pyquantlib 0.1.0__tar.gz → 0.3.0__tar.gz

{pyquantlib-0.1.0 → pyquantlib-0.3.0}/.github/workflows/linux.yml

@@ -12,6 +12,21 @@ name: Linux build
 
 on:
   workflow_dispatch:
+  push:
+    branches: [main]
+    paths:
+      - "src/**"
+      - "include/**"
+      - "CMakeLists.txt"
+      - "pyproject.toml"
+      - ".github/workflows/linux.yml"
+  pull_request:
+    paths:
+      - "src/**"
+      - "include/**"
+      - "CMakeLists.txt"
+      - "pyproject.toml"
+      - ".github/workflows/linux.yml"
 
 env:
   QUANTLIB_VERSION: "1.40"

{pyquantlib-0.1.0 → pyquantlib-0.3.0}/.github/workflows/macos.yml

@@ -12,6 +12,21 @@ name: macOS build
 
 on:
   workflow_dispatch:
+  push:
+    branches: [main]
+    paths:
+      - "src/**"
+      - "include/**"
+      - "CMakeLists.txt"
+      - "pyproject.toml"
+      - ".github/workflows/macos.yml"
+  pull_request:
+    paths:
+      - "src/**"
+      - "include/**"
+      - "CMakeLists.txt"
+      - "pyproject.toml"
+      - ".github/workflows/macos.yml"
 
 env:
   QUANTLIB_VERSION: "1.40"

{pyquantlib-0.1.0 → pyquantlib-0.3.0}/.github/workflows/windows.yml

@@ -12,6 +12,21 @@ name: Windows build
 
 on:
   workflow_dispatch:
+  push:
+    branches: [main]
+    paths:
+      - "src/**"
+      - "include/**"
+      - "CMakeLists.txt"
+      - "pyproject.toml"
+      - ".github/workflows/windows.yml"
+  pull_request:
+    paths:
+      - "src/**"
+      - "include/**"
+      - "CMakeLists.txt"
+      - "pyproject.toml"
+      - ".github/workflows/windows.yml"
 
 env:
   QUANTLIB_VERSION: "1.40"

pyquantlib-0.3.0/CITATION.cff

@@ -0,0 +1,20 @@
+cff-version: 1.2.0
+title: PyQuantLib
+message: If you use this software, please cite it using the metadata from this file.
+type: software
+authors:
+  - family-names: Idyiahia
+    given-names: Yassine
+repository-code: https://github.com/quantales/pyquantlib
+url: https://pyquantlib.readthedocs.io
+license: BSD-3-Clause
+identifiers:
+  - type: doi
+    value: 10.5281/zenodo.18529027
+    description: Zenodo concept DOI (all versions)
+keywords:
+  - quantitative finance
+  - QuantLib
+  - Python bindings
+  - derivatives pricing
+  - fixed income

{pyquantlib-0.1.0 → pyquantlib-0.3.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: pyquantlib
-Version: 0.1.0
+Version: 0.3.0
 Summary: Python bindings for QuantLib
 Keywords: quantlib,quantitative-finance,derivatives,pricing,risk,fixed-income,options,finance,pybind11
 Author-Email: Yassine Idyiahia <yassine.id@gmail.com>
@@ -77,6 +77,8 @@ Requires-Dist: jupyter>=1.0.0; extra == "examples"
 Requires-Dist: matplotlib>=3.5.0; extra == "examples"
 Requires-Dist: pandas>=1.3.0; extra == "examples"
 Requires-Dist: numpy>=1.20.0; extra == "examples"
+Provides-Extra: all
+Requires-Dist: pyquantlib[dev,docs,examples]; extra == "all"
 Description-Content-Type: text/markdown
 
 # PyQuantLib: Modern Python bindings for QuantLib
@@ -87,8 +89,9 @@ Description-Content-Type: text/markdown
 [![Windows](https://github.com/quantales/pyquantlib/actions/workflows/windows.yml/badge.svg)](https://github.com/quantales/pyquantlib/actions/workflows/windows.yml)
 [![codecov](https://codecov.io/github/quantales/pyquantlib/graph/badge.svg?token=Q1HNBAK7S1)](https://codecov.io/github/quantales/pyquantlib)
 [![PyPI](https://img.shields.io/pypi/v/pyquantlib.svg)](https://pypi.org/project/pyquantlib/)
+[![DOI](https://zenodo.org/badge/DOI/10.5281/zenodo.18529027.svg)](https://doi.org/10.5281/zenodo.18529027)
 [![License](https://img.shields.io/badge/License-BSD_3--Clause-blue.svg)](https://github.com/quantales/pyquantlib/blob/main/LICENSE)
-[![Python](https://img.shields.io/badge/Python-3.9%2B-blue.svg)](https://www.python.org/downloads/)
+[![Python](https://img.shields.io/badge/Python-3.10%2B-blue.svg)](https://www.python.org/downloads/)
 [![PRs Welcome](https://img.shields.io/badge/PRs-welcome-brightgreen.svg)](https://github.com/quantales/pyquantlib/blob/main/CONTRIBUTING.md)
 
