pyquantlib 0.7.0__tar.gz → 0.8.0__tar.gz
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- pyquantlib-0.8.0/.dockerignore +24 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/.github/scripts/build-quantlib-windows.ps1 +6 -1
- pyquantlib-0.8.0/.github/workflows/docker.yml +86 -0
- pyquantlib-0.8.0/.github/workflows/docs.yml +129 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/.github/workflows/linux.yml +1 -1
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/.github/workflows/macos.yml +1 -1
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/.github/workflows/wheels.yml +6 -1
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/.github/workflows/windows.yml +2 -2
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/.gitignore +3 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/CONTRIBUTING.md +1 -1
- pyquantlib-0.8.0/Dockerfile +95 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/PKG-INFO +43 -81
- pyquantlib-0.8.0/README.md +127 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/docs/_static/custom.css +61 -0
- pyquantlib-0.8.0/docs/_static/favicon.svg +9 -0
- pyquantlib-0.8.0/docs/_static/logo.svg +26 -0
- pyquantlib-0.8.0/docs/_static/social-card.png +0 -0
- pyquantlib-0.8.0/docs/_static/wordmark-dark.svg +5 -0
- pyquantlib-0.8.0/docs/_static/wordmark-light.svg +5 -0
- pyquantlib-0.8.0/docs/api/cashflows.md +523 -0
- pyquantlib-0.8.0/docs/api/core.md +161 -0
- pyquantlib-0.8.0/docs/api/currencies.md +112 -0
- pyquantlib-0.8.0/docs/api/experimental.md +128 -0
- pyquantlib-0.8.0/docs/api/extensions.md +116 -0
- pyquantlib-0.8.0/docs/api/indexes.md +297 -0
- pyquantlib-0.8.0/docs/api/instruments.md +774 -0
- pyquantlib-0.8.0/docs/api/math.md +470 -0
- pyquantlib-0.8.0/docs/api/methods.md +499 -0
- pyquantlib-0.8.0/docs/api/models.md +342 -0
- pyquantlib-0.8.0/docs/api/pricingengines.md +967 -0
- pyquantlib-0.8.0/docs/api/processes.md +210 -0
- pyquantlib-0.8.0/docs/api/quotes.md +136 -0
- pyquantlib-0.8.0/docs/api/termstructures.md +831 -0
- pyquantlib-0.8.0/docs/api/time.md +185 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/docs/architecture.md +5 -34
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/docs/building.md +6 -6
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/docs/changelog.md +67 -1
- pyquantlib-0.8.0/docs/concepts/bridge-pattern-types.md +88 -0
- pyquantlib-0.8.0/docs/concepts/calibration.md +74 -0
- pyquantlib-0.8.0/docs/concepts/finite-difference.md +63 -0
- pyquantlib-0.8.0/docs/concepts/index.md +31 -0
- pyquantlib-0.8.0/docs/concepts/pricing-engines.md +66 -0
- pyquantlib-0.8.0/docs/concepts/quotes-and-observables.md +84 -0
- pyquantlib-0.8.0/docs/concepts/random-numbers.md +59 -0
- pyquantlib-0.8.0/docs/concepts/stochastic-processes.md +81 -0
- pyquantlib-0.8.0/docs/concepts/term-structures.md +88 -0
- pyquantlib-0.8.0/docs/conf.py +337 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/docs/contributing.md +0 -4
- pyquantlib-0.8.0/docs/cookbook/american-fd.md +105 -0
- pyquantlib-0.8.0/docs/cookbook/bootstrap-yield-curve.md +106 -0
- pyquantlib-0.8.0/docs/cookbook/compare-engines.md +77 -0
- pyquantlib-0.8.0/docs/cookbook/heston-calibration.md +115 -0
- pyquantlib-0.8.0/docs/cookbook/index.md +38 -0
- pyquantlib-0.8.0/docs/cookbook/mc-convergence.md +98 -0
- pyquantlib-0.8.0/docs/cookbook/mc-engine-kwargs.md +122 -0
- pyquantlib-0.8.0/docs/cookbook/numpy-interop.md +128 -0
- pyquantlib-0.8.0/docs/cookbook/piecewise-mixed-helpers.md +112 -0
- pyquantlib-0.8.0/docs/cookbook/scenario-analysis.md +83 -0
- pyquantlib-0.8.0/docs/cookbook/spread-option-engines.md +70 -0
- pyquantlib-0.8.0/docs/cookbook/vol-surface.md +102 -0
- pyquantlib-0.8.0/docs/examples/index.md +54 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/docs/extending.md +1 -3
- pyquantlib-0.8.0/docs/index.md +147 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/docs/installation.md +2 -1
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/docs/internals.md +4 -4
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/docs/quickstart.md +1 -1
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/docs/requirements.txt +3 -1
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/examples/bermudan_swaption.ipynb +259 -56
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/examples/bonds.ipynb +66 -10
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/examples/cds.ipynb +42 -7
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/examples/equity_option.ipynb +162 -23
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/examples/hello_pyquantlib.ipynb +83 -12
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/examples/inflation_derivatives.ipynb +119 -17
- pyquantlib-0.8.0/examples/multicurve_bootstrapping.ipynb +440 -0
- pyquantlib-0.8.0/examples/numpy_interoperability.ipynb +922 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/examples/replication.ipynb +50 -8
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/examples/spread_option.ipynb +56 -8
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/examples/svi_smile.ipynb +181 -42
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/include/pyquantlib/pyquantlib.h +23 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/pyquantlib/__init__.pyi +50 -4
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/pyquantlib/_pyquantlib/__init__.pyi +2522 -1373
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/pyquantlib/_pyquantlib/base.pyi +124 -122
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/pyquantlib/builders.py +0 -2
- pyquantlib-0.8.0/pyquantlib/version.py +1 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/pyquantlib/version.pyi +1 -1
- pyquantlib-0.8.0/scripts/make_social_card.py +96 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/cashflows/floatingratecoupon.cpp +7 -2
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/core/quote.cpp +1 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/experimental/volatility/svismilesection.cpp +1 -1
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/indexes/all.cpp +2 -0
- pyquantlib-0.8.0/src/indexes/ibor/libor.cpp +119 -0
- pyquantlib-0.8.0/src/indexes/ibor/usdlibor.cpp +79 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/instruments/all.cpp +8 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/instruments/floatfloatswap.cpp +6 -1
- pyquantlib-0.8.0/src/instruments/futures.cpp +30 -0
- pyquantlib-0.8.0/src/instruments/fxforward.cpp +80 -0
- pyquantlib-0.8.0/src/instruments/multipleresetsswap.cpp +64 -0
- pyquantlib-0.8.0/src/instruments/overnightindexfuture.cpp +59 -0
- pyquantlib-0.8.0/src/instruments/perpetualfutures.cpp +54 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/math/all.cpp +6 -0
- pyquantlib-0.8.0/src/math/interpolations/backwardflatlinearinterpolation.cpp +25 -0
- pyquantlib-0.8.0/src/math/interpolations/convexmonotoneinterpolation.cpp +53 -0
- pyquantlib-0.8.0/src/math/interpolations/flatextrapolation2d.cpp +29 -0
- pyquantlib-0.8.0/src/math/interpolations/loginterpolation.cpp +116 -0
- pyquantlib-0.8.0/src/math/interpolations/mixedinterpolation.cpp +96 -0
- pyquantlib-0.8.0/src/math/interpolations/sabrinterpolation.cpp +103 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/pricingengines/all.cpp +4 -0
- pyquantlib-0.8.0/src/pricingengines/forward/discountingfxforwardengine.cpp +58 -0
- pyquantlib-0.8.0/src/pricingengines/futures/discountingperpetualfuturesengine.cpp +98 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/quotes/all.cpp +2 -0
- pyquantlib-0.8.0/src/quotes/deltavolquote.cpp +72 -0
