Misc fixes

quantlib/_interest_rate.pxd

@@ -6,10 +6,9 @@
  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 """
-
-include 'types.pxi'
-
+from quantlib.types cimport DiscountFactor, Rate, Real, Time
 from libcpp.string cimport string
+from quantlib.time._date cimport Date
 from quantlib.time._daycounter cimport DayCounter
 from quantlib.time._period cimport Frequency
 from quantlib.compounding cimport Compounding
@@ -29,6 +28,10 @@ cdef extern from 'ql/interestrate.hpp' namespace 'QuantLib' nogil:
         Frequency frequency()
 
         DiscountFactor discountFactor(Time t)
+        DiscountFactor discountFactor(const Date& d1,
+                                      const Date &d2,
+                                      const Date& refStart,
+                                      const Date& refEnd)
         InterestRate impliedRate(Real compound,
                                  const DayCounter& resultDC,
                                  Compounding comp,
@@ -39,6 +42,10 @@ cdef extern from 'ql/interestrate.hpp' namespace 'QuantLib' nogil:
                                     Frequency freq,
                                     Time t)
         Real compoundFactor(Time t)
+        Real compoundFactor(const Date& d1,
+                            const Date &d2,
+                            const Date& refStart,
+                            const Date& refEnd)
 
 cdef extern from "<sstream>" namespace "std":
     cdef cppclass stringstream:

quantlib/instruments/_bond.pxd

@@ -43,6 +43,12 @@ cdef extern from 'ql/instruments/bond.hpp' namespace 'QuantLib' nogil:
         Real dirtyPrice() except +
         Real settlementValue() except +
 
+        Rate cleanPrice(Rate y,
+                        DayCounter& dc,
+                        Compounding comp,
+                        Frequency freq,
+                        Date settlementDate)
+
         Rate bond_yield 'yield'(
             DayCounter& dc,
             Compounding comp,

quantlib/instruments/bond.pyx

@@ -1,4 +1,4 @@
-from quantlib.types cimport Real, Size
+from quantlib.types cimport Rate, Real, Size
 from . cimport _bond
 cimport quantlib.time._date as _date
 
@@ -75,10 +75,23 @@ cdef class Bond(Instrument):
         """ Returns the bond settlement date after the given date."""
         return date_from_qldate(self.as_ptr().settlementDate(from_date._thisptr))
 
-    @property
-    def clean_price(self):
-        """ Bond clean price. """
-        return self.as_ptr().cleanPrice()
+    def clean_price(self, *args):
+        cdef:
+            Rate y
+            DayCounter dc
+            Compounding comp
+            Frequency freq
+            Date settlement_date = Date()
+        if len(args) == 0:
+            return self.as_ptr().cleanPrice()
+        else:
+               if len(args) == 4:
+                   y, dc, comp, freq = args
+               else:
+                   y, dc, comp, freq, settlement_date = args
+               return self.as_ptr().cleanPrice(
+                   y, deref(dc._thisptr), comp, freq, settlement_date._thisptr
+               )
 
     @property
     def dirty_price(self):

quantlib/interest_rate.pyx

@@ -4,13 +4,10 @@
 # This program is distributed in the hope that it will be useful, but WITHOUT
 # ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 # FOR A PARTICULAR PURPOSE.  See the license for more details.
-
-include 'types.pxi'
-
+from quantlib.types cimport Rate, Real, Time
 from cython.operator cimport dereference as deref
 
-from quantlib.handle cimport shared_ptr
-
+from quantlib.time.date cimport Date
 from quantlib.time.daycounter cimport DayCounter
 cimport quantlib.time._daycounter as _daycounter
 from quantlib.compounding cimport Compounding
@@ -25,12 +22,11 @@ cdef class InterestRate:
 
     """
 
-    def __init__(self, double rate, DayCounter dc not None, Compounding compounding,
-                 int frequency):
+    def __init__(self, Rate rate, DayCounter dc not None, Compounding compounding,
+                 Frequency frequency):
 
         self._thisptr = _ir.InterestRate(
-            <Rate>rate, deref(dc._thisptr), compounding,
-            <_ir.Frequency>frequency
+            rate, deref(dc._thisptr), compounding, frequency
         )
 
 
@@ -68,8 +64,11 @@ cdef class InterestRate:
         ss << self._thisptr
         return ss.str().decode()
 
