Better docstrings

examples/american_option.py

@@ -7,15 +7,15 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 """
 from quantlib.instruments.api import AmericanExercise, VanillaOption, OptionType
-from quantlib.instruments.payoffs import PlainVanillaPayoff
+from quantlib.payoffs import PlainVanillaPayoff
 from quantlib.pricingengines.api import BaroneAdesiWhaleyApproximationEngine
 from quantlib.pricingengines.api import FdBlackScholesVanillaEngine
 from quantlib.processes.black_scholes_process import BlackScholesMertonProcess
 from quantlib.quotes import SimpleQuote
 from quantlib.settings import Settings
 from quantlib.time.api import Actual365Fixed, Date, May, TARGET
-from quantlib.termstructures.volatility.api import BlackConstantVol
-from quantlib.termstructures.yields.api import HandleYieldTermStructure, FlatForward
+from quantlib.termstructures.volatility.api import BlackConstantVol, HandleBlackVolTermStructure
+from quantlib.termstructures.yields.api import RelinkableHandleYieldTermStructure, FlatForward
 from quantlib.methods.finitedifferences.solvers.fdmbackwardsolver \
     import FdmSchemeDesc
 
@@ -25,7 +25,7 @@ def main():
     Settings.instance().evaluation_date = todays_date
     settlement_date = Date(17, May, 1998)
 
-    risk_free_rate = HandleYieldTermStructure()
+    risk_free_rate = RelinkableHandleYieldTermStructure()
     risk_free_rate.link_to(
         FlatForward(
             reference_date=settlement_date,
@@ -43,9 +43,11 @@ def main():
 
     # market data
     underlying = SimpleQuote(36.0)
-    volatility = BlackConstantVol(todays_date, TARGET(), 0.20,
+    volatility = HandleBlackVolTermStructure(
+            BlackConstantVol(todays_date, TARGET(), 0.20,
                                   Actual365Fixed())
-    dividend_yield = HandleYieldTermStructure()
+            )
+    dividend_yield = RelinkableHandleYieldTermStructure()
     dividend_yield.link_to(
         FlatForward(
             reference_date=settlement_date,

examples/basic_example.py

@@ -9,7 +9,7 @@
 from quantlib.quotes import SimpleQuote
 from quantlib.settings import Settings
 from quantlib.time.api import TARGET, Actual365Fixed, today
-from quantlib.termstructures.yields.api import FlatForward, HandleYieldTermStructure
+from quantlib.termstructures.yields.api import FlatForward, RelinkableHandleYieldTermStructure
 from quantlib.termstructures.volatility.api import BlackConstantVol
 
 
@@ -36,8 +36,8 @@
 underlyingH = SimpleQuote(underlying)
 
 # bootstrap the yield/dividend/vol curves
-flat_term_structure = HandleYieldTermStructure()
-flat_dividend_ts = HandleYieldTermStructure()
+flat_term_structure = RelinkableHandleYieldTermStructure()
+flat_dividend_ts = RelinkableHandleYieldTermStructure()
 
 flat_term_structure.link_to(
     FlatForward(

examples/option_valuation.py

@@ -44,7 +44,7 @@
 from quantlib.termstructures.yields.api import (
     PiecewiseYieldCurve, DepositRateHelper, BootstrapTrait, HandleYieldTermStructure
 )
-from quantlib.termstructures.volatility.api import BlackConstantVol
+from quantlib.termstructures.volatility.api import BlackConstantVol, HandleBlackVolTermStructure
 from quantlib.termstructures.yields.api import SwapRateHelper
 
 def dividendOption():
@@ -169,7 +169,7 @@ def dividendOption():
 
     print('Creating process')
 
-    bsProcess = BlackScholesProcess(underlying_priceH, HandleYieldTermStructure(riskFreeTS), flatVolTS)
+    bsProcess = BlackScholesProcess(underlying_priceH, HandleYieldTermStructure(riskFreeTS), HandleBlackVolTermStructure(flatVolTS))
 