- pyquantlib-0.8.0/src/quotes/multicompositequote.cpp +68 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/all.cpp +16 -0
- pyquantlib-0.8.0/src/termstructures/volatility/equityfx/blackvolsurfacedelta.cpp +86 -0
- pyquantlib-0.8.0/src/termstructures/volatility/equityfx/blackvoltimeextrapolation.cpp +32 -0
- pyquantlib-0.8.0/src/termstructures/volatility/equityfx/piecewiseblackvariancesurface.cpp +61 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/volatility/flatsmilesection.cpp +1 -2
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/volatility/kahalesmilesection.cpp +1 -2
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/volatility/noarbsabrinterpolatedsmilesection.cpp +1 -2
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/volatility/noarbsabrsmilesection.cpp +1 -2
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/volatility/sabrsmilesection.cpp +1 -1
- pyquantlib-0.8.0/src/termstructures/yield/multipleresetsswaphelper.cpp +111 -0
- pyquantlib-0.8.0/src/termstructures/yield/overnightindexfutureratehelper.cpp +125 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/yield/piecewiseyieldcurve.cpp +8 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/yield/ratehelpers.cpp +58 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/tests/test_cashflows.py +19 -2
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/tests/test_core.py +43 -1
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/tests/test_indexes.py +48 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/tests/test_instruments.py +170 -0
- pyquantlib-0.8.0/tests/test_math_interpolations.py +733 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/tests/test_math_randomnumbers.py +12 -12
- pyquantlib-0.8.0/tests/test_pricingengines_futures.py +68 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/tests/test_quotes.py +64 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/tests/test_termstructures_volatility.py +105 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/tests/test_termstructures_yield.py +159 -0
- pyquantlib-0.7.0/README.md +0 -165
- pyquantlib-0.7.0/docs/_static/favicon.svg +0 -4
- pyquantlib-0.7.0/docs/_static/logo.svg +0 -15
- pyquantlib-0.7.0/docs/api/cashflows.md +0 -647
- pyquantlib-0.7.0/docs/api/core.md +0 -164
- pyquantlib-0.7.0/docs/api/currencies.md +0 -87
- pyquantlib-0.7.0/docs/api/experimental.md +0 -144
- pyquantlib-0.7.0/docs/api/extensions.md +0 -101
- pyquantlib-0.7.0/docs/api/indexes.md +0 -432
- pyquantlib-0.7.0/docs/api/instruments.md +0 -1079
- pyquantlib-0.7.0/docs/api/math.md +0 -568
- pyquantlib-0.7.0/docs/api/methods.md +0 -1127
- pyquantlib-0.7.0/docs/api/models.md +0 -438
- pyquantlib-0.7.0/docs/api/pricingengines.md +0 -1344
- pyquantlib-0.7.0/docs/api/processes.md +0 -248
- pyquantlib-0.7.0/docs/api/quotes.md +0 -62
- pyquantlib-0.7.0/docs/api/termstructures.md +0 -1193
- pyquantlib-0.7.0/docs/api/time.md +0 -168
- pyquantlib-0.7.0/docs/conf.py +0 -168
- pyquantlib-0.7.0/docs/design/api-design.md +0 -46
- pyquantlib-0.7.0/docs/design/bridge-defaults.md +0 -173
- pyquantlib-0.7.0/docs/design/builder-pattern.md +0 -163
- pyquantlib-0.7.0/docs/design/cross-tu-holders.md +0 -180
- pyquantlib-0.7.0/docs/design/diamond-inheritance.md +0 -320
- pyquantlib-0.7.0/docs/design/enum-singletons.md +0 -341
- pyquantlib-0.7.0/docs/design/hidden-handles.md +0 -123
- pyquantlib-0.7.0/docs/design/index.md +0 -24
- pyquantlib-0.7.0/docs/design/interpolation.md +0 -231
- pyquantlib-0.7.0/docs/design/protected-members.md +0 -280
- pyquantlib-0.7.0/docs/design/python-subclassing.md +0 -275
- pyquantlib-0.7.0/docs/design/reference-members.md +0 -180
- pyquantlib-0.7.0/docs/design/settings-singleton.md +0 -174
- pyquantlib-0.7.0/docs/examples/index.md +0 -22
- pyquantlib-0.7.0/docs/index.md +0 -174
- pyquantlib-0.7.0/examples/multicurve_bootstrapping.ipynb +0 -203
- pyquantlib-0.7.0/examples/numpy_interoperability.ipynb +0 -499
- pyquantlib-0.7.0/pyquantlib/version.py +0 -1
- pyquantlib-0.7.0/tests/test_math_interpolations.py +0 -291
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/.gitattributes +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/.github/ISSUE_TEMPLATE/bug_report.md +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/.github/ISSUE_TEMPLATE/config.yml +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/.github/ISSUE_TEMPLATE/feature_request.md +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/.github/ISSUE_TEMPLATE/infrastructure.md +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/.readthedocs.yaml +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/CITATION.cff +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/CMakeLists.txt +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/CMakePresets.json +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/LICENSE +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/SECURITY.md +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/docs/api/index.md +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/docs/handles.md +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/docs/numpy.md +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/docs/troubleshooting.md +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/examples/README.md +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/extensions.json +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/include/pyquantlib/binding_manager.h +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/include/pyquantlib/interpolation_helper.h +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/include/pyquantlib/null_utils.h +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/include/pyquantlib/shared_ptr_from_python.h +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/include/pyquantlib/trampolines.h +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/include/pyquantlib/version.h +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/licenseheader.txt +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/pyproject.toml +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/pyquantlib/__init__.py +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/pyquantlib/extensions/__init__.py +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/pyquantlib/extensions/modified_kirk_engine.py +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/pyquantlib/extensions/svi_smile_section.py +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/pyquantlib/py.typed +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/requirements-dev.txt +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/scripts/README.md +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/scripts/build_docs.py +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/scripts/clean.py +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/scripts/rebuild.py +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/scripts/stubgen.py +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/scripts/test.py +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/settings.json +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/cashflows/all.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/cashflows/averagebmacoupon.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/cashflows/capflooredcoupon.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/cashflows/capflooredinflationcoupon.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/cashflows/cmscoupon.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/cashflows/conundrumpricer.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/cashflows/coupon.