rateslib 2.7.0__tar.gz → 2.7.1__tar.gz

{rateslib-2.7.0 → rateslib-2.7.1}/Cargo.lock

@@ -523,7 +523,7 @@ dependencies = [
 
 [[package]]
 name = "rateslib"
-version = "2.7.0"
+version = "2.7.1"
 dependencies = [
  "auto_ops",
  "bincode",

{rateslib-2.7.0 → rateslib-2.7.1}/Cargo.toml

@@ -1,17 +1,13 @@
 [package]
 name = "rateslib"
-version = "2.7.0"
+version = "2.7.1"
 edition = "2021"
 exclude = [
     ".github/*",
     "benches/*",
     "benchmarks/*",
     "notebooks/*",
-    ".readthedocs.yaml",
     "docs/*",
-    "PACKAGING.md",
-    "PIP_FREEZE.txt",
-    "requirements-minimum.txt",
     "robots.txt",
 ]
 readme = "README.md"

{rateslib-2.7.0 → rateslib-2.7.1}/PKG-INFO

@@ -1,27 +1,12 @@
 Metadata-Version: 2.4
 Name: rateslib
-Version: 2.7.0
+Version: 2.7.1
 Classifier: Programming Language :: Rust
 Classifier: Programming Language :: Python :: Implementation :: CPython
 Classifier: Programming Language :: Python :: Implementation :: PyPy
 Requires-Dist: numpy>=1.21.5,<3.0
 Requires-Dist: matplotlib>=3.5.1,<4.0
 Requires-Dist: pandas>=1.4.1,<4.0
-Requires-Dist: pandas>=3.0,<4.0 ; extra == 'dev'
-Requires-Dist: pytest>=9.0,<10.0 ; extra == 'dev'
-Requires-Dist: coverage>=7.6.1,<8.0 ; extra == 'dev'
-Requires-Dist: ruff>=0.6.3,<1.0 ; extra == 'dev'
-Requires-Dist: mypy>=1.13,<1.20 ; extra == 'dev'
-Requires-Dist: pandas-stubs>2.0,<4.0 ; extra == 'dev'
-Requires-Dist: sphinx>=9.0,<10.0 ; extra == 'dev'
-Requires-Dist: sphinx-automodapi>=0.16.0,<1.0 ; extra == 'dev'
-Requires-Dist: sphinxcontrib-googleanalytics>=0.4,<1.0 ; extra == 'dev'
-Requires-Dist: sphinx-tabs>=3.4,<4.0 ; extra == 'dev'
-Requires-Dist: pydata-sphinx-theme>=0.15.4,<1.0 ; extra == 'dev'
-Requires-Dist: nbsphinx>=0.9.5,<1.0 ; extra == 'dev'
-Requires-Dist: jupyterlab>=4.0,<5.0 ; extra == 'dev'
-Requires-Dist: pickleshare>=0.7.5,<1.0 ; extra == 'dev'
-Provides-Extra: dev
 License-File: LICENCE
 License-File: COMMERCIAL_LICENCE
 License-File: COMMERCIAL_LICENCE_ADDENDUM1

{rateslib-2.7.0 → rateslib-2.7.1}/pyproject.toml

@@ -15,7 +15,7 @@ features = ["pyo3/extension-module"]
 
 [project]
 name = "rateslib"
-version = "2.7.0"
+version = "2.7.1"
 description = "A fixed income library for trading interest rates"
 readme = "README.md"
 authors = [{ name = "J H M Darbyshire"}]
@@ -33,23 +33,29 @@ classifiers = [
     "Programming Language :: Python :: Implementation :: PyPy",
 ]
 
-[project.optional-dependencies]
-dev = [
-    # testing
-    "pandas>=3.0,<4.0",
+[dependency-groups]
+test = [
+    # "pandas>=3.0,<4.0",
     "pytest>=9.0,<10.0",
+    "pytest-env>=1.0,<2.0",
     "coverage>=7.6.1,<8.0",
-    # style/linting
+]
+lint = [
     "ruff>=0.6.3,<1.0",
+]
+typing = [
     "mypy>=1.13,<1.20",
     "pandas-stubs>2.0,<4.0",
-    # doc building
-    "sphinx>=9.0,<10.0",
+]
+docs = [
+    "sphinx>=9.0,<10.0; python_version >= '3.11'",
     "sphinx-automodapi>=0.16.0,<1.0",
     "sphinxcontrib-googleanalytics>=0.4,<1.0",
     "sphinx-tabs>=3.4