 
     # ++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++

examples/scripts/SPX_Options.py

@@ -1,16 +1,15 @@
-from __future__ import print_function
 # -*- coding: utf-8 -*-
 # <nbformat>3</nbformat>
 
 # <markdowncell>
 
 # Standardized Option Quotes Data Format
 # ======================================
-# 
+#
 # To facilitate model calibration, a standard input format has been defined, which contains all the
 # necessary data. The data is held in a [Panda](http://pandas.pydata.org) table, with one row per quote and
 # 8 columns, as follows:
-# 
+#
 # * dtTrade: Quote date, or time stamp
 # * Strike: Ditto
 # * dtExpiry: Option expiry date
@@ -19,23 +18,23 @@
 # * Type: European/American
 # * PBid: Bid price
 # * PAsk: Ask price
-# 
-# Note that we do not include the dividend yield nor the risk-free rate in the data set: The 
+#
+# Note that we do not include the dividend yield nor the risk-free rate in the data set: The
 # implied forward price and risk-free rate are estimated from the call/put parity.
-# 
+#
 # SPX Option Data Processing
 # --------------------------
-# 
+#
 # As an illustration, we provide below the procedure for converting raw SPX option data, as published by the [CBOE](http://www.cboe.com/DelayedQuote/QuoteTableDownload.aspx), into the standard input format.
-# 
+#
 # ### SPX Utility functions
-# 
+#
 # These functions parse the SPX option names, and extract expiry date and strike.
 
 # <codecell>
 
-import pandas
-import dateutil, datetime
+import pandas as pd
+import dateutil
 import re
 
 def ExpiryMonth(s):
@@ -58,26 +57,26 @@ def parseSPX(s):
     """
     Parse an SPX quote string, return expiry date and strike
     """
-    tokens = spx_symbol.split(s)
+    tokens = spx_symbol.split(s.iloc[0])
 
     if len(tokens) == 1:
-        return {'dtExpiry': None, 'strike': -1}
+        return {'Strike': -1, 'dtExpiry': None}
 
     year = 2000 + int(tokens[1])
     day = int(tokens[2])
     month = ExpiryMonth(tokens[3])
     strike = float(tokens[4])
 
-    dtExpiry = datetime.date(year, month, day)
+    dtExpiry = pd.Timestamp(year=year, month=month, day=day)
 
-    return ({'dtExpiry': dtExpiry, 'strike': strike})
+    return {'Strike': strike, 'dtExpiry': dtExpiry}
 
 
 # <markdowncell>
 
 # ### Reading the SPX raw data file
-# 
-# The csv file downloaded from the CBOE site can be converted into a standard panda table by the following function. 
+#
+# The csv file downloaded from the CBOE site can be converted into a standard panda table by the following function.
 
 # <codecell>
 
@@ -93,12 +92,12 @@ def read_SPX_file(option_data_file):
 
         lineTwo = fid.readline()
         dt = lineTwo.split('@')[0]
-        dtTrade = dateutil.parser.parse(dt).date()
+        dtTrade = pd.to_datetime(dt)
 
         print('Dt Calc: %s Spot: %f' % (dtTrade, spot))
 
     # read all option price records as a data frame
-    df = pandas.io.parsers.read_csv(option_data_file, header=0, sep=',', skiprows=[0,1])
+    df = pd.read_csv(option_data_file, header=0, sep=',', skiprows=[0,1])
 
     # split and stack calls and puts
     call_df = df[['Calls', 'Bid', 'Ask']]
@@ -109,35 +108,28 @@ def read_SPX_file(option_data_file):
     put_df = put_df.rename(columns = {'Puts':'Spec', 'Bid.1':'PBid',
     'Ask.1':'PAsk'})
     put_df['Type'] = 'P'
-
-    df_all = call_df.append(put_df,  ignore_index=True)
+    df_all = pd.concat([call_df, put_df],  ignore_index=True)
 