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/cashflows/couponpricer.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/cashflows/digitalcmscoupon.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/cashflows/digitalcoupon.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/cashflows/digitaliborcoupon.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/cashflows/dividend.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/cashflows/duration.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/cashflows/fixedratecoupon.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/cashflows/iborcoupon.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/cashflows/inflationcoupon.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/cashflows/inflationcouponpricer.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/cashflows/lineartsrpricer.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/cashflows/overnightindexedcoupon.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/cashflows/overnightindexedcouponpricer.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/cashflows/rateaveraging.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/cashflows/replication.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/cashflows/simplecashflow.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/cashflows/yoyinflationcoupon.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/cashflows/zeroinflationcashflow.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/core/all.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/core/cashflow.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/core/cdspricingmodel.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/core/compounding.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/core/constants.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/core/currency.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/core/default.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/core/exchangerate.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/core/exercise.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/core/forward.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/core/index.cpp +0 -0
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- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/pricingengines/vanilla/baroneadesiwhaleyengine.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/pricingengines/vanilla/batesengine.cpp +0 -0
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- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/pricingengines/vanilla/bjerksundstenslandengine.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/pricingengines/vanilla/cashdividendeuropeanengine.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/pricingengines/vanilla/coshestonengine.cpp +0 -0
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- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/pricingengines/vanilla/fdsabrvanillaengine.cpp +0 -0
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- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/pricingengines/vanilla/integralengine.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/pricingengines/vanilla/juquadraticengine.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/pricingengines/vanilla/mcamericanengine.cpp +0 -0
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- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/pricingengines/vanilla/mceuropeanhestonengine.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/pricingengines/vanilla/qdfpamericanengine.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/pricingengines/vanilla/qdplusamericanengine.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/processes/all.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/processes/batesprocess.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/processes/blackscholesprocess.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/processes/eulerdiscretization.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/processes/extendedornsteinuhlenbeckprocess.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/processes/forwardmeasureprocess.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/processes/g2process.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/processes/geometricbrownianmotionprocess.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/processes/gjrgarchprocess.cpp +0 -0
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- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/processes/hestonslvprocess.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/processes/hullwhiteprocess.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/processes/hybridhestonhullwhiteprocess.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/processes/merton76process.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/processes/ornsteinuhlenbeckprocess.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/processes/squarerootprocess.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/processes/stochasticprocessarray.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/quotes/compositequote.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/quotes/derivedquote.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/quotes/simplequote.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/submodules.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/credit/defaultprobabilityhelpers.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/credit/flathazardrate.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/credit/piecewisedefaultcurve.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/defaulttermstructure.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/globalbootstrap.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/inflation/inflationhelper.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/inflation/inflationhelpers.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/inflation/interpolatedyoyinflationcurve.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/inflation/interpolatedzeroinflationcurve.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/inflation/piecewiseyoyinflationcurve.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/inflation/piecewisezeroinflationcurve.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/inflation/seasonality.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/inflationtermstructure.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/multicurve.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/volatility/capfloor/capfloortermvolatilitystructure.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/volatility/capfloor/capfloortermvolsurface.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/volatility/equityfx/andreasenhugelocalvoladapter.cpp +0 -0
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- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/volatility/equityfx/blackvoltermstructure.cpp +0 -0
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- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/volatility/equityfx/localvoltermstructure.cpp +0 -0
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- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/volatility/smilesection.cpp +0 -0
