api additions

quantlib/cashflows/_cashflows.pxd

@@ -1,11 +1,12 @@
 from libcpp cimport bool
 from libcpp.pair cimport pair
+from quantlib.ext cimport optional
 from quantlib.time._date cimport Date
 from quantlib.types cimport Rate, Real
 from quantlib.termstructures._yield_term_structure cimport YieldTermStructure
 from .._cashflow cimport Leg
 
-cdef extern from 'ql/cashflows/cashflows.hpp' namespace 'QuantLib':
+cdef extern from 'ql/cashflows/cashflows.hpp' namespace 'QuantLib' nogil:
     cdef cppclass CashFlows:
         @staticmethod
         Date startDate(const Leg& leg)
@@ -15,26 +16,26 @@ cdef extern from 'ql/cashflows/cashflows.hpp' namespace 'QuantLib':
 
         @staticmethod
         bool isExpired(const Leg& leg,
-                       bool includeSettlementDateFlows,
-                       Date settlementDate = Date())
+                       optional[bool] includeSettlementDateFlows, # = nullopt
+                       Date settlementDate) # = Date()
 
         @staticmethod
         Date previousCashFlowDate(const Leg& leg,
-                                  bool includeSettlementDateFlows,
+                                  optional[bool] includeSettlementDateFlows, # = nullopt
                                   Date settlementDate)# = Date())
 
         @staticmethod
         Date nextCashFlowDate(const Leg& leg,
-                              bool includeSettlementDateFlows,
+                              optional[bool] includeSettlementDateFlows, # = nullopt
                               Date settlementDate)# = Date())
 
         @staticmethod
         Real previousCashFlowAmount(const Leg& leg,
-                                   bool includeSettlementDateFlows,
-                                   Date settlementDate)# = Date())
+                                    optional[bool] includeSettlementDateFlows, # = nullopt
+                                    Date settlementDate)# = Date())
         @staticmethod
         Real nextCashFlowAmount(const Leg& leg,
-                                bool includeSettlementDateFlows,
+                                optional[bool] includeSettlementDateFlows, # = nullopt
                                 Date settlementDate)# = Date())
         # static Rate
         # previousCouponRate(const Leg& leg,
@@ -49,14 +50,14 @@ cdef extern from 'ql/cashflows/cashflows.hpp' namespace 'QuantLib':
         # nominal(const Leg& leg,
         #         bool includeSettlementDateFlows,
         #         Date settlDate = Date());
-        # static Date
-        # accrualStartDate(const Leg& leg,
-        #                  bool includeSettlementDateFlows,
-        #                  Date settlDate = Date());
-        # static Date
-        # accrualEndDate(const Leg& leg,
-        #                bool includeSettlementDateFlows,
-        #                Date settlementDate = Date());
+        @staticmethod
+        Date accrualStartDate(const Leg& leg,
+                              optional[bool] includeSettlementDateFlows, # = nullopt
+                              Date settlDate) # = Date()
+        @staticmethod
+        Date accrualEndDate(const Leg& leg,
+                            optional[bool] includeSettlementDateFlows, # = nullopt
+                            Date settlementDate) # = Date()
         # static Date
         # referencePeriodStart(const Leg& leg,
         #                      bool includeSettlementDateFlows,
@@ -69,39 +70,39 @@ cdef extern from 'ql/cashflows/cashflows.hpp' namespace 'QuantLib':
         # accrualPeriod(const Leg& leg,
         #               bool includeSettlementDateFlows,
         #               Date settlementDate = Date());
-        # static Date::serial_type
-        # accrualDays(const Leg& leg,
-        #             bool includeSettlementDateFlows,
-        #             Date settlementDate = Date());
+        @staticmethod
+        Date.serial_type accrualDays(const Leg& leg,
+                                     optional[bool] includeSettlementDateFlows, # = nullopt
+                                     Date settlementDate) # = Date()
         # static Time
         # accruedPeriod(const Leg& leg,
         #               bool includeSettlementDateFlows,
         #               Date settlementDate = Date());
-        # static Date::serial_type
-        # accruedDays(const Leg& leg,
-        #             bool includeSettlementDateFlows,
-        #             Date settlementDate = Date());
-        # static Real
-        # accruedAmount(const Leg& leg,
-        #               bool includeSettlementDateFlows,
-        #               Date settlementDate = Date());
+        @staticmethod
+        Date.serial_type accruedDays(const Leg& leg,
+                                     optional[bool] includeSettlementDateFlows, # = nullopt
+                                     Date settlementDate) # = Date()
+        @staticmethod
+        Real accruedAmount(const Leg& leg,
+                           optional[bool] includeSettlementDateFlows, # =nullopt
+                           Date settlementDate) # = Date()
         @staticmethod
         Real npv(const Leg& leg,
                  const YieldTermStructure& discountCurve,
-                 bool includeSettlementDateFlows,
+                 optional[bool] includeSettlementDateFlows, # = nullopt
                  Date settlementDate, # = Date(),
                  Date npvDate) # = Date())
 