 > **Beta Status**: This project is under active development. API may change.
@@ -107,15 +110,25 @@ PyQuantLib provides Python bindings for [QuantLib](https://www.quantlib.org/), t
 
 ## Installation
 
-### Prerequisites
+```bash
+pip install pyquantlib
+```
+
+Pre-built wheels are available for Python 3.10--3.13 on Linux (x86_64), macOS (ARM), and Windows (x64). QuantLib is statically linked -- no separate installation required.
+
+### From Source
 
-- Python 3.9+
+Building from source requires QuantLib built with specific CMake flags. See [CONTRIBUTING.md](CONTRIBUTING.md) for detailed instructions.
+
+#### Prerequisites
+
+- Python 3.10+
 - CMake 3.18+
 - C++17 compatible compiler
 - Boost headers
 - **QuantLib 1.40+** built with `std::shared_ptr` support (see below)
 
-### QuantLib Build Requirement
+#### QuantLib Build Requirement
 
 > **Important**: PyQuantLib requires QuantLib built from source with specific settings.
 
@@ -137,12 +150,9 @@ cmake -DBUILD_SHARED_LIBS=OFF \
 | `QL_USE_STD_SHARED_PTR=ON` | pybind11 uses `std::shared_ptr` as default holder |
 | `CMAKE_MSVC_RUNTIME_LIBRARY=MultiThreadedDLL` | **Windows only**: Python extensions require dynamic runtime (`/MD`) |
 
-**Note**: Pre-built packages (Homebrew, vcpkg, apt) use shared builds and `boost::shared_ptr` — they are **not compatible**. You must build QuantLib from source. See [CONTRIBUTING.md](CONTRIBUTING.md) for detailed build instructions.
-
-### From Source
+**Note**: Pre-built packages (Homebrew, vcpkg, apt) use shared builds and `boost::shared_ptr` -- they are **not compatible**. You must build QuantLib from source. See [CONTRIBUTING.md](CONTRIBUTING.md) for detailed build instructions.
 
 ```bash
-# After building QuantLib with required flags (see CONTRIBUTING.md)
 pip install git+https://github.com/quantales/pyquantlib.git
 ```
 
@@ -222,7 +232,7 @@ pytest
 
 ## Documentation
 
-Full documentation is available at [pyquantlib.readthedocs.io](https://pyquantlib.readthedocs.io/).
+Full documentation is available at [pyquantlib.readthedocs.io](https://pyquantlib.readthedocs.io/). For the latest additions, see the [changelog](https://pyquantlib.readthedocs.io/en/latest/changelog.html).
 
 ## Examples
 

{pyquantlib-0.1.0 → pyquantlib-0.3.0}/README.md

@@ -6,8 +6,9 @@
 [![Windows](https://github.com/quantales/pyquantlib/actions/workflows/windows.yml/badge.svg)](https://github.com/quantales/pyquantlib/actions/workflows/windows.yml)
 [![codecov](https://codecov.io/github/quantales/pyquantlib/graph/badge.svg?token=Q1HNBAK7S1)](https://codecov.io/github/quantales/pyquantlib)
 [![PyPI](https://img.shields.io/pypi/v/pyquantlib.svg)](https://pypi.org/project/pyquantlib/)
+[![DOI](https://zenodo.org/badge/DOI/10.5281/zenodo.18529027.svg)](https://doi.org/10.5281/zenodo.18529027)
 [![License](https://img.shields.io/badge/License-BSD_3--Clause-blue.svg)](https://github.com/quantales/pyquantlib/blob/main/LICENSE)
-[![Python](https://img.shields.io/badge/Python-3.9%2B-blue.svg)](https://www.python.org/downloads/)
+[![Python](https://img.shields.io/badge/Python-3.10%2B-blue.svg)](https://www.python.org/downloads/)
 [![PRs Welcome](https://img.shields.io/badge/PRs-welcome-brightgreen.svg)](https://github.com/quantales/pyquantlib/blob/main/CONTRIBUTING.md)
 
