pyquantlib 0.4.0__tar.gz → 0.6.0__tar.gz

{pyquantlib-0.4.0 → pyquantlib-0.6.0}/.github/workflows/linux.yml

@@ -101,12 +101,12 @@ jobs:
 
       - name: Run tests with coverage
         run: |
-          pytest --cov=tests --cov-report=xml --cov-report=term-missing
+          pytest --cov=pyquantlib --cov=tests --cov-report=xml --cov-report=term-missing
         env:
           LD_LIBRARY_PATH: /home/runner/quantlib-install/lib
 
       - name: Upload coverage to Codecov
-        uses: codecov/codecov-action@v4
+        uses: codecov/codecov-action@v5
         with:
           files: ./coverage.xml
           fail_ci_if_error: false

{pyquantlib-0.4.0 → pyquantlib-0.6.0}/.github/workflows/wheels.yml

@@ -34,6 +34,32 @@ jobs:
     steps:
       - uses: actions/checkout@v4
 
+      - name: Pre-cache virtualenv for cibuildwheel
+        shell: bash
+        run: |
+          VER=20.26.6
+          if [ "$RUNNER_OS" = "Windows" ]; then
+            CACHE_DIR="$LOCALAPPDATA/pypa/cibuildwheel/Cache"
+          elif [ "$RUNNER_OS" = "macOS" ]; then
+            CACHE_DIR="$HOME/Library/Caches/cibuildwheel"
+          else
+            CACHE_DIR="$HOME/.cache/cibuildwheel"
+          fi
+          mkdir -p "$CACHE_DIR"
+          DEST="$CACHE_DIR/virtualenv-${VER}.pyz"
+          if [ ! -f "$DEST" ]; then
+            for i in 1 2 3 4 5; do
+              if curl -sL --retry 3 --retry-delay 10 -o "$DEST" \
+                "https://github.com/pypa/get-virtualenv/blob/${VER}/public/virtualenv.pyz?raw=true"; then
+                echo "Downloaded virtualenv-${VER}.pyz (attempt $i)"
+                break
+              fi
+              echo "Attempt $i failed, waiting 30s..."
+              sleep 30
+            done
+          fi
+          ls -la "$DEST"
+
       - name: Build wheels
         uses: pypa/cibuildwheel@v2.21
         env:

{pyquantlib-0.4.0 → pyquantlib-0.6.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: pyquantlib
-Version: 0.4.0
+Version: 0.6.0
 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>
@@ -94,8 +94,6 @@ Description-Content-Type: text/markdown
 [![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.
-
 ## Overview
 
 PyQuantLib provides Python bindings for [QuantLib](https://www.quantlib.org/), the open-source library for quantitative finance. Built with [pybind11](https://github.com/pybind/pybind11), it offers a more Pythonic API than existing alternatives.
@@ -248,6 +246,3 @@ BSD 3-Clause License. See [LICENSE](LICENSE) for details.
 - [pybind11](https://github.com/pybind/pybind11) - C++/Python bindings
 - [scikit-build-core](https://github.com/scikit-build/scikit-build-core) - Build system
 
-## Status
-
-PyQuantLib is under active development. For broader QuantLib coverage today, use [QuantLib-SWIG](https://github.com/lballabio/QuantLib-SWIG).

{pyquantlib-0.4.0 → pyquantlib-0.6.0}/README.md

@@ -11,8 +11,6 @@
 [![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.
-
 ## Overview
 
 PyQuantLib provides Python bindings for [QuantLib](https://www.quantlib.org/), the open-source library for quantitative finance. Built with [pybind11](https://github.com/pybind/pybind11), it offers a more Pythonic API than existing alternatives.
@@ -165,6 +163,3 @@ BSD 3-Clause License. See [LICENSE](LICENSE) for details.
 - [pybind11](https://github.com/pybind/pybind11) - C++/Python bindings
 - [scikit-build-core](https://github.com/scikit-build/scikit-build-core) - Build system
 
-## Status
-
-PyQuantLib is under active development. For broader QuantLib coverage today, use [QuantLib-SWIG](https://github.com/lballabio/QuantLib-SWIG).