         @staticmethod
         Real bps(const Leg& leg,
                  const YieldTermStructure& discountCurve,
-                 bool includeSettlementDateFlows,
+                 optional[bool] includeSettlementDateFlows, # = nullopt
                  Date settlementDate, # = Date(),
                  Date npvDate) # = Date())
 
         @staticmethod
         pair[Real, Real] npvbps(const Leg& leg,
                                 const YieldTermStructure& discountCurve,
-                                bool includeSettlementDateFlows,
+                                optional[bool] includeSettlementDateFlows, # = nullopt
                                 Date settlementDate, # = Date(),
                                 Date npvDate) #= Date())

quantlib/cashflows/_floating_rate_coupon.pxd

@@ -1,11 +1,13 @@
 from quantlib.types cimport Natural, Rate, Real, Spread
 from libcpp cimport bool
 from quantlib.ext cimport shared_ptr
+from quantlib.handle cimport Handle
 from quantlib.time._date cimport Date
 from quantlib.time._daycounter cimport DayCounter
 from quantlib._cashflow cimport CashFlow
 from quantlib._interest_rate cimport InterestRate
 from quantlib.cashflows._coupon cimport Coupon
+from quantlib.termstructures._yield_term_structure cimport YieldTermStructure
 from ._coupon_pricer cimport FloatingRateCouponPricer
 from quantlib.indexes._interest_rate_index cimport InterestRateIndex
 
@@ -29,6 +31,7 @@ cdef extern from 'ql/cashflows/floatingratecoupon.hpp' namespace 'QuantLib' nogi
         Date fixingDate()
         Real gearing()
         Spread spread()
+        Real price(Handle[YieldTermStructure])
         Rate indexFixing()
         Rate convexityAdjustment() except +
         Rate adjustedFixing() except +

quantlib/cashflows/_overnight_indexed_coupon.pxd

@@ -2,15 +2,17 @@ from quantlib.types cimport Integer, Natural, Rate, Real, Spread, Time
 
 from libcpp cimport bool
 from libcpp.vector cimport vector
-from quantlib.ext cimport shared_ptr
+from quantlib.ext cimport shared_ptr, optional
 from quantlib.time._date cimport Date
+from quantlib.time._period cimport Period
 from quantlib.time._daycounter cimport DayCounter
 from quantlib.time._schedule cimport Schedule
 from quantlib.time._calendar cimport Calendar
 from quantlib.time.businessdayconvention cimport BusinessDayConvention
 
 from quantlib.indexes._ibor_index cimport OvernightIndex
 from ._floating_rate_coupon cimport FloatingRateCoupon
+from ._overnight_indexed_coupon_pricer cimport OvernightIndexedCouponPricer
 from .rateaveraging cimport RateAveraging
 from .._cashflow cimport Leg
 
@@ -28,9 +30,11 @@ cdef extern from 'ql/cashflows/overnightindexedcoupon.hpp' namespace 'QuantLib'
                                const DayCounter& dayCounter, #= DayCounter(),
                                bool telescopicValueDates, #=False,
                                RateAveraging averagingMethod, # = RateAveraging::Compound
-                               Natural lookback_days,
-                               Natural lockout_days,
-                               bool apply_observation_shift)
+                               Natural lookback_days, # = Null<Natural>
+                               Natural lockout_days, # = 0
+                               bool apply_observation_shift, #+ False
+                               bool compound_spread, # = False
+                               )
 
         vector[Date]& fixingDates()
         vector[Time]& dt()
@@ -39,6 +43,10 @@ cdef extern from 'ql/cashflows/overnightindexedcoupon.hpp' namespace 'QuantLib'
         RateAveraging averagingMethod()
         Natural lockoutDays()
         bool applyObservationShift()
+        bool compoundSpreadDaily()
+        Real effectiveSpread()
+        Real effectiveIndexFixing()
+
 