 > **Beta Status**: This project is under active development. API may change.
@@ -26,15 +27,25 @@ PyQuantLib provides Python bindings for [QuantLib](https://www.quantlib.org/), t
 
 ## Installation
 
-### Prerequisites
+```bash
+pip install pyquantlib
+```
+
+Pre-built wheels are available for Python 3.10--3.13 on Linux (x86_64), macOS (ARM), and Windows (x64). QuantLib is statically linked -- no separate installation required.
+
+### From Source
 
-- Python 3.9+
+Building from source requires QuantLib built with specific CMake flags. See [CONTRIBUTING.md](CONTRIBUTING.md) for detailed instructions.
+
+#### Prerequisites
+
+- Python 3.10+
 - CMake 3.18+
 - C++17 compatible compiler
 - Boost headers
 - **QuantLib 1.40+** built with `std::shared_ptr` support (see below)
 
-### QuantLib Build Requirement
+#### QuantLib Build Requirement
 
 > **Important**: PyQuantLib requires QuantLib built from source with specific settings.
 
@@ -56,12 +67,9 @@ cmake -DBUILD_SHARED_LIBS=OFF \
 | `QL_USE_STD_SHARED_PTR=ON` | pybind11 uses `std::shared_ptr` as default holder |
 | `CMAKE_MSVC_RUNTIME_LIBRARY=MultiThreadedDLL` | **Windows only**: Python extensions require dynamic runtime (`/MD`) |
 
-**Note**: Pre-built packages (Homebrew, vcpkg, apt) use shared builds and `boost::shared_ptr` — they are **not compatible**. You must build QuantLib from source. See [CONTRIBUTING.md](CONTRIBUTING.md) for detailed build instructions.
-
-### From Source
+**Note**: Pre-built packages (Homebrew, vcpkg, apt) use shared builds and `boost::shared_ptr` -- they are **not compatible**. You must build QuantLib from source. See [CONTRIBUTING.md](CONTRIBUTING.md) for detailed build instructions.
 
 ```bash
-# After building QuantLib with required flags (see CONTRIBUTING.md)
 pip install git+https://github.com/quantales/pyquantlib.git
 ```
 
@@ -141,7 +149,7 @@ pytest
 
 ## Documentation
 
-Full documentation is available at [pyquantlib.readthedocs.io](https://pyquantlib.readthedocs.io/).
+Full documentation is available at [pyquantlib.readthedocs.io](https://pyquantlib.readthedocs.io/). For the latest additions, see the [changelog](https://pyquantlib.readthedocs.io/en/latest/changelog.html).
 
 ## Examples
 

{pyquantlib-0.1.0 → pyquantlib-0.3.0}/SECURITY.md

@@ -16,9 +16,7 @@ A response will be provided as soon as possible.
 
 ## Supported Versions
 
-| Version | Supported          |
-| ------- | ------------------ |
-| 0.1.x   | :white_check_mark: |
+Only the latest release is supported with security fixes. Upgrade to the newest version available on [PyPI](https://pypi.org/project/pyquantlib/).
 