     # parse Calls and Puts columns for strike and contract month
     # insert into data frame
-
-    cp = [parseSPX(s) for s in df_all['Spec']]
-    df_all['Strike'] = [x['strike'] for x in cp]
-    df_all['dtExpiry'] = [x['dtExpiry'] for x in cp]
-
+    df_all = pd.concat([df_all,
+                        df_all[["Spec"]].apply(parseSPX, axis="columns", result_type="expand")],
+                        axis=1)
     del df_all['Spec']
 
     df_all = df_all[(df_all['Strike'] > 0) & (df_all['PBid']>0) \
                     & (df_all['PAsk']>0)]
 
     df_all['dtTrade'] = dtTrade
     df_all['Spot'] = spot
-
     return df_all
 
-option_data_file = \
-    '../data/SPX-Options-24jan2011.csv'
-
 if __name__ == '__main__':
+    option_data_file = '../data/SPX-Options-24jan2011.csv'
     df_SPX = read_SPX_file(option_data_file)
     print('%d records processed' % len(df_SPX))
 
     # save a csv file and pickled data frame
     df_SPX.to_csv('../data/df_SPX_24jan2011.csv', index=False)
-    df_SPX.to_pickle('../data/df_SPX_24jan2011.pkl', protocol=4)
+    df_SPX.to_pickle('../data/df_SPX_24jan2011.pkl')
     print('File saved')
-

examples/traits_example.py

@@ -13,9 +13,8 @@
 from quantlib.quotes import SimpleQuote
 from quantlib.settings import Settings
 from quantlib.time.api import TARGET, Actual365Fixed, today, Date as QlDate
-from quantlib.termstructures.yields.api import FlatForward
-from quantlib.termstructures.volatility.equityfx.black_vol_term_structure \
-    import BlackConstantVol
+from quantlib.termstructures.yields.api import FlatForward, HandleYieldTermStructure
+from quantlib.termstructures.volatility.api import BlackConstantVol
 
 
 settings = Settings.instance()
@@ -32,7 +31,7 @@
 class OptionValuation(HasTraits):
 
     # options parameters
-    option_type = Enum(Put, Call)
+    option_type = Enum(OptionType.Put, OptionType.Call)
     underlying = Float(36)
     strike = Float(40)
     dividend_yield = Range(0.0, 0.5)
@@ -50,12 +49,6 @@ class OptionValuation(HasTraits):
 
     ### Traits view   ##########################################################
 
-    traits_view = View(
-        Item('option_type', editor=EnumEditor(values={Put:'Put', Call:'Call'})),
-        'underlying', 'strike', 'dividend_yield', 'risk_free_rate',
-        'volatility', 'maturity',
-        HGroup( Item('option_npv', label='Option value'))
-    )
 
     ### Private protocol   #####################################################
 
@@ -73,16 +66,20 @@ def _get_option_npv(self):
         underlyingH = SimpleQuote(self.underlying)
 
         # bootstrap the yield/dividend/vol curves
-        flat_term_structure = FlatForward(
-            reference_date = settlement_date,
-            forward = self.risk_free_rate,
-            daycounter = self.daycounter
+        flat_term_structure = HandleYieldTermStructure(
+            FlatForward(
+                reference_date = settlement_date,
+                forward = self.risk_free_rate,
+                daycounter = self.daycounter
+            )
         )
 
-        flat_dividend_ts = FlatForward(
-            reference_date = settlement_date,
-            forward = self.dividend_yield,
-            daycounter = self.daycounter
+        flat_dividend_ts = HandleYieldTermStructure(
+            FlatForward(
+                reference_date = settlement_date,
+                forward = self.dividend_yield,
+                daycounter = self.daycounter
+            )
         )
 
         flat_vol_ts = BlackConstantVol(
@@ -105,10 +102,17 @@ def _get_option_npv(self):
 
         return european_option.net_present_value
 
+traits_view = View(
+    Item('option_type', editor=EnumEditor(values={OptionType.Put:'Put', OptionType.Call:'Call'})),
+    'underlying', 'strike', 'dividend_yield', 'risk_free_rate',
+    'volatility', 'maturity',
+    HGroup( Item('option_npv', label='Option value'))
+)
+
 if __name__ == '__main__':
 
     model = OptionValuation()
-    model.configure_traits()
+    model.configure_traits(view=traits_view)
 
