QuantLib-Risks 1.33.1__cp312-cp312-win_amd64.whl

QuantLib_Risks/_QuantLib_Risks.cp312-win_amd64.pyd

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+[diffend] Oversized file quarantined before diffing.
+name: QuantLib_Risks/_QuantLib_Risks.cp312-win_amd64.pyd
+size: 44336640 bytes
+sha256: c9d75e1edbde58b1e9eb923ac1741650415bf8de70d521e0967aaabf384f4923

QuantLib_Risks/__init__.py

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+# -*- coding: iso-8859-1 -*-
+"""
+ Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
+ Copyright (C) 2024 Xcelerit Computing Limited.
+
+ This file is part of QuantLib-Risks, a Python wrapper for QuantLib enabled
+ for risk computation using automatic differentiation. It uses XAD,
+ a fast and comprehensive C++ library for automatic differentiation.
+
+ QuantLib-Risks and XAD are free software: you can redistribute it and/or modify
+ it under the terms of the GNU Affero General Public License as published
+ by the Free Software Foundation, either version 3 of the License, or
+ (at your option) any later version.
+
+ QuantLib-Risks 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
+ GNU Affero General Public License for more details.
+
+ You should have received a copy of the GNU Affero General Public License
+ along with this program.  If not, see <http://www.gnu.org/licenses/>.
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ 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.
+"""
+
+from .QuantLib_Risks import *
+
+if XAD_ENABLED:
+    from xad_autodiff.adj_1st import Real
+    from typing import Union, Tuple, List
+
+    # as part of the input at the top, we'll have _QuantLib_Risks in scope
+    DoubleVector = _QuantLib_Risks.DoubleVector
+    DoublePairVector = _QuantLib_Risks.DoublePairVector
+    DoubleVectorVector = _QuantLib_Risks.DoubleVectorVector
+
+    def Concentrating1dMesherPoint(x1: Union[Real, float, int], x2: Union[Real, float, int], v: bool) -> Tuple[Real, Real, bool]:
+        return (Real(x1), Real(x2), bool(v))
+
+    def PairDoubleVector(x1: List[Union[Real, float, int]] = [], x2: List[Union[Real, float, int]] = []) -> Tuple[List[Real], List[Real]]:
+        return ([Real(x) for x in x1], [Real(x) for x in x2])
+
+if hasattr(_QuantLib_Risks,'__version__'):
+    __version__ = _QuantLib_Risks.__version__
+elif hasattr(_QuantLib_Risks.cvar,'__version__'):
+    __version__ = _QuantLib_Risks.cvar.__version__
+else:
+    print('Could not find __version__ attribute')
+
+if hasattr(_QuantLib_Risks,'__hexversion__'):
+    __hexversion__ = _QuantLib_Risks.__hexversion__
+elif hasattr(_QuantLib_Risks.cvar,'__hexversion__'):
+    __hexversion__ = _QuantLib_Risks.cvar.__hexversion__
+else:
+    print('Could not find __hexversion__ attribute')

quantlib_risks-1.33.1.dist-info/METADATA

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+Metadata-Version: 2.1
+Name: QuantLib-Risks
+Version: 1.33.1
+Summary: Fast risks calculations in QuantLib
+Home-page: https://auto-differentiation.github.io
+License: AGPL-3.0-or-later
+Keywords: automatic-differentiation,derivatives,risk-management,quant-finance,greeks,risks
+Author: Auto Differentiation Dev Team
+Author-email: dev@auto-differentiation.com
+Requires-Python: >=3.8.1,<4.0
+Classifier: Development Status :: 5 - Production/Stable
+Classifier: Intended Audience :: Developers
+Classifier: Intended Audience :: Education
+Classifier: Intended Audience :: End Users/Desktop
+Classifier: Intended Audience :: Financial and Insurance Industry
+Classifier: Intended Audience :: Science/Research
+Classifier: License :: OSI Approved :: GNU Affero General Public License v3 or later (AGPLv3+)
+Classifier: License :: Other/Proprietary License
+Classifier: Natural Language :: English
+Classifier: Operating System :: MacOS :: MacOS X
+Classifier: Operating System :: Microsoft :: Windows
+Classifier: Operating System :: POSIX :: Linux
+Classifier: Programming Language :: Python :: 3
+Classifier: Programming Language :: Python :: 3.9
+Classifier: Programming Language :: Python :: 3.10
+Classifier: Programming Language :: Python :: 3.11
+Classifier: Programming Language :: Python :: 3.12
+Classifier: Programming Language :: Python :: 3.8
+Classifier: Programming Language :: Python :: Implementation :: CPython
+Classifier: Topic :: Scientific/Engineering
+Classifier: Topic :: Software Development
+Requires-Dist: xad-autodiff
+Project-URL: Documentation, https://auto-differentiation.github.io/quantlib
+Project-URL: Repository, https://github.com/auto-differentiation/XAD
+Project-URL: download, https://pypi.org/project/QuantLib-Risks/#files
+Project-URL: tracker, https://github.com/auto-differentiation/XAD/issues
+Description-Content-Type: text/markdown
+
+This package enables fast risks calculations on the QuantLib Python package. 
+It provides the same interface as the [standard QuantLib package](https://pypi.org/project/QuantLib/), and in addition allows to calculate risks (sensitivities) using automatic differentiation via the [XAD automatic differentiation tool](https://auto-differentation.github.io).
+
+Useful links:
+
+-   [QuantLib Documentation](https://www.quantlib.org)
+-   [XAD Documentation, incl Python bindings and QuantLib integration](https://auto-differentiation.github.io)
+
+## Installation
+
+```
+pip install QuantLib-Risks
+```
+
+## Usage Illustration
+
+```python
+import QuantLib_Risks as ql
+from xad_autodiff.adj_1st import Tape
+
+with Tape() as t:
+    rate = ql.Real(0.2)
+    tape.registerInput(rate)
+    
+    # quantlib pricing code
+    ...
+    npv = option.NPV()
+    
+
+    tape.registerOutput(npv)
+    npv.derivative = 1.0
+    tape.computeAdjoints()
+
+    print(f"price = {npv}")
+    print(f"delta = {rate.derivative}")
+```
+

quantlib_risks-1.33.1.dist-info/RECORD

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quantlib_risks-1.33.1.dist-info/WHEEL

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+Wheel-Version: 1.0
+Generator: poetry-core 1.9.0
+Root-Is-Purelib: false
+Tag: cp312-cp312-win_amd64