{pyquantlib-0.4.0 → pyquantlib-0.6.0}/docs/_static/custom.css

@@ -1,5 +1,18 @@
 /* PyQuantLib documentation custom styles */
 
+/* Lower Furo's right sidebar breakpoint from 82em (1312px) to 72em (1152px) */
+@media (min-width: 72em) and (max-width: 82em) {
+    .toc-drawer {
+        position: static !important;
+        right: auto !important;
+        height: auto !important;
+        border-left: none;
+    }
+    .toc-content-icon {
+        display: none !important;
+    }
+}
+
 /* Headline sizes and spacing */
 h1 { 
     font-size: 2rem;

{pyquantlib-0.4.0 → pyquantlib-0.6.0}/docs/api/cashflows.md

@@ -108,6 +108,121 @@ coupon = ql.CmsCoupon(
 )
 ```
 
+## Capped/Floored Coupons
+
+### CappedFlooredCoupon
+
+```{eval-rst}
+.. autoclass:: pyquantlib.CappedFlooredCoupon
+```
+
+Wraps a floating-rate coupon with optional cap and/or floor. Use `None` for absent cap or floor.
+
+```python
+underlying = ql.IborCoupon(payment_date, 1e6, start, end, 2, euribor6m)
+cf = ql.CappedFlooredCoupon(underlying, cap=0.05, floor=0.01)
+print(cf.isCapped(), cf.isFloored())  # True True
+print(cf.effectiveCap(), cf.effectiveFloor())
+```
+
+### CappedFlooredIborCoupon
+
+```{eval-rst}
+.. autoclass:: pyquantlib.CappedFlooredIborCoupon
+```
+
+Convenience class that builds a capped/floored Ibor coupon in a single constructor.
+
+### CappedFlooredCmsCoupon
+
+```{eval-rst}
+.. autoclass:: pyquantlib.CappedFlooredCmsCoupon
+```
+
+Convenience class that builds a capped/floored CMS coupon in a single constructor.
+
+## Digital Coupons
+
+### DigitalCoupon
+
+```{eval-rst}
+.. autoclass:: pyquantlib.DigitalCoupon
+```
+
+Floating-rate coupon with embedded digital (binary) call and/or put option.
+
+```python
+dc = ql.DigitalCoupon(underlying, callStrike=0.04, putStrike=0.02)
+print(dc.hasCall(), dc.hasPut(), dc.hasCollar())  # True True True
+```
+
+### DigitalIborCoupon
+
+```{eval-rst}
+.. autoclass:: pyquantlib.DigitalIborCoupon
+```
+
+Digital coupon specialized for Ibor underlyings.
+
+### DigitalCmsCoupon
+
+```{eval-rst}
+.. autoclass:: pyquantlib.DigitalCmsCoupon
+```
+
+Digital coupon specialized for CMS underlyings.
+
+### DigitalIborLeg
+
+```{eval-rst}
+.. autoclass:: pyquantlib.DigitalIborLeg
+```
+
+Fluent builder for a leg of digital Ibor coupons.
+
+```python
+leg = ql.DigitalIborLeg(schedule, euribor6m) \
+    .withNotionals(1e6) \
+    .withCallStrikes(0.04) \
+    .withLongCallOption(ql.PositionType.Long) \
+    .withReplication(ql.DigitalReplication()) \
+    .build()
+```
+
+### DigitalCmsLeg
+
+```{eval-rst}
+.. autoclass:: pyquantlib.DigitalCmsLeg
+```
+
+Fluent builder for a leg of digital CMS coupons. Same API as `DigitalIborLeg` but takes a `SwapIndex`.
+
+### ReplicationType
+
+```{eval-rst}
+.. autoclass:: pyquantlib.ReplicationType
+   :members:
+   :undoc-members:
+```
+
+| Value | Description |
+|-------|-------------|
+| `Sub` | Sub-replication (lower bound) |
+| `Central` | Central replication |
+| `Super` | Super-replication (upper bound) |
+
+### DigitalReplication
+
+```{eval-rst}
+.. autoclass:: pyquantlib.DigitalReplication
+```
+
+Configuration for digital option replication strategy.
+
+```python
+repl = ql.DigitalReplication(ql.ReplicationType.Central, gap=1e-4)
+```
+
 ## Coupon Pricers
 
 ### BlackIborCouponPricer
@@ -150,6 +265,85 @@ ql.setCouponPricer(cms_leg, pricer)
    :undoc-members:
 ```
 