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- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/volatility/swaption/swaptionconstantvol.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/volatility/swaption/swaptionvolcube.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/volatility/swaption/swaptionvoldiscrete.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/volatility/swaption/swaptionvolmatrix.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/volatility/swaption/swaptionvolstructure.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/volatility/volatilitytype.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/voltermstructure.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/yield/bondhelpers.cpp +0 -0
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- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/yield/discountcurve.cpp +0 -0
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- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/yield/forwardspreadedtermstructure.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/yield/impliedtermstructure.cpp +0 -0
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- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/yield/oisratehelper.cpp +0 -0
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- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/yield/zerocurve.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/yield/zerospreadedtermstructure.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/termstructures/yieldtermstructure.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/time/all.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/time/businessdayconvention.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/time/calendar.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/time/calendars/calendars.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/time/date.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/time/dategenerationrule.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/time/daycounter.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/time/daycounters/daycounters.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/time/frequency.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/time/period.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/time/schedule.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/time/timeunit.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/time/weekday.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/utilities/all.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/utilities/null.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/src/utilities/observablevalue.cpp +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/tests/conftest.py +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/tests/test_currencies.py +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/tests/test_experimental_callablebonds.py +0 -0
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- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/tests/test_experimental_exoticoptions.py +0 -0
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- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/tests/test_experimental_volatility.py +0 -0
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- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/tests/test_instruments_bonds.py +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/tests/test_math.py +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/tests/test_math_distributions.py +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/tests/test_math_integrals.py +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/tests/test_math_optimization.py +0 -0
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- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/tests/test_models_shortrate.py +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/tests/test_pricingengines.py +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/tests/test_pricingengines_asian.py +0 -0
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- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/tests/test_pricingengines_basket.py +0 -0
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- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/tests/test_pricingengines_capfloor.py +0 -0
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- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/tests/test_pricingengines_credit.py +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/tests/test_pricingengines_exotic.py +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/tests/test_pricingengines_forward.py +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/tests/test_pricingengines_lookback.py +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/tests/test_pricingengines_quanto.py +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/tests/test_pricingengines_swaption.py +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/tests/test_pricingengines_vanilla.py +0 -0
- {pyquantlib-0.7.0 → pyquantlib-0.8.0}/tests/test_processes.py +0 -0
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# QuantLib is free software under a modified BSD license.
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|
6
|
+
# See http://quantlib.org/ for more information.
|
|
7
|
+
#
|
|
8
|
+
# Source: https://github.com/quantales/pyquantlib
|
|
9
|
+
# Licensed under the BSD 3-Clause License. See LICENSE file for details.
|
|
10
|
+
|
|
11
|
+
name: Docker image
|
|
12
|
+
|
|
13
|
+
on:
|
|
14
|
+
workflow_dispatch:
|
|
15
|
+
push:
|
|
16
|
+
branches: [main]
|
|
17
|
+
paths:
|
|
18
|
+
- "Dockerfile"
|
|
19
|
+
- ".dockerignore"
|
|
20
|
+
- "src/**"
|
|
21
|
+
- "include/**"
|
|
22
|
+
- "CMakeLists.txt"
|
|
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|
+
- "pyproject.toml"
|
|
24
|
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- ".github/workflows/docker.yml"
|
|
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|
+
pull_request:
|
|
26
|
+
paths:
|
|
27
|
+
- "Dockerfile"
|
|
28
|
+
- ".dockerignore"
|
|
29
|
+
- "src/**"
|
|
30
|
+
- "include/**"
|
|
31
|
+
- "CMakeLists.txt"
|
|
32
|
+
- "pyproject.toml"
|
|
33
|
+
- ".github/workflows/docker.yml"
|
|
34
|
+
|
|
35
|
+
jobs:
|
|
36
|
+
build:
|
|
37
|
+
runs-on: ubuntu-latest
|
|
38
|
+
steps:
|
|
39
|
+
- uses: actions/checkout@v4
|
|
40
|
+
|
|
41
|
+
- name: Set up Docker Buildx
|
|
42
|
+
uses: docker/setup-buildx-action@v3
|
|
43
|
+
|
|
44
|
+
- name: Build image
|
|
45
|
+
uses: docker/build-push-action@v6
|
|
46
|
+
with:
|
|
47
|
+
context: .
|
|
48
|
+
load: true
|
|
49
|
+
tags: pyquantlib:ci
|
|
50
|
+
cache-from: type=gha
|
|
51
|
+
cache-to: type=gha,mode=max
|
|
52
|
+
|
|
53
|
+
- name: Smoke test
|
|
54
|
+
run: |
|
|
55
|
+
docker run --rm pyquantlib:ci python -c "
|
|
56
|
+
import pyquantlib as ql
|
|
57
|
+
print('PyQuantLib', ql.__version__)
|
|
58
|
+
# Exercises the Settings singleton: the canary for a correct static QuantLib build.
|
|
59
|
+
ql.Settings.evaluationDate = ql.Date(15, ql.January, 2025)
|
|
60
|
+
assert ql.Settings.evaluationDate == ql.Date(15, ql.January, 2025)
|
|
61
|
+
q = ql.SimpleQuote(100.0)
|
|
62
|
+
assert q.value() == 100.0
|
|
63
|
+
print('Smoke test passed')
|
|
64
|
+
"
|
|
65
|
+
|
|
66
|
+
- name: JupyterLab server test
|
|
67
|
+
run: |
|
|
68
|
+
# Launch the image with its real CMD and confirm the server serves /lab.
|
|
69
|
+
docker run -d --rm --name pql-jupyter -p 8888:8888 pyquantlib:ci
|
|
70
|
+
ready=0
|
|
71
|
+
for i in $(seq 1 30); do
|
|
72
|
+
code=$(curl -s -o /dev/null -w "%{http_code}" http://localhost:8888/lab || true)
|
|
73
|
+
if [ "$code" = "200" ]; then
|
|
74
|
+
echo "JupyterLab responded with HTTP 200 (attempt $i)"
|
|
75
|
+
ready=1
|
|
76
|
+
break
|
|
77
|
+
fi
|
|
78
|
+
echo "attempt $i: HTTP $code, waiting..."