-    def compound_factor(self, Time t):
-        return self._thisptr.compoundFactor(t)
+    def compound_factor(self, Date d1, Date d2, Date ref_start=Date(), Date ref_end=Date()):
+        return self._thisptr.compoundFactor(d1._thisptr, d2._thisptr, ref_start._thisptr, ref_end._thisptr)
+
+    def discount_factor(self, Date d1, Date d2, Date ref_start=Date(), Date ref_end=Date()):
+        return self._thisptr.discountFactor(d1._thisptr, d2._thisptr, ref_start._thisptr, ref_end._thisptr)
 
     def implied_rate(self, Real compound,
                      DayCounter result_dc not None,

quantlib/math/interpolation.pxd

@@ -1,18 +1,29 @@
 cimport cython
 from . cimport _interpolations as _intpl
 
+cdef class Interpolation:
+    pass
+
 @cython.final
-cdef class Linear:
+cdef class Linear(Interpolation):
     cdef _intpl.Linear _thisptr
 
 @cython.final
-cdef class LogLinear:
+cdef class LogLinear(Interpolation):
     cdef _intpl.LogLinear _thisptr
 
 @cython.final
-cdef class BackwardFlat:
+cdef class BackwardFlat(Interpolation):
     cdef _intpl.BackwardFlat _thisptr
 
 @cython.final
-cdef class Cubic:
+cdef class Cubic(Interpolation):
     cdef _intpl.Cubic _thisptr
+
+@cython.final
+cdef class Bicubic(Interpolation):
+    cdef _intpl.Bicubic _thisptr
+
+@cython.final
+cdef class Bilinear(Interpolation):
+    cdef _intpl.Bilinear _thisptr

quantlib/mlab/fixed_income.py

@@ -153,7 +153,7 @@ def _bndprice(bond_yield, coupon_rate, pricing_date, maturity_date,
 
     bond.set_pricing_engine(engine)
 
-    price = bond.clean_price
+    price = bond.clean_price()
     ac = bond.accrued_amount(pydate_to_qldate(settlement_date))
 
     return (price, ac)

quantlib/pricingengines/bond/_bondfunctions.pxd

@@ -15,6 +15,17 @@ cdef extern from 'ql/pricingengines/bond/bondfunctions.hpp' namespace 'QuantLib:
     cdef Date startDate(Bond bond)
     cdef Leg.const_reverse_iterator previousCashFlow(const Bond& bond,
                                                      Date refDate) # = Date()
+    cdef Leg.const_iterator nextCashFlow(const Bond& bond,
+                                         Date refDate) # = Date()
+
+    cdef Date previousCashFlowDate(const Bond& bond,
+                                   Date refDate)
+    cdef Date nextCashFlowDate(const Bond& bond,
+                               Date refDate)
+    cdef Real previousCashFlowAmount(const Bond& bond,
+                                     Date refDate)
+    cdef Real nextCashFlowAmount(const Bond& bond,
+                                 Date refDate)
     cdef Time duration(Bond bond,
                     Rate yld,
                     DayCounter dayCounter,

quantlib/pricingengines/bond/bondfunctions.pyx

@@ -20,13 +20,37 @@ def start_date(Bond bond):
     return date_from_qldate(_bf.startDate(deref(bond.as_ptr())))
 
 def previous_cash_flow(Bond bond, Date ref_date=Date()):
-    cdef Leg.const_reverse_iterator it  = _bf.previousCashFlow(deref(bond.as_ptr()), ref_date._thisptr)
+    cdef Leg.const_reverse_iterator it = _bf.previousCashFlow(deref(bond.as_ptr()), ref_date._thisptr)
     cdef CashFlow cf = CashFlow.__new__(CashFlow)
-    while it != bond.as_ptr().cashflows().const_rbegin():
+    while it != bond.as_ptr().cashflows().const_rend():
         cf._thisptr = deref(it)
         yield cf
         preinc(it)
 