 ## Security Considerations
 

pyquantlib-0.3.0/docs/api/cashflows.md

@@ -0,0 +1,367 @@
+# Cash Flows Module
+
+## Cash Flows
+
+### SimpleCashFlow
+
+```{eval-rst}
+.. autoclass:: pyquantlib.SimpleCashFlow
+```
+
+```python
+cf = ql.SimpleCashFlow(1000.0, ql.Date(15, 6, 2026))
+print(cf.amount())  # 1000.0
+print(cf.date())    # June 15th, 2026
+```
+
+### Redemption
+
+```{eval-rst}
+.. autoclass:: pyquantlib.Redemption
+```
+
+### AmortizingPayment
+
+```{eval-rst}
+.. autoclass:: pyquantlib.AmortizingPayment
+```
+
+## Coupons
+
+### FixedRateCoupon
+
+```{eval-rst}
+.. autoclass:: pyquantlib.FixedRateCoupon
+```
+
+```python
+coupon = ql.FixedRateCoupon(
+    payment_date, nominal, rate, day_counter, accrual_start, accrual_end
+)
+print(coupon.amount())
+print(coupon.rate())
+```
+
+### FloatingRateCoupon
+
+```{eval-rst}
+.. autoclass:: pyquantlib.FloatingRateCoupon
+```
+
+Base class for coupons paying a variable index-based rate.
+
+```python
+coupon = ql.FloatingRateCoupon(
+    payment_date, nominal, start_date, end_date,
+    fixingDays=2, index=euribor6m, gearing=1.0, spread=0.005
+)
+print(coupon.gearing())     # 1.0
+print(coupon.spread())      # 0.005
+print(coupon.fixingDate())
+```
+
+### IborCoupon
+
+```{eval-rst}
+.. autoclass:: pyquantlib.IborCoupon
+```
+
+Coupon paying a Libor-type index (e.g., Euribor, USD LIBOR).
+
+```python
+coupon = ql.IborCoupon(
+    payment_date, 1e6, start_date, end_date,
+    2, euribor6m
+)
+print(coupon.fixingDate())
+print(coupon.fixingValueDate())
+```
+
+### OvernightIndexedCoupon
+
+```{eval-rst}
+.. autoclass:: pyquantlib.OvernightIndexedCoupon
+```
+
+Coupon paying the compounded (or simple average) daily overnight rate.
+
+```python
+coupon = ql.OvernightIndexedCoupon(
+    payment_date, 10e6, start_date, end_date,
+    overnight_index, spread=0.001,
+    averagingMethod=ql.RateAveraging.Type.Compound
+)
+```
+
+### CmsCoupon
+
+```{eval-rst}
+.. autoclass:: pyquantlib.CmsCoupon
+```
+
+Coupon paying a CMS (Constant Maturity Swap) rate.
+
+```python
+coupon = ql.CmsCoupon(
+    payment_date, 1e6, start_date, end_date,
+    2, swap_index
+)
+```
+
+## Coupon Pricers
+
+### BlackIborCouponPricer
+
+```{eval-rst}
+.. autoclass:: pyquantlib.BlackIborCouponPricer
+```
+
+Black-formula pricer for Ibor coupons. Attach to a leg with `setCouponPricer`.
+
+```python
+pricer = ql.BlackIborCouponPricer()
+ql.setCouponPricer(floating_leg, pricer)
+```
+
+### LinearTsrPricer
+
+```{eval-rst}
+.. autoclass:: pyquantlib.LinearTsrPricer
+```
+
+Linear Terminal Swap Rate pricer for CMS coupons.
+
+```python
+pricer = ql.LinearTsrPricer(swaption_vol, mean_reversion)
+ql.setCouponPricer(cms_leg, pricer)
+```
+
+### LinearTsrPricerSettings
+
+```{eval-rst}
+.. autoclass:: pyquantlib.LinearTsrPricerSettings
+```
+
+### LinearTsrPricerStrategy
+
+```{eval-rst}
+.. autoclass:: pyquantlib.LinearTsrPricerStrategy
+   :members:
+   :undoc-members:
+```
+
+### setCouponPricer
+
+```{eval-rst}
+.. autofunction:: pyquantlib.setCouponPricer
+```
+
+Also accepts inflation coupon pricers for legs containing `YoYInflationCoupon` cashflows.
+
+## Leg Builders
+
+### FixedRateLeg
+
+```{eval-rst}
+.. autoclass:: pyquantlib.FixedRateLeg
+```
+
+```python
+leg = ql.FixedRateLeg(schedule) \
+    .withNotionals(1000000.0) \
+    .withCouponRates(0.05, ql.Actual365Fixed()) \
+    .build()
+
+for cf in leg:
+    print(f"{cf.date()}: {cf.amount():.2f}")
+```
+
+### IborLeg
+
+```{eval-rst}
+.. autoclass:: pyquantlib.IborLeg
+```
+
+```python
+leg = ql.IborLeg(schedule, euribor6m) \
+    .withNotionals(1e6) \
+    .withSpreads(0.005) \
+    .build()
+```
+
+### OvernightLeg
+
+```{eval-rst}
+.. autoclass:: pyquantlib.OvernightLeg
+```
+
+```python
+leg = ql.OvernightLeg(schedule, overnight_index) \
+    .withNotionals(10e6) \
+    .withSpreads(0.001) \
+    .withAveragingMethod(ql.RateAveraging.Type.Compound) \