+### YieldCurveModel
+
+```{eval-rst}
+.. autoclass:: pyquantlib.YieldCurveModel
+   :members:
+   :undoc-members:
+```
+
+| Value | Description |
+|-------|-------------|
+| `Standard` | Standard yield curve model |
+| `ExactYield` | Exact yield model |
+| `ParallelShifts` | Parallel shifts model |
+| `NonParallelShifts` | Non-parallel shifts model |
+
+### HaganPricer
+
+```{eval-rst}
+.. autoclass:: pyquantlib.HaganPricer
+```
+
+Abstract base class for Hagan-style CMS coupon pricers using static replication. Inherits from both `CmsCouponPricer` and `MeanRevertingPricer`.
+
+### AnalyticHaganPricer
+
+```{eval-rst}
+.. autoclass:: pyquantlib.AnalyticHaganPricer
+```
+
+Analytic CMS coupon pricer based on the Hagan formula.
+
+```python
+pricer = ql.AnalyticHaganPricer(
+    swaption_vol, ql.YieldCurveModel.Standard, mean_reversion
+)
+ql.setCouponPricer(cms_leg, pricer)
+```
+
+### NumericHaganPricer
+
+```{eval-rst}
+.. autoclass:: pyquantlib.NumericHaganPricer
+```
+
+Numeric CMS coupon pricer using Hagan integration with configurable limits.
+
+```python
+pricer = ql.NumericHaganPricer(
+    swaption_vol, ql.YieldCurveModel.Standard, mean_reversion,
+    lowerLimit=0.0, upperLimit=1.0, precision=1e-6
+)
+```
+
+### CompoundingOvernightIndexedCouponPricer
+
+```{eval-rst}
+.. autoclass:: pyquantlib.CompoundingOvernightIndexedCouponPricer
+```
+
+Pricer for compounded overnight indexed coupons.
+
+### ArithmeticAveragedOvernightIndexedCouponPricer
+
+```{eval-rst}
+.. autoclass:: pyquantlib.ArithmeticAveragedOvernightIndexedCouponPricer
+```
+
+Pricer for arithmetically averaged overnight indexed coupons with optional convexity adjustment.
+
+```python
+# Default (no convexity adjustment)
+pricer = ql.ArithmeticAveragedOvernightIndexedCouponPricer()
+
+# With convexity adjustment parameters
+pricer = ql.ArithmeticAveragedOvernightIndexedCouponPricer(
+    meanReversion=0.03, volatility=0.01, byApprox=False
+)
+```
+
 ### setCouponPricer
 
 ```{eval-rst}
@@ -216,6 +410,31 @@ leg = ql.CmsLeg(schedule, swap_index) \
     .build()
 ```
 
+## BMA Coupons
+
+### AverageBMACoupon
+
+```{eval-rst}
+.. autoclass:: pyquantlib.AverageBMACoupon
+```
+
+Coupon paying the weighted average of BMA fixings.
+
+### AverageBMALeg
+
+```{eval-rst}
+.. autoclass:: pyquantlib.AverageBMALeg
+```
+
+Builder for a sequence of average BMA coupons.
+
+```python
+bma = ql.BMAIndex(curve)
+leg = ql.AverageBMALeg(schedule, bma) \
+    .withNotionals(1e6) \
+    .leg()
+```
+
 ## Settings
 