|
|
79
|
+
sleep 2
|
|
80
|
+
done
|
|
81
|
+
if [ "$ready" -ne 1 ]; then
|
|
82
|
+
echo "JupyterLab did not become ready in time; container logs:"
|
|
83
|
+
docker logs pql-jupyter || true
|
|
84
|
+
fi
|
|
85
|
+
docker stop pql-jupyter
|
|
86
|
+
test "$ready" -eq 1
|
|
@@ -0,0 +1,129 @@
|
|
|
1
|
+
# PyQuantLib: Python bindings for QuantLib
|
|
2
|
+
# Copyright (c) 2025 Yassine Idyiahia
|
|
3
|
+
#
|
|
4
|
+
# QuantLib is Copyright (c) 2000-2025 The QuantLib Authors
|
|
5
|
+
# QuantLib is free software under a modified BSD license.
|
|
6
|
+
# See http://quantlib.org/ for more information.
|
|
7
|
+
#
|
|
8
|
+
# Source: https://github.com/quantales/pyquantlib
|
|
9
|
+
# Licensed under the BSD 3-Clause License. See LICENSE file for details.
|
|
10
|
+
|
|
11
|
+
name: Docs
|
|
12
|
+
|
|
13
|
+
# Builds the docs against PyQuantLib compiled from this checkout, so autodoc
|
|
14
|
+
# resolves bindings that are not in the published wheel yet. Read the Docs
|
|
15
|
+
# builds against the PyPI wheel instead, which means types added since the last
|
|
16
|
+
# release are missing from the live site until the next release ships.
|
|
17
|
+
|
|
18
|
+
env:
|
|
19
|
+
QUANTLIB_VERSION: "1.42.1"
|
|
20
|
+
|
|
21
|
+
on:
|
|
22
|
+
workflow_dispatch:
|
|
23
|
+
push:
|
|
24
|
+
branches: [main]
|
|
25
|
+
paths:
|
|
26
|
+
- "docs/**"
|
|
27
|
+
- "examples/**"
|
|
28
|
+
- "src/**"
|
|
29
|
+
- "include/**"
|
|
30
|
+
- ".readthedocs.yaml"
|
|
31
|
+
- ".github/workflows/docs.yml"
|
|
32
|
+
pull_request:
|
|
33
|
+
paths:
|
|
34
|
+
- "docs/**"
|
|
35
|
+
- "examples/**"
|
|
36
|
+
- "src/**"
|
|
37
|
+
- "include/**"
|
|
38
|
+
- ".readthedocs.yaml"
|
|
39
|
+
- ".github/workflows/docs.yml"
|
|
40
|
+
|
|
41
|
+
jobs:
|
|
42
|
+
build:
|
|
43
|
+
runs-on: ubuntu-latest
|
|
44
|
+
|
|
45
|
+
steps:
|
|
46
|
+
- uses: actions/checkout@v4
|
|
47
|
+
|
|
48
|
+
- name: Set up Python
|
|
49
|
+
uses: actions/setup-python@v5
|
|
50
|
+
with:
|
|
51
|
+
python-version: "3.11"
|
|
52
|
+
cache: 'pip'
|
|
53
|
+
|
|
54
|
+
- name: Install system dependencies
|
|
55
|
+
run: |
|
|
56
|
+
sudo apt-get update
|
|
57
|
+
sudo apt-get install -y libboost-all-dev cmake ninja-build
|
|
58
|
+
|
|
59
|
+
# Same key as the Linux build job, so this is normally a cache hit.
|
|
60
|
+
- name: Cache QuantLib
|
|
61
|
+
id: cache-quantlib
|
|
62
|
+
uses: actions/cache@v4
|
|
63
|
+
with:
|
|
64
|
+
path: /home/runner/quantlib-install
|
|
65
|
+
key: quantlib-${{ env.QUANTLIB_VERSION }}-static-ubuntu-latest-v1
|
|
66
|
+
restore-keys: |
|
|
67
|
+
quantlib-${{ env.QUANTLIB_VERSION }}-static-ubuntu-latest-
|
|
68
|
+
|
|
69
|
+
- name: Build QuantLib from source
|
|
70
|
+
if: steps.cache-quantlib.outputs.cache-hit != 'true'
|
|
71
|
+
run: |
|
|
72
|
+
wget https://github.com/lballabio/QuantLib/releases/download/v${{ env.QUANTLIB_VERSION }}/QuantLib-${{ env.QUANTLIB_VERSION }}.tar.gz
|
|
73
|
+
tar xzf QuantLib-${{ env.QUANTLIB_VERSION }}.tar.gz
|
|
74
|
+
cd QuantLib-${{ env.QUANTLIB_VERSION }}
|
|
75
|
+
mkdir -p build && cd build
|
|
76
|
+
cmake .. -G Ninja -DCMAKE_BUILD_TYPE=Release -DCMAKE_INSTALL_PREFIX=/home/runner/quantlib-install -DBUILD_SHARED_LIBS=OFF -DCMAKE_POSITION_INDEPENDENT_CODE=ON -DQL_USE_STD_SHARED_PTR=ON -DQL_USE_STD_OPTIONAL=ON -DQL_USE_STD_ANY=ON -DQL_BUILD_EXAMPLES=OFF -DQL_BUILD_TEST_SUITE=OFF -DQL_BUILD_BENCHMARK=OFF