+def next_cash_flow(Bond bond, Date ref_date=Date()):
+    cdef Leg.const_iterator it = _bf.nextCashFlow(deref(bond.as_ptr()), ref_date._thisptr)
+    cdef CashFlow cf = CashFlow.__new__(CashFlow)
+    while it != bond.as_ptr().cashflows().const_end():
+        cf._thisptr = deref(it)
+        yield cf
+        preinc(it)
+
+
+def previous_cash_flow_date(Bond bond, Date ref_date=Date()):
+    cdef Date d = Date.__new__(Date)
+    d._thisptr = _bf.previousCashFlowDate(deref(bond.as_ptr()), ref_date._thisptr)
+    return d
+
+def next_cash_flow_date(Bond bond, Date ref_date=Date()):
+    cdef Date d = Date.__new__(Date)
+    d._thisptr = _bf.nextCashFlowDate(deref(bond.as_ptr()), ref_date._thisptr)
+    return d
+
+def previous_cash_flow_amount(Bond bond, Date ref_date=Date()):
+    return _bf.previousCashFlowAmount(deref(bond.as_ptr()), ref_date._thisptr)
+
+def next_cash_flow_amount(Bond bond, Date ref_date=Date()):
+    return _bf.nextCashFlowAmount(deref(bond.as_ptr()), ref_date._thisptr)
 
 def duration(Bond bond not None,
              Rate yld,

quantlib/termstructures/default_term_structure.pyx

@@ -47,3 +47,17 @@ cdef class HandleDefaultProbabilityTermStructure:
             self.handle = RelinkableHandle[_dts.DefaultProbabilityTermStructure](
                 static_pointer_cast[_dts.DefaultProbabilityTermStructure](ts._thisptr),
                 register_as_observer)
+
+    @property
+    def current_link(self):
+        cdef DefaultProbabilityTermStructure instance = DefaultProbabilityTermStructure.__new__(DefaultProbabilityTermStructure)
+        if self.handle.empty():
+            raise ValueError("empty handle")
+        instance._thisptr = self.handle.currentLink()
+        return instance
+
+    def link_to(self, DefaultProbabilityTermStructure ts, bool register_as_observer=True):
+        self.handle.linkTo(
+                static_pointer_cast[_dts.DefaultProbabilityTermStructure](ts._thisptr),
+                register_as_observer
+        )

quantlib/termstructures/vol_term_structure.pxd

@@ -5,6 +5,7 @@ from . cimport _vol_term_structure as _vts
 cdef class VolatilityTermStructure:
     cdef shared_ptr[_vts.VolatilityTermStructure] _thisptr
     cdef _vts.VolatilityTermStructure* as_ptr(self) nogil
+
     @staticmethod
     cdef Handle[_vts.VolatilityTermStructure] handle(object vol)
 

quantlib/termstructures/vol_term_structure.pyx

@@ -17,7 +17,7 @@ cdef class VolatilityTermStructure:
         elif isinstance(vol, HandleVolatilityTermStructure):
             return (<HandleVolatilityTermStructure>vol).handle
         else:
-            raise TypeError("vol needs to be either a SwaptionVolatilityStructure or a HandleSwaptionVolatilityStructure")
+            raise TypeError("vol needs to be either a VolatilityTermStructure or a HandleVolatilityTermStructure")
 
     def time_from_reference(self, Date date not None):
         return self.as_ptr().timeFromReference(date._thisptr)

quantlib/termstructures/volatility/equityfx/black_variance_surface.pxd

@@ -5,9 +5,5 @@ cdef extern from 'ql/termstructures/volatility/equityfx/blackvariancesurface.hpp
         ConstantExtrapolation
         InterpolatorDefaultExtrapolation
 
-cpdef enum Interpolator:
-    Bilinear
-    Bicubic
-
 cdef class BlackVarianceSurface(BlackVarianceTermStructure):
     pass

quantlib/termstructures/volatility/equityfx/black_variance_surface.pyx

@@ -6,7 +6,8 @@ from libcpp.vector cimport vector
 
 from quantlib.handle cimport shared_ptr
 from quantlib.math.matrix cimport Matrix
-cimport quantlib.math._interpolations as intpl
+from quantlib.math.interpolation cimport Interpolation, Bilinear, Bicubic
+
 from quantlib.time.date cimport Date, date_from_qldate
 from quantlib.time._date cimport Date as _Date
 from quantlib.time.calendar cimport Calendar
@@ -89,10 +90,10 @@ cdef class BlackVarianceSurface(BlackVarianceTermStructure):
         return get_bvs(self).maxStrike()
 