+    .build()
+```
+
+### CmsLeg
+
+```{eval-rst}
+.. autoclass:: pyquantlib.CmsLeg
+```
+
+```python
+leg = ql.CmsLeg(schedule, swap_index) \
+    .withNotionals(1e6) \
+    .withSpreads(0.001) \
+    .build()
+```
+
+## Settings
+
+### IborCouponSettings
+
+```{eval-rst}
+.. autoclass:: pyquantlib.IborCouponSettings
+```
+
+Controls whether IborCoupons are created as par or indexed coupons.
+
+```python
+settings = ql.IborCouponSettings.instance()
+settings.createAtParCoupons()    # default
+settings.createIndexedCoupons()  # alternative
+```
+
+## Inflation Coupons
+
+### InflationCoupon
+
+```{eval-rst}
+.. autoclass:: pyquantlib.base.InflationCoupon
+   :members:
+   :undoc-members:
+```
+
+Abstract base class for coupons linked to an inflation index.
+
+### ZeroInflationCashFlow
+
+```{eval-rst}
+.. autoclass:: pyquantlib.ZeroInflationCashFlow
+   :members:
+   :undoc-members:
+```
+
+Cash flow paying the zero-inflation rate between two dates.
+
+### YoYInflationCoupon
+
+```{eval-rst}
+.. autoclass:: pyquantlib.YoYInflationCoupon
+   :members:
+   :undoc-members:
+```
+
+Coupon paying the year-on-year inflation rate.
+
+### CappedFlooredYoYInflationCoupon
+
+```{eval-rst}
+.. autoclass:: pyquantlib.CappedFlooredYoYInflationCoupon
+   :members:
+   :undoc-members:
+```
+
+Year-on-year inflation coupon with cap and/or floor.
+
+### yoyInflationLeg
+
+```{eval-rst}
+.. autoclass:: pyquantlib.yoyInflationLeg
+   :members:
+   :undoc-members:
+```
+
+Builder class for constructing a leg of year-on-year inflation coupons.
+
+```python
+leg = ql.yoyInflationLeg(schedule, calendar, yoy_index, observation_lag) \
+    .withNotionals(1_000_000.0) \
+    .withPaymentDayCounter(ql.Actual365Fixed()) \
+    .build()
+```
+
+## Inflation Coupon Pricers
+
+### InflationCouponPricer
+
+```{eval-rst}
+.. autoclass:: pyquantlib.base.InflationCouponPricer
+   :members:
+   :undoc-members:
+```
+
+Abstract base class for inflation coupon pricers.
+
+### YoYInflationCouponPricer
+
+```{eval-rst}
+.. autoclass:: pyquantlib.YoYInflationCouponPricer
+   :members:
+   :undoc-members:
+```
+
+Base pricer for year-on-year inflation coupons.
+
+### BlackYoYInflationCouponPricer
+
+```{eval-rst}
+.. autoclass:: pyquantlib.BlackYoYInflationCouponPricer
+   :members:
+   :undoc-members:
+```
+
+Black-formula pricer for YoY inflation coupons (lognormal volatility).
+
+### UnitDisplacedBlackYoYInflationCouponPricer
+
+```{eval-rst}
+.. autoclass:: pyquantlib.UnitDisplacedBlackYoYInflationCouponPricer
+   :members:
+   :undoc-members:
+```
+
+Unit-displaced Black-formula pricer for YoY inflation coupons.
+
+### BachelierYoYInflationCouponPricer
+
+```{eval-rst}
+.. autoclass:: pyquantlib.BachelierYoYInflationCouponPricer
+   :members:
+   :undoc-members:
+```
+
+Bachelier (normal volatility) pricer for YoY inflation coupons.
+
+```python
+pricer = ql.BlackYoYInflationCouponPricer(yoy_vol_handle)
+ql.setCouponPricer(yoy_leg, pricer)
+```
+
+## Duration
+
+### DurationType
+
+```{eval-rst}
+.. autoclass:: pyquantlib.DurationType
+```
+
+| Value | Description |
+|-------|-------------|
+| `Simple` | Simple duration |
+| `Macaulay` | Macaulay duration |
+| `Modified` | Modified duration |
+
+```{note}
+Abstract base classes `CashFlow`, `Coupon`, `FloatingRateCouponPricer`, `MeanRevertingPricer`, `CmsCouponPricer`, `InflationCoupon`, and `InflationCouponPricer` are available in `pyquantlib.base` for custom implementations.
+```

{pyquantlib-0.1.0 → pyquantlib-0.3.0}/docs/api/experimental.md

@@ -47,6 +47,20 @@ print(smile.volatility(110.0))  # OTM call vol
 call_price = smile.optionPrice(110.0, ql.OptionType.Call)
 ```
 
+## Credit
+
+### CdsOption
+
+```{eval-rst}
+.. autoclass:: pyquantlib.CdsOption
+```
+
+### BlackCdsOptionEngine
+
+```{eval-rst}
+.. autoclass:: pyquantlib.BlackCdsOptionEngine
+```
+
 ### SVI Helper Functions
 
 ```{eval-rst}