pyquantlib 0.2.0__tar.gz → 0.4.0__tar.gz

{pyquantlib-0.2.0 → pyquantlib-0.4.0}/CITATION.cff

@@ -10,7 +10,7 @@ url: https://pyquantlib.readthedocs.io
 license: BSD-3-Clause
 identifiers:
   - type: doi
-    value: 10.5281/zenodo.18563010
+    value: 10.5281/zenodo.18529027
     description: Zenodo concept DOI (all versions)
 keywords:
   - quantitative finance

{pyquantlib-0.2.0 → pyquantlib-0.4.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: pyquantlib
-Version: 0.2.0
+Version: 0.4.0
 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>
@@ -89,7 +89,7 @@ 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.18563010.svg)](https://doi.org/10.5281/zenodo.18563010)
+[![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-3.10%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)
@@ -110,7 +110,17 @@ 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
+
+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+
@@ -118,7 +128,7 @@ PyQuantLib provides Python bindings for [QuantLib](https://www.quantlib.org/), t
 - 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.
 
@@ -140,12 +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
 ```
 
@@ -225,7 +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-0.2.0 → pyquantlib-0.4.0}/README.md

@@ -6,7 +6,7 @@
 [![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.18563010.svg)](https://doi.org/10.5281/zenodo.18563010)
+[![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-3.10%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)
@@ -27,7 +27,17 @@ 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
+
+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+
@@ -35,7 +45,7 @@ PyQuantLib provides Python bindings for [QuantLib](https://www.quantlib.org/), t
 - 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.
 
@@ -57,12 +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
 ```
 
@@ -142,7 +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-0.2.0 → pyquantlib-0.4.0}/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-0.2.0 → pyquantlib-0.4.0}/docs/api/cashflows.md

@@ -156,6 +156,8 @@ ql.setCouponPricer(cms_leg, pricer)
 .. autofunction:: pyquantlib.setCouponPricer
 ```
 
+Also accepts inflation coupon pricers for legs containing `YoYInflationCoupon` cashflows.
+
 ## Leg Builders
 
 ### FixedRateLeg
@@ -230,6 +232,167 @@ 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)
+```
+
+## Dividends
+
+### FixedDividend
+
+```{eval-rst}
+.. autoclass:: pyquantlib.FixedDividend
+```
+
+Fixed cash dividend.
+
+```python
+div = ql.FixedDividend(2.50, ql.Date(15, 6, 2026))
+print(div.amount())  # 2.5
+print(div.date())    # June 15th, 2026
+```
+
+### FractionalDividend
+
+```{eval-rst}
+.. autoclass:: pyquantlib.FractionalDividend
+```
+
+Fractional (proportional) dividend: amount = rate * nominal.
+
+```python
+div = ql.FractionalDividend(0.03, 100.0, ql.Date(15, 6, 2026))
+print(div.rate())     # 0.03
+print(div.nominal())  # 100.0
+```
+
+### DividendVector
+
+```{eval-rst}
+.. autofunction:: pyquantlib.DividendVector
+```
+
+Builds a sequence of fixed dividends from dates and amounts.
+
+```python
+divs = ql.DividendVector(
+    [ql.Date(15, 6, 2026), ql.Date(15, 12, 2026)],
+    [2.50, 2.50],
+)
+```
+
 ## Duration
 
 ### DurationType
@@ -245,5 +408,5 @@ settings.createIndexedCoupons()  # alternative
 | `Modified` | Modified duration |
 
 ```{note}
-Abstract base classes `CashFlow`, `Coupon`, `FloatingRateCouponPricer`, `MeanRevertingPricer`, and `CmsCouponPricer` are available in `pyquantlib.base` for custom implementations.
+Abstract base classes `CashFlow`, `Coupon`, `FloatingRateCouponPricer`, `MeanRevertingPricer`, `CmsCouponPricer`, `InflationCoupon`, and `InflationCouponPricer` are available in `pyquantlib.base` for custom implementations.
 ```

{pyquantlib-0.2.0 → pyquantlib-0.4.0}/docs/api/experimental.md

@@ -47,6 +47,83 @@ print(smile.volatility(110.0))  # OTM call vol
 call_price = smile.optionPrice(110.0, ql.OptionType.Call)
 ```
 
+## Callable Bonds
+
+### CallableBondVolatilityStructure
+
+```{eval-rst}
+.. autoclass:: pyquantlib.base.CallableBondVolatilityStructure
+```
+
+Abstract base class for callable-bond volatility term structures.
+
+### CallableBondConstantVolatility
+
+```{eval-rst}
+.. autoclass:: pyquantlib.CallableBondConstantVolatility
+```
+
+```python
+vol = ql.CallableBondConstantVolatility(today, 0.10, ql.Actual365Fixed())
+# or with a Quote
+vol = ql.CallableBondConstantVolatility(today, ql.SimpleQuote(0.10),
+                                         ql.Actual365Fixed())
+```
+
+### TreeCallableFixedRateBondEngine
+
+```{eval-rst}
+.. autoclass:: pyquantlib.TreeCallableFixedRateBondEngine
+```
+
+### TreeCallableZeroCouponBondEngine
+
+```{eval-rst}
+.. autoclass:: pyquantlib.TreeCallableZeroCouponBondEngine
+```
+
+```python
+hw_model = ql.HullWhite(curve_handle, 0.03, 0.01)
+engine = ql.TreeCallableFixedRateBondEngine(hw_model, 100)
+bond.setPricingEngine(engine)
+print(bond.cleanPrice())
+```
+
+### BlackCallableFixedRateBondEngine
+
+```{eval-rst}
+.. autoclass:: pyquantlib.BlackCallableFixedRateBondEngine
+```
+
+### BlackCallableZeroCouponBondEngine
+
+```{eval-rst}
+.. autoclass:: pyquantlib.BlackCallableZeroCouponBondEngine
+```
+
+```python
+# Black engine requires exactly one call/put date
+vol = ql.CallableBondConstantVolatility(today, 0.10, dc)
+engine = ql.BlackCallableFixedRateBondEngine(vol, discount_curve)
+bond.setPricingEngine(engine)
+print(bond.cleanPrice())
+print(bond.impliedVolatility(target_price, curve, 1e-8, 200, 0.001, 0.50))
+```
+
+## Credit
+
+### CdsOption
+
+```{eval-rst}
+.. autoclass:: pyquantlib.CdsOption
+```
+
+### BlackCdsOptionEngine
+
+```{eval-rst}
+.. autoclass:: pyquantlib.BlackCdsOptionEngine
+```
+
 ### SVI Helper Functions
 
 ```{eval-rst}