     # Modifiers
-    def set_interpolation(self, Interpolator i):
-        if i == Bilinear:
-            get_bvs(self).setInterpolation[intpl.Bilinear]() # Calls the default constructor
-        elif i == Bicubic:
-            get_bvs(self).setInterpolation[intpl.Bicubic]()
+    def set_interpolation(self, Interpolation i):
+        if isinstance(i, Bicubic):
+            get_bvs(self).setInterpolation((<Bicubic>i)._thisptr) # Calls the default constructor
+        elif isinstance(i, Bilinear):
+            get_bvs(self).setInterpolation((<Bilinear>i)._thisptr)
         else:
             raise ValueError("Interpolator must be Bilinear or Bicubic")

quantlib/termstructures/yields/piecewise_zerospreaded_termstructure.pyx

@@ -1,6 +1,6 @@
 from cython.operator cimport dereference as deref
 from libcpp.vector cimport vector
-from quantlib.compounding cimport Compounding, Continuous
+from quantlib.compounding cimport Compounding
 from quantlib.handle cimport Handle
 from quantlib.time.daycounter cimport DayCounter
 from quantlib.time.frequency cimport Frequency, NoFrequency
@@ -13,7 +13,7 @@ from . cimport _piecewise_zerospreaded_termstructure as _pzt
 
 cdef class PiecewiseZeroSpreadedTermStructure(YieldTermStructure):
     def __init__(self, HandleYieldTermStructure h not None, list spreads, list dates,
-                 Compounding comp=Continuous, Frequency freq=NoFrequency,
+                 Compounding comp=Compounding.Continuous, Frequency freq=NoFrequency,
                  DayCounter dc not None=DayCounter()):
         cdef vector[Handle[_qt.Quote]] spreads_vec
         cdef vector[QlDate] dates_vec

quantlib/termstructures/yields/zero_spreaded_term_structure.pyx

@@ -1,5 +1,5 @@
 from cython.operator cimport dereference as deref
-from quantlib.compounding cimport Compounding, Continuous
+from quantlib.compounding cimport Compounding
 from quantlib.termstructures.yield_term_structure cimport HandleYieldTermStructure
 from quantlib.time.daycounter cimport DayCounter
 from quantlib.time.frequency cimport Frequency, NoFrequency
@@ -8,7 +8,7 @@ from . cimport _zero_spreaded_term_structure as _zsts
 
 cdef class ZeroSpreadedTermStructure(YieldTermStructure):
     def __init__(self, HandleYieldTermStructure h not None, Quote spread,
-                 Compounding comp=Continuous, Frequency freq=NoFrequency,
+                 Compounding comp=Compounding.Continuous, Frequency freq=NoFrequency,
                  DayCounter dc not None=DayCounter()):
 
         self._thisptr.reset(

quantlib/time/_period.pxd

@@ -4,7 +4,7 @@ from libcpp.string cimport string
 
 from .frequency cimport Frequency
 
-cdef extern from 'ql/time/timeunit.hpp' namespace "QuantLib":
+cdef extern from 'ql/time/timeunit.hpp' namespace "QuantLib" nogil:
     cdef enum TimeUnit:
         Days
         Weeks
@@ -16,7 +16,7 @@ cdef extern from 'ql/time/timeunit.hpp' namespace "QuantLib":
         Milliseconds
         Microseconds
 
-cdef extern from 'ql/time/period.hpp' namespace "QuantLib":
+cdef extern from 'ql/time/period.hpp' namespace "QuantLib" nogil:
 
     cdef cppclass Period:
 
@@ -52,20 +52,20 @@ cdef extern from 'ql/time/period.hpp' namespace "QuantLib":
     Real weeks(const Period& p) except +
     Real days(const Period& p) except +
 
-cdef extern from 'ql/utilities/dataparsers.hpp' namespace "QuantLib::PeriodParser":
+cdef extern from 'ql/utilities/dataparsers.hpp' namespace "QuantLib::PeriodParser" nogil:
     Period parse(string& str) except +
 
-cdef extern from "ql/time/period.hpp" namespace "QuantLib::detail":
+cdef extern from "ql/time/period.hpp" namespace "QuantLib::detail" nogil:
     cdef cppclass long_period_holder:
         pass
     cdef cppclass short_period_holder:
         pass
 
-cdef extern from "ql/time/period.hpp" namespace "QuantLib::io":
+cdef extern from "ql/time/period.hpp" namespace "QuantLib::io" nogil:
     cdef short_period_holder short_period(const Period&)
     cdef long_period_holder long_period(const Period&)
 
-cdef extern from "<sstream>" namespace "std":
+cdef extern from "<sstream>" namespace "std" nogil:
     cdef cppclass stringstream:
         stringstream& operator<<(long_period_holder)
         stringstream& operator<<(short_period_holder)