|
|
77
|
+
ninja
|
|
78
|
+
ninja install
|
|
79
|
+
|
|
80
|
+
- name: Install documentation dependencies
|
|
81
|
+
run: |
|
|
82
|
+
python -m pip install --upgrade pip
|
|
83
|
+
pip install -r docs/requirements.txt
|
|
84
|
+
|
|
85
|
+
# Replaces the PyPI wheel pulled in above. conf.py keeps the source tree
|
|
86
|
+
# on sys.path once a compiled extension is present there.
|
|
87
|
+
- name: Build PyQuantLib from this checkout
|
|
88
|
+
run: |
|
|
89
|
+
pip install -e . -v
|
|
90
|
+
env:
|
|
91
|
+
QuantLib_ROOT: /home/runner/quantlib-install
|
|
92
|
+
LD_LIBRARY_PATH: /home/runner/quantlib-install/lib
|
|
93
|
+
|
|
94
|
+
- name: Build HTML with warnings as errors
|
|
95
|
+
run: |
|
|
96
|
+
python -m sphinx -b html -W --keep-going docs docs/_build/html
|
|
97
|
+
env:
|
|
98
|
+
LD_LIBRARY_PATH: /home/runner/quantlib-install/lib
|
|
99
|
+
|
|
100
|
+
- name: Upload built docs
|
|
101
|
+
uses: actions/upload-artifact@v4
|
|
102
|
+
with:
|
|
103
|
+
name: html
|
|
104
|
+
path: docs/_build/html
|
|
105
|
+
retention-days: 7
|
|
106
|
+
|
|
107
|
+
linkcheck:
|
|
108
|
+
runs-on: ubuntu-latest
|
|
109
|
+
# External links break for reasons outside this repository, so a failure
|
|
110
|
+
# here is reported but does not block the branch.
|
|
111
|
+
continue-on-error: true
|
|
112
|
+
|
|
113
|
+
steps:
|
|
114
|
+
- uses: actions/checkout@v4
|
|
115
|
+
|
|
116
|
+
- name: Set up Python
|
|
117
|
+
uses: actions/setup-python@v5
|
|
118
|
+
with:
|
|
119
|
+
python-version: "3.11"
|
|
120
|
+
cache: 'pip'
|
|
121
|
+
|
|
122
|
+
- name: Install documentation dependencies
|
|
123
|
+
run: |
|
|
124
|
+
python -m pip install --upgrade pip
|
|
125
|
+
pip install -r docs/requirements.txt
|
|
126
|
+
|
|
127
|
+
- name: Check links
|
|
128
|
+
run: |
|
|
129
|
+
python -m sphinx -b linkcheck docs docs/_build/linkcheck
|
|
@@ -19,7 +19,7 @@ on:
|
|
|
19
19
|
types: [published]
|
|
20
20
|
|
|
21
21
|
env:
|
|
22
|
-
QUANTLIB_VERSION: "1.
|
|
22
|
+
QUANTLIB_VERSION: "1.42.1"
|
|
23
23
|
BOOST_VERSION: "1.86.0"
|
|
24
24
|
|
|
25
25
|
jobs:
|
|
@@ -68,6 +68,11 @@ jobs:
|
|
|
68
68
|
CIBW_SKIP: "*-musllinux_*"
|
|
69
69
|
CIBW_BUILD_VERBOSITY: 1
|
|
70
70
|
|
|
71
|
+
# manylinux2014 is past EOL and current NumPy no longer publishes
|
|
72
|
+
# wheels for it, so the in-container test step fell back to building
|
|
73
|
+
# NumPy from source against a too-old GCC. AlmaLinux 8 based image.
|
|
74
|
+
CIBW_MANYLINUX_X86_64_IMAGE: manylinux_2_28
|
|
75
|
+
|
|
71
76
|
# macOS: ARM only (macos-14)
|
|
72
77
|
CIBW_ARCHS_MACOS: "arm64"
|
|
73
78
|
CIBW_ARCHS_LINUX: "x86_64"
|
|
@@ -29,7 +29,7 @@ on:
|
|
|
29
29
|
- ".github/workflows/windows.yml"
|
|
30
30
|
|
|
31
31
|
env:
|
|
32
|
-
QUANTLIB_VERSION: "1.
|
|
32
|
+
QUANTLIB_VERSION: "1.42.1"
|
|
33
33
|
BOOST_VERSION: "1.86.0"
|
|
34
34
|
BOOST_VERSION_UNDERSCORE: "1_86_0"
|
|
35
35
|
|
|
@@ -89,7 +89,7 @@ jobs:
|
|
|
89
89
|
mkdir build -Force | Out-Null
|
|
90
90
|
cd build
|
|
91
91
|
Write-Host "Configuring QuantLib with std:: flags..."
|
|
92
|
-
cmake .. -
|
|
92
|
+
cmake .. -A x64 `
|
|
93
93
|
-DCMAKE_BUILD_TYPE=Release `
|
|
94
94
|
-DCMAKE_INSTALL_PREFIX=C:/quantlib-install `
|
|
95
95
|
-DCMAKE_MSVC_RUNTIME_LIBRARY=MultiThreadedDLL `
|
|
@@ -447,7 +447,7 @@ pybind11 enum values are singletons. Never pass by reference and modify:
|
|
|
447
447
|
|
|
448
448
|
- Place ABCs in the `base` submodule via `manager.getSubmodule("base")`
|
|
449
449
|
- Use trampolines for classes with pure virtual methods
|
|
450
|
-
- Some classes require `py::classh` and `trampoline_self_life_support`
|
|
450
|
+
- Some classes require `py::classh` and `trampoline_self_life_support` for classes that inherit from two bases sharing a common virtual ancestor