     cdef cppclass OvernightLeg:
         OvernightLeg(Schedule schedule, shared_ptr[OvernightIndex] overnightIndex)
@@ -48,9 +56,25 @@ cdef extern from 'ql/cashflows/overnightindexedcoupon.hpp' namespace 'QuantLib'
         OvernightLeg& withPaymentCalendar(Calendar)
         OvernightLeg& withPaymentLag(Integer Lag)
         OvernightLeg& withSpreads(Real spread)
-        OvernightLeg& withObservationShift(bool)
+        OvernightLeg& withSpreads(const vector[Spread]& spreads)
+        OvernightLeg& withTelescopicValueDates(bool telescopicValueDates)
+        OvernightLeg& withAveragingMethod(RateAveraging averagingMethod)
         OvernightLeg& withLookbackDays(Natural)
         OvernightLeg& withLockoutDays(Natural)
+        OvernightLeg& withObservationShift(bool applyObservationShift) # = true);
+        OvernightLeg& compoundingSpreadDaily(bool compoundSpreadDaily) # = true);
+        OvernightLeg& withLookback(const Period& lookback)
+        OvernightLeg& withCaps(Rate cap)
+        OvernightLeg& withCaps(const vector[Rate]& caps)
+        OvernightLeg& withFloors(Rate floor)
+        OvernightLeg& withFloors(const vector[Rate]& floors);
+        OvernightLeg& withNakedOption(bool nakedOption)
+        OvernightLeg& withDailyCapFloor(bool dailyCapFloor) # = true);
+        OvernightLeg& inArrears(bool inArrears)
+        OvernightLeg& withLastRecentPeriod(const optional[Period]& lastRecentPeriod)
+        OvernightLeg& withLastRecentPeriodCalendar(const Calendar& lastRecentPeriodCalendar)
+        OvernightLeg& withPaymentDates(const vector[Date]& paymentDates)
+        OvernightLeg& withCouponPricer(const shared_ptr[OvernightIndexedCouponPricer]& couponPricer)
         Leg operator() const
 
 cdef extern from 'ql/cashflows/overnightindexedcoupon.hpp':

quantlib/cashflows/_overnight_indexed_coupon_pricer.pxd

@@ -1,13 +1,21 @@
 from quantlib.types cimport Rate, Real
 from libcpp cimport bool
+from quantlib.handle cimport Handle
 from ._coupon_pricer cimport FloatingRateCouponPricer
+from quantlib.termstructures.volatility.optionlet._optionlet_volatility_structure cimport OptionletVolatilityStructure
 
 cdef extern from 'ql/cashflows/overnightindexedcouponpricer.hpp' namespace 'QuantLib' nogil:
-    cdef cppclass CompoundingOvernightIndexedCouponPricer(FloatingRateCouponPricer):
+
+    cdef cppclass OvernightIndexedCouponPricer(FloatingRateCouponPricer):
+        pass
+
+    cdef cppclass CompoundingOvernightIndexedCouponPricer(OvernightIndexedCouponPricer):
         pass
-    cdef cppclass ArithmeticAveragedOvernightIndexedCouponPricer(FloatingRateCouponPricer):
+    cdef cppclass ArithmeticAveragedOvernightIndexedCouponPricer(OvernightIndexedCouponPricer):
         ArithmeticAveragedOvernightIndexedCouponPricer(
             Real meanReversion, # = 0.03
             Real volatility, # = 0.00 No convexity adjustment by default
-            bool byApprox # = false, True to use Katsumi Takada approximation
+            bool byApprox, # = false, True to use Katsumi Takada approximation
+            Handle[OptionletVolatilityStructure] v, # = Handle[OptionletVolatilityStructure]()
+            const bool effective_volatility_input, # = False
         )

quantlib/cashflows/api.py

@@ -1,5 +1,7 @@
-from .overnight_indexed_coupon import OvernightIndexedCoupon, OvernightLeg
+from .overnight_indexed_coupon import OvernightIndexedCoupon, OvernightLeg, as_overnight_indexed_coupon
 from .cms_coupon import CmsCoupon
-from .ibor_coupon import IborCoupon
-from .fixed_rate_coupon import FixedRateCoupon, FixedRateLeg
+from .ibor_coupon import IborCoupon, as_ibor_coupon
+from .floating_rate_coupon import FloatingRateCoupon, as_floating_rate_coupon
+from .fixed_rate_coupon import FixedRateCoupon, FixedRateLeg, as_fixed_rate_coupon
 from ..cashflow import SimpleCashFlow, Leg
+from .cap_floored_coupon import CappedFlooredCoupon, as_capped_floored_coupon

quantlib/cashflows/cap_floored_coupon.pxd

@@ -2,7 +2,7 @@ from .floating_rate_coupon cimport FloatingRateCoupon
 from . cimport _cap_floored_coupon as _cfc
 
 cdef class CappedFlooredCoupon(FloatingRateCoupon):
-    cdef inline _cfc.CappedFlooredCoupon* as_ptr(self)
+    cdef inline _cfc.CappedFlooredCoupon* as_ptr(self) noexcept
 
 cdef class CappedFlooredIborCoupon(CappedFlooredCoupon):
     pass

quantlib/cashflows/cap_floored_coupon.pyx

@@ -1,15 +1,15 @@
-include '../types.pxi'
+from quantlib.types cimport Natural, Rate, Real, Spread
 from libcpp cimport bool
 from cython.operator cimport dereference as deref
 from quantlib.utilities.null cimport Null
-from quantlib.ext cimport shared_ptr, static_pointer_cast
+from quantlib.ext cimport static_pointer_cast, dynamic_pointer_cast
 from quantlib.cashflows.coupon_pricer cimport FloatingRateCouponPricer
 from quantlib.indexes.ibor_index cimport IborIndex
 from quantlib.indexes.swap_index cimport SwapIndex
 from quantlib.time.date cimport Date, Period
 from quantlib.time.daycounter cimport DayCounter
 