 
 ### EOF #######################################################################

quantlib/indexes/ibor_index.pyx

@@ -22,6 +22,29 @@ from quantlib.market.conventions.swap import params as swap_params
 from quantlib.indexes.interest_rate_index cimport InterestRateIndex
 
 cdef class IborIndex(InterestRateIndex):
+    """Base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.).
+
+    Parameters
+    ----------
+    family_name : str
+        The family name of the index.
+    tenor : :class:`~quantlib.time.date.Period`
+        The tenor of the index.
+    settlement_days : int
+        The number of settlement days.
+    currency : :class:`~quantlib.currency.currency.Currency`
+        The currency of the index.
+    fixing_calendar : :class:`~quantlib.time.calendar.Calendar`
+        The calendar used for fixing dates.
+    convention : int
+        The business day convention.
+    end_of_month : bool
+        Whether the end-of-month rule applies.
+    day_counter : :class:`~quantlib.time.daycounter.DayCounter`
+        The day counter for the index.
+    yts : :class:`~quantlib.termstructures.yield_term_structure.HandleYieldTermStructure`, optional
+        The yield term structure handle.
+    """
 
     def __init__(self, str family_name, Period tenor not None, Natural settlement_days,
                  Currency currency, Calendar fixing_calendar, int convention,
@@ -40,17 +63,20 @@ cdef class IborIndex(InterestRateIndex):
             )
 
     property business_day_convention:
+        """The business day convention."""
         def __get__(self):
             cdef _ib.IborIndex* ref = <_ib.IborIndex*>self._thisptr.get()
             return ref.businessDayConvention()
 
     property end_of_month:
+        """Whether the end-of-month rule applies."""
         def __get__(self):
             cdef _ib.IborIndex* ref = <_ib.IborIndex*>self._thisptr.get()
             return ref.endOfMonth()
 
     @property
     def forwarding_term_structure(self):
+        """The curve used to forecast fixings."""
         cdef:
             _ib.IborIndex* ref = <_ib.IborIndex*>self._thisptr.get()
             HandleYieldTermStructure yts = HandleYieldTermStructure.__new__(HandleYieldTermStructure)
@@ -59,8 +85,16 @@ cdef class IborIndex(InterestRateIndex):
 
     @staticmethod
     def from_name(market, term_structure=HandleYieldTermStructure(), **kwargs):
-        """
-        Create default IBOR for the market, modify attributes if provided
+        """Create a default IBOR index for the given market.
+
+        Parameters
+        ----------
+        market : str
+            The market name (e.g., 'USDLibor', 'Euribor').
+        term_structure : :class:`~quantlib.termstructures.yield_term_structure.HandleYieldTermStructure`, optional
+            The yield term structure handle.
+        **kwargs :
+            Additional keyword arguments to override default parameters.
         """
 
         row = swap_params(market)
@@ -84,6 +118,23 @@ cdef class IborIndex(InterestRateIndex):
 
 
 cdef class OvernightIndex(IborIndex):
+    """Base class for overnight indexes.
+
+    Parameters
+    ----------
+    family_name : str
+        The family name of the index.
+    settlement_days : int
+        The number of settlement days.
+    currency : :class:`~quantlib.currency.currency.Currency`
+        The currency of the index.
+    fixing_calendar : :class:`~quantlib.time.calendar.Calendar`
+        The calendar used for fixing dates.
+    day_counter : :class:`~quantlib.time.daycounter.DayCounter`
+        The day counter for the index.
+    yts : :class:`~quantlib.termstructures.yield_term_structure.HandleYieldTermStructure`, optional
+        The yield term structure handle.
+    """
     def __init__(self, str family_name, Natural settlement_days,
                  Currency currency, Calendar fixing_calendar,
                  DayCounter day_counter not None,