|
|
451
451
|
- Export concrete implementations to the main module
|
|
452
452
|
|
|
453
453
|
---
|
|
@@ -0,0 +1,95 @@
|
|
|
1
|
+
# syntax=docker/dockerfile:1.6
|
|
2
|
+
# PyQuantLib Docker image (multi-stage)
|
|
3
|
+
#
|
|
4
|
+
# Stage 1 builds QuantLib (static) and compiles a self-contained PyQuantLib wheel.
|
|
5
|
+
# Stage 2 is a slim runtime with only the wheel + JupyterLab; the build toolchain,
|
|
6
|
+
# Boost headers, and QuantLib source never reach the final image.
|
|
7
|
+
#
|
|
8
|
+
# Build: docker build -t pyquantlib:latest .
|
|
9
|
+
# Run: docker run --rm -p 8888:8888 pyquantlib:latest
|
|
10
|
+
# Then open http://localhost:8888 in a browser.
|
|
11
|
+
|
|
12
|
+
# ==============================================================================
|
|
13
|
+
# Stage 1: builder
|
|
14
|
+
# ==============================================================================
|
|
15
|
+
FROM python:3.11-slim AS builder
|
|
16
|
+
|
|
17
|
+
# Build-time system dependencies. QuantLib needs a C++ toolchain and Boost
|
|
18
|
+
# headers; Ninja matches the CI build.
|
|
19
|
+
RUN apt-get update && apt-get install -y --no-install-recommends \
|
|
20
|
+
build-essential \
|
|
21
|
+
cmake \
|
|
22
|
+
ninja-build \
|
|
23
|
+
libboost-all-dev \
|
|
24
|
+
wget \
|
|
25
|
+
ca-certificates \
|
|
26
|
+
&& rm -rf /var/lib/apt/lists/*
|
|
27
|
+
|
|
28
|
+
# Build and install QuantLib from source (STATIC).
|
|
29
|
+
# QuantLib MUST be a static library built with PIC and the std:: type flags:
|
|
30
|
+
# a shared build duplicates the Settings singleton and breaks evaluationDate.
|
|
31
|
+
# Mirrors .github/workflows/linux.yml.
|
|
32
|
+
ARG QUANTLIB_VERSION=1.42.1
|
|
33
|
+
WORKDIR /tmp
|
|
34
|
+
RUN wget --quiet https://github.com/lballabio/QuantLib/releases/download/v${QUANTLIB_VERSION}/QuantLib-${QUANTLIB_VERSION}.tar.gz \
|
|
35
|
+
&& tar xzf QuantLib-${QUANTLIB_VERSION}.tar.gz \
|
|
36
|
+
&& cd QuantLib-${QUANTLIB_VERSION} \
|
|
37
|
+
&& cmake -B build -G Ninja \
|
|
38
|
+
-DCMAKE_BUILD_TYPE=Release \
|
|
39
|
+
-DCMAKE_INSTALL_PREFIX=/usr/local \
|
|
40
|
+
-DBUILD_SHARED_LIBS=OFF \
|
|
41
|
+
-DCMAKE_POSITION_INDEPENDENT_CODE=ON \
|
|
42
|
+
-DQL_USE_STD_SHARED_PTR=ON \
|
|
43
|
+
-DQL_USE_STD_OPTIONAL=ON \
|
|
44
|
+
-DQL_USE_STD_ANY=ON \
|
|
45
|
+
-DQL_BUILD_EXAMPLES=OFF \
|
|
46
|
+
-DQL_BUILD_TEST_SUITE=OFF \
|
|
47
|
+
-DQL_BUILD_BENCHMARK=OFF \
|
|
48
|
+
&& cmake --build build \
|
|
49
|
+
&& cmake --install build \
|
|
50
|
+
&& cd /tmp \
|
|
51
|
+
&& rm -rf QuantLib-${QUANTLIB_VERSION}*
|
|
52
|
+
|
|
53
|
+
# Build a self-contained PyQuantLib wheel. The static QuantLib is linked into the
|
|
54
|
+
# extension and Boost is header-only, so the wheel needs no QuantLib at runtime.
|
|
55
|
+
# QuantLib_ROOT lets scikit-build-core's CMake find the static install above.
|
|
56
|
+
ENV QuantLib_ROOT=/usr/local
|
|
57
|
+
WORKDIR /src
|
|
58
|
+
COPY . /src
|
|
59
|
+
RUN pip install --no-cache-dir --upgrade pip build \
|
|
60
|
+
&& pip wheel . --no-deps -w /wheels
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Metadata-Version: 2.2
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Name: pyquantlib
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Version: 0.8.0
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Summary: Python bindings for QuantLib
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Keywords: quantlib,quantitative-finance,derivatives,pricing,risk,fixed-income,options,finance,pybind11
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Author-Email: Yassine Idyiahia <yassine.id@gmail.com>
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## Overview
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PyQuantLib provides Python bindings for [QuantLib](https://www.quantlib.org/), the open-source library for quantitative finance.
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PyQuantLib provides Python bindings for [QuantLib](https://www.quantlib.org/), the open-source library for quantitative finance. It is built on [pybind11](https://github.com/pybind/pybind11): every binding is written in standard C++, with no interface-definition language and no code-generation step between the caller and the QuantLib source.
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As an independent project, PyQuantLib complements the official [QuantLib-SWIG](https://github.com/lballabio/QuantLib-SWIG) bindings, which remain the established and most widely used way to run QuantLib from Python.
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- **Pythonic API**: pass quotes and term structures directly; handles are created internally. Plain Python types convert automatically, and `None` replaces `Null<Real>()`.
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- **Zero-copy NumPy**: `Array` and `Matrix` use the buffer protocol, so `np.array(arr, copy=False)` shares memory with no marshalling.
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## Installation
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```
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### From Source
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### From source
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> **Important**: PyQuantLib requires QuantLib built from source with specific settings.
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**Required CMake flags:**
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...
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```
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| Flag | Why Required |
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|------|--------------|
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| `BUILD_SHARED_LIBS=OFF` | Static build prevents Settings singleton issues on Linux/macOS |
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| `CMAKE_POSITION_INDEPENDENT_CODE=ON` | Required for static libs in Python modules |
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**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.
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Building from source requires QuantLib 1.42+ compiled with specific CMake flags. Packages from Homebrew, vcpkg, and apt use shared builds and `boost::shared_ptr`, and are not compatible. See [CONTRIBUTING.md](CONTRIBUTING.md) for the required flags and full build instructions.
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```bash
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pip install git+https://github.com/quantales/pyquantlib.git
|
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```
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## Quick
|
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## Quick start
|
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|
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```python
|
|
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import pyquantlib as ql
|
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@@ -166,42 +136,33 @@ ql.Settings.evaluationDate = today
|
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# Market data
|
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spot = ql.SimpleQuote(100.0)
|
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rate = ql.SimpleQuote(0.05)
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vol
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vol = ql.SimpleQuote(0.20)
|
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|
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|
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# Term structures (pass quotes directly
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dc
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risk_free
|
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dividend
|
|
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|
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# Term structures (pass quotes directly; handles created internally)
|
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|
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dc = ql.Actual365Fixed()
|
|
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risk_free = ql.FlatForward(today, rate, dc)
|
|
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dividend = ql.FlatForward(today, 0.0, dc)
|
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|
volatility = ql.BlackConstantVol(today, ql.TARGET(), vol, dc)
|
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# Black-Scholes process
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|
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# Black-Scholes process
|
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process = ql.GeneralizedBlackScholesProcess(spot, dividend, risk_free, volatility)
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# European call option
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payoff
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# European call option, 1 year to expiry
|
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payoff = ql.PlainVanillaPayoff(ql.Call, 100.0)
|
|
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|
exercise = ql.EuropeanExercise(today + ql.Period("1Y"))
|
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option
|
|
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option = ql.VanillaOption(payoff, exercise)
|
|
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|
|
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|
# Price with analytic Black-Scholes
|
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option.setPricingEngine(ql.AnalyticEuropeanEngine(process))
|
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print(f"NPV: {option.NPV():.4f}")
|
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print(f"Delta: {option.delta():.4f}")
|
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|
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print(f"Gamma: {option.gamma():.4f}")
|
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|
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print(f"Vega: {option.vega():.4f}")
|
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|
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print(f"Theta: {option.theta():.4f}")
|
|
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|
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print(f"NPV: {option.NPV():.4f}") # 10.4506
|
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print(f"Delta: {option.delta():.4f}") # 0.6368
|
|
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|
+
print(f"Gamma: {option.gamma():.4f}") # 0.0188
|
|
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print(f"Vega: {option.vega():.4f}") # 37.5240
|
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print(f"Theta: {option.theta():.4f}") # -6.4140
|
|
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```
|
|
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|
|
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```
|
|
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|
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NPV: 10.4506
|
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|
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Delta: 0.6368
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Gamma: 0.0188
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Vega: 37.5240
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Theta: -6.4140
|
|
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|
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```
|
|
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-
|
|
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|
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## Module Organization
|
|
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|
+
## Module organization
|
|
205
166
|
|
|
206
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|
```python
|
|
207
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|
import pyquantlib as ql # Concrete classes
|
|
@@ -210,6 +171,20 @@ from pyquantlib.base import ... # Abstract base classes (for subclassing)
|
|
|
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|
|
|
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|
Coverage includes dates and calendars, market quotes, yield and volatility term structures, stochastic processes, instruments, and pricing engines. See the [API Reference](https://pyquantlib.readthedocs.io/en/latest/api/index.html) for the complete list.
|
|
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|
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|
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|
+
## Documentation
|
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|
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|
|
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|
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Full documentation is available at [pyquantlib.readthedocs.io](https://pyquantlib.readthedocs.io/).
|
|
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|
+
|
|
178
|
+
| Section | Contents |
|
|
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|
+
|---------|----------|
|
|
180
|
+
| [Quickstart](https://pyquantlib.readthedocs.io/en/latest/quickstart.html) | Installation and a first pricing example |
|
|
181
|
+
| [Concepts](https://pyquantlib.readthedocs.io/en/latest/concepts/index.html) | Term structures, observables, engines, calibration, and the binding patterns behind them |
|
|
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|
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| [Cookbook](https://pyquantlib.readthedocs.io/en/latest/cookbook/index.html) | Runnable recipes: curve bootstrapping, volatility surfaces, Heston calibration, NumPy interop |
|
|
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|
+
| [Examples](https://pyquantlib.readthedocs.io/en/latest/examples/index.html) | Jupyter notebooks, also available in [examples/](examples/) |
|
|
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|
+
| [API Reference](https://pyquantlib.readthedocs.io/en/latest/api/index.html) | Every bound class, by module |
|
|
185
|
+
| [Architecture](https://pyquantlib.readthedocs.io/en/latest/architecture.html) | Design rationale and internals |
|
|
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|
+
| [Changelog](https://pyquantlib.readthedocs.io/en/latest/changelog.html) | Release history |
|
|
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|
+
|
|
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|
## Development
|
|
214
189
|
|
|
215
190
|
See [CONTRIBUTING.md](CONTRIBUTING.md) for development setup and guidelines.
|
|
@@ -228,21 +203,8 @@ pip install -e .
|
|
|
228
203
|
pytest
|
|
229
204
|
```
|
|
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|
|
|
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|
-
## Documentation
|
|
232
|
-
|
|
233
|
-
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).
|
|
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|
-
|
|
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|
-
## Examples
|
|
236
|
-
|
|
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|
-
See the [examples](examples/) directory for Jupyter notebooks demonstrating PyQuantLib usage.
|
|
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|
-
|
|
239
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|
## License
|
|
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|
|
|
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|
BSD 3-Clause License. See [LICENSE](LICENSE) for details.
|
|
242
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|
|
|
243
|
-
|
|
244
|
-
|
|
245
|
-
- [QuantLib](https://www.quantlib.org/) - Quantitative finance library
|
|
246
|
-
- [pybind11](https://github.com/pybind/pybind11) - C++/Python bindings
|
|
247
|
-
- [scikit-build-core](https://github.com/scikit-build/scikit-build-core) - Build system
|
|
248
|
-
|
|
210
|
+
QuantLib is free software distributed under its own [modified BSD license](https://www.quantlib.org/license.shtml), and is copyright of its respective contributors.
|