-from .._cashflow cimport CashFlow
+from ..cashflow cimport CashFlow
 from . cimport _floating_rate_coupon as _frc
 cimport quantlib.indexes._ibor_index as _ii
 cimport quantlib.indexes._swap_index as _si
@@ -18,12 +18,15 @@ cdef class CappedFlooredCoupon(FloatingRateCoupon):
     def __init__(self, FloatingRateCoupon underlying not None,
                  Rate cap=Null[Real](),
                  Rate floor=Null[Real]()):
-        self._thisptr = shared_ptr[CashFlow](new _cfc.CappedFlooredCoupon(
-            static_pointer_cast[_frc.FloatingRateCoupon](underlying._thisptr),
-            cap,
-            floor))
+        self._thisptr.reset(
+            new _cfc.CappedFlooredCoupon(
+                static_pointer_cast[_frc.FloatingRateCoupon](underlying._thisptr),
+                cap,
+                floor
+            )
+        )
 
-    cdef inline _cfc.CappedFlooredCoupon* as_ptr(self):
+    cdef inline _cfc.CappedFlooredCoupon* as_ptr(self) noexcept:
         return <_cfc.CappedFlooredCoupon*>self._thisptr.get()
 
     @property
@@ -56,15 +59,22 @@ cdef class CappedFlooredCoupon(FloatingRateCoupon):
 
     @property
     def is_floored(self):
-        return (<_cfc.CappedFlooredCoupon*>self._thisptr.get()).isFloored()
+        return self.as_ptr().isFloored()
 
     @property
     def underlying(self):
         cdef FloatingRateCoupon instance = FloatingRateCoupon.__new__(FloatingRateCoupon)
-        instance._thisptr = static_pointer_cast[CashFlow](
-            (<_cfc.CappedFlooredCoupon*>self._thisptr.get()).underlying())
+        instance._thisptr = self.as_ptr().underlying()
         return instance
 
+def as_capped_floored_coupon(CashFlow cf):
+    cdef CappedFlooredCoupon coupon = CappedFlooredCoupon.__new__(CappedFlooredCoupon)
+    coupon._thisptr = dynamic_pointer_cast[_cfc.CappedFlooredCoupon](cf._thisptr)
+    if not coupon._thisptr:
+        return None
+    else:
+        return coupon
+
 cdef class CappedFlooredIborCoupon(CappedFlooredCoupon):
     def __init__(self, Date payment_date not None,
                  Real nominal,
@@ -80,7 +90,8 @@ cdef class CappedFlooredIborCoupon(CappedFlooredCoupon):
                  Date ref_period_end=Date(),
                  DayCounter day_counter=DayCounter(),
                  bool is_in_arrears=False):
-        self._thisptr = shared_ptr[CashFlow](new _cfc.CappedFlooredIborCoupon(
+        self._thisptr.reset(
+            new _cfc.CappedFlooredIborCoupon(
                 payment_date._thisptr,
                 nominal,
                 start_date._thisptr,
@@ -94,7 +105,8 @@ cdef class CappedFlooredIborCoupon(CappedFlooredCoupon):
                 ref_period_start._thisptr,
                 ref_period_end._thisptr,
                 deref(day_counter._thisptr),
-                is_in_arrears))
+                is_in_arrears)
+        )
 
 cdef class CappedFlooredCmsCoupon(CappedFlooredCoupon):
     def __init__(self, Date payment_date not None,
@@ -111,7 +123,8 @@ cdef class CappedFlooredCmsCoupon(CappedFlooredCoupon):
                  Date ref_period_end=Date(),
                  DayCounter day_counter=DayCounter(),
                  bool is_in_arrears=False):
-        self._thisptr = shared_ptr[CashFlow](new _cfc.CappedFlooredCmsCoupon(
+        self._thisptr.reset(
+            new _cfc.CappedFlooredCmsCoupon(
                 payment_date._thisptr,
                 nominal,
                 start_date._thisptr,
@@ -125,4 +138,6 @@ cdef class CappedFlooredCmsCoupon(CappedFlooredCoupon):
                 ref_period_start._thisptr,
                 ref_period_end._thisptr,
                 deref(day_counter._thisptr),
-                is_in_arrears))
+                is_in_arrears
+            )
+        )