 ### IborCouponSettings
@@ -408,5 +627,5 @@ divs = ql.DividendVector(
 | `Modified` | Modified duration |
 
 ```{note}
-Abstract base classes `CashFlow`, `Coupon`, `FloatingRateCouponPricer`, `MeanRevertingPricer`, `CmsCouponPricer`, `InflationCoupon`, and `InflationCouponPricer` are available in `pyquantlib.base` for custom implementations.
+Abstract base classes `CashFlow`, `Coupon`, `FloatingRateCouponPricer`, `MeanRevertingPricer`, `CmsCouponPricer`, `HaganPricer`, `InflationCoupon`, and `InflationCouponPricer` are available in `pyquantlib.base` for `isinstance` checks and custom implementations.
 ```

{pyquantlib-0.4.0 → pyquantlib-0.6.0}/docs/api/core.md

@@ -116,6 +116,17 @@ equivalent = rate.equivalentRate(ql.Continuous, ql.NoFrequency, 1.0)
 | `SimpleThenCompounded` | Simple for $t < 1/n$, then compounded |
 | `CompoundedThenSimple` | Compounded for $t \geq 1/n$, then simple |
 
+### PositionType
+
+```{eval-rst}
+.. autoclass:: pyquantlib.PositionType
+```
+
+| Value | Description |
+|-------|-------------|
+| `Long` | Long position |
+| `Short` | Short position |
+
 ### ProtectionSide
 
 ```{eval-rst}

{pyquantlib-0.4.0 → pyquantlib-0.6.0}/docs/api/index.md

@@ -20,6 +20,7 @@ PyQuantLib organizes QuantLib classes into logical groups:
 - **Term Structures**: Yield curves, volatility surfaces
 - **Processes**: Stochastic processes (Black-Scholes, Heston)
 - **Models**: Pricing models (Heston, etc.)
+- **Methods**: Monte Carlo paths, Brownian bridges, generators
 - **Instruments**: Financial instruments (options, etc.)
 - **Pricing Engines**: Analytic, Monte Carlo, finite difference
 - **Experimental**: Experimental QuantLib features (SVI, etc.)
@@ -69,6 +70,7 @@ indexes
 termstructures
 processes
 models
+methods
 instruments
 pricingengines
 experimental

{pyquantlib-0.4.0 → pyquantlib-0.6.0}/docs/api/indexes.md

@@ -217,6 +217,40 @@ swap_index = ql.EuriborSwapIsdaFixA(ql.Period(5, ql.Years), forwarding_curve)
 swap_index = ql.EuriborSwapIsdaFixA(ql.Period(5, ql.Years), forwarding_curve, discounting_curve)
 ```
 
+## BMA Index
+
+### BMAIndex
+
+```{eval-rst}
+.. autoclass:: pyquantlib.BMAIndex
+```
+
+Bond Market Association index (tax-exempt municipal reference rate). Fixes weekly on Wednesdays.
+
+```python
+bma = ql.BMAIndex()              # without forwarding curve
+bma = ql.BMAIndex(curve)         # with forwarding curve
+sched = bma.fixingSchedule(start, end)
+```
+
+## Swap Spread Index
+
+### SwapSpreadIndex
+
+```{eval-rst}
+.. autoclass:: pyquantlib.SwapSpreadIndex
+```
+
+Spread between two swap rate indexes with configurable gearings.
+
+```python
+idx1 = ql.EuriborSwapIsdaFixA(ql.Period("2Y"), curve)
+idx2 = ql.EuriborSwapIsdaFixA(ql.Period("10Y"), curve)
+spread = ql.SwapSpreadIndex("CMS2s10s", idx1, idx2)
+# Custom gearings: 0.5 * idx1 - 0.5 * idx2
+spread = ql.SwapSpreadIndex("Weighted", idx1, idx2, 0.5, -0.5)
+```
+
 ## Equity Indexes
 
 ### EquityIndex