date._thisptr), deref(end_date._thisptr),
payment_date._thisptr, nominal,
start_date._thisptr, end_date._thisptr,
static_pointer_cast[_ii.OvernightIndex](index._thisptr),
gearing, spread,
deref(ref_period_start._thisptr), deref(ref_period_end._thisptr),
ref_period_start._thisptr, ref_period_end._thisptr,
deref(day_counter._thisptr), telescopic_values, averaging_method
)

Expand All @@ -38,7 +38,7 @@ cdef class OvernightIndexedCoupon(FloatingRateCoupon):

while it != (<_oic.OvernightIndexedCoupon*>self._thisptr.get()).fixingDates().end():
date = Date.__new__(Date)
date._thisptr.reset(new QlDate(deref(it)))
date._thisptr = deref(it)
l.append(date)
preinc(it)
return l
Expand All @@ -52,17 +52,17 @@ cdef class OvernightIndexedCoupon(FloatingRateCoupon):
def value_dates(self):
cdef:
vector[QlDate].const_iterator it = (<_oic.OvernightIndexedCoupon*>self._thisptr.get()).valueDates().const_begin()
QlDate d
Date date
list l = []

while it != (<_oic.OvernightIndexedCoupon*>self._thisptr.get()).valueDates().end():
date = Date.__new__(Date)
date._thisptr.reset(new QlDate(deref(it)))
date._thisptr = deref(it)
l.append(date)
preinc(it)
return l



cdef class OvernightLeg(Leg):

def __iter__(self):
Expand Down
20 changes: 10 additions & 10 deletions quantlib/experimental/coupons/cms_spread_coupon.pyx
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Original file line number Diff line number Diff line change
Expand Up @@ -27,16 +27,16 @@ cdef class CmsSpreadCoupon(FloatingRateCoupon):
bool is_in_arrears=False):
self._thisptr = shared_ptr[_cf.CashFlow](
new _csc.CmsSpreadCoupon(
deref(payment_date._thisptr),
payment_date._thisptr,
nominal,
deref(start_date._thisptr),
deref(end_date._thisptr),
start_date._thisptr,
end_date._thisptr,
fixing_days,
static_pointer_cast[_ssi.SwapSpreadIndex](index._thisptr),
gearing,
spread,
deref(ref_period_start._thisptr),
deref(ref_period_end._thisptr),
ref_period_start._thisptr,
ref_period_end._thisptr,
deref(day_counter._thisptr),
is_in_arrears))

Expand Down Expand Up @@ -65,17 +65,17 @@ cdef class CappedFlooredCmsSpreadCoupon(CappedFlooredCoupon):
bool is_in_arrears=False):
self._thisptr = shared_ptr[_cf.CashFlow](
new _csc.CappedFlooredCmsSpreadCoupon(
deref(payment_date._thisptr),
payment_date._thisptr,
nominal,
deref(start_date._thisptr),
deref(end_date._thisptr),
start_date._thisptr,
end_date._thisptr,
fixing_days,
static_pointer_cast[_ssi.SwapSpreadIndex](index._thisptr),
gearing,
spread,
cap,
floor,
deref(ref_period_start._thisptr),
deref(ref_period_end._thisptr),
ref_period_start._thisptr,
ref_period_end._thisptr,
deref(day_counter._thisptr),
is_in_arrears))
9 changes: 4 additions & 5 deletions quantlib/index.pyx
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Original file line number Diff line number Diff line change
Expand Up @@ -7,7 +7,6 @@
"""Abstract base class for indices"""
include 'types.pxi'

from cython.operator cimport dereference as deref
from cpython.datetime cimport PyDate_Check, date_year, date_month, date_day, import_datetime
from libcpp cimport bool
from libcpp.vector cimport vector
Expand Down Expand Up @@ -64,15 +63,15 @@ cdef class Index:

def is_valid_fixing_date(self, Date fixing_date not None):
return self._thisptr.get().isValidFixingDate(
deref(fixing_date._thisptr))
fixing_date._thisptr)

def fixing(self, Date fixingDate not None, bool forecast_todays_fixing=False):
return self._thisptr.get().fixing(
deref(fixingDate._thisptr), forecast_todays_fixing)
fixingDate._thisptr, forecast_todays_fixing)

def add_fixing(self, Date fixingDate not None, Real fixing, bool force_overwrite=False):
self._thisptr.get().addFixing(
deref(fixingDate._thisptr), fixing, force_overwrite
fixingDate._thisptr, fixing, force_overwrite
)

def add_fixings(self, list dates, list values, bool force_overwrite=False):
Expand All @@ -85,7 +84,7 @@ cdef class Index:
if PyDate_Check(d):
qldates.push_back(QlDate(date_day(d), <Month>date_month(d), date_year(d)))
elif isinstance(d, Date):
qldates.push_back(deref((<Date>d)._thisptr))
qldates.push_back((<Date>d)._thisptr)
else:
raise TypeError
qlvalues.push_back(<Real?>v)
Expand Down
8 changes: 4 additions & 4 deletions quantlib/indexes/interest_rate_index.pyx
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Expand Up @@ -66,21 +66,21 @@ cdef class InterestRateIndex(Index):
return curr

def fixing_date(self, Date valueDate not None):
cdef _dt.Date dt = deref(valueDate._thisptr)
cdef _dt.Date dt = valueDate._thisptr
cdef _dt.Date fixing_date = get_iri(self).fixingDate(dt)
return date_from_qldate(fixing_date)


def value_date(self, Date fixingDate not None):
cdef _dt.Date dt = deref(fixingDate._thisptr)
cdef _dt.Date dt = fixingDate._thisptr
cdef _dt.Date value_date = get_iri(self).valueDate(dt)
return date_from_qldate(value_date)

def maturity_date(self, Date valueDate not None):
cdef _dt.Date dt = deref(valueDate._thisptr)
cdef _dt.Date dt = valueDate._thisptr
cdef _dt.Date maturity_date = get_iri(self).maturityDate(dt)
return date_from_qldate(maturity_date)

def forecast_fixing(self, Date fixing_date not None):
cdef _dt.Date dt = deref(fixing_date._thisptr)
cdef _dt.Date dt = fixing_date._thisptr
return get_iri(self).forecastFixing(dt)
4 changes: 2 additions & 2 deletions quantlib/indexes/swap_index.pyx
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Original file line number Diff line number Diff line change
Expand Up @@ -62,7 +62,7 @@ cdef class SwapIndex(InterestRateIndex):
cdef _si.SwapIndex* swap_index = <_si.SwapIndex*>self._thisptr.get()
cdef VanillaSwap swap = VanillaSwap.__new__(VanillaSwap)
swap._thisptr = static_pointer_cast[_instrument.Instrument](
swap_index.underlyingSwap(deref(fixing_date._thisptr)))
swap_index.underlyingSwap(fixing_date._thisptr))
return swap

@property
Expand Down Expand Up @@ -118,5 +118,5 @@ cdef class OvernightIndexedSwapIndex(SwapIndex):
cdef _si.OvernightIndexedSwapIndex* swap_index = <_si.OvernightIndexedSwapIndex*>self._thisptr.get()
cdef OvernightIndexedSwap swap = OvernightIndexedSwap.__new__(OvernightIndexedSwap)
swap._thisptr = static_pointer_cast[_instrument.Instrument](
<shared_ptr[_si.OvernightIndexedSwap]>swap_index.underlyingSwap(deref(fixing_date._thisptr)))
<shared_ptr[_si.OvernightIndexedSwap]>swap_index.underlyingSwap(fixing_date._thisptr))
return swap
3 changes: 1 addition & 2 deletions quantlib/instruments/asian_options.pyx
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Original file line number Diff line number Diff line change
@@ -1,6 +1,5 @@
""" Asian option on a single asset """
from quantlib.types cimport Real, Size
from cython.operator cimport dereference as deref
from libcpp.vector cimport vector

from quantlib.handle cimport shared_ptr, static_pointer_cast
Expand Down Expand Up @@ -67,7 +66,7 @@ cdef class DiscreteAveragingAsianOption(OneAssetOption):
# convert the list of PyQL dates into a vector of QL dates
cdef vector[_date.Date] _fixing_dates
for date in fixing_dates:
_fixing_dates.push_back(deref((<Date?>date)._thisptr))
_fixing_dates.push_back((<Date?>date)._thisptr)

if (running_accum is not None) and (past_fixings is not None):
self._thisptr = shared_ptr[_Instrument](
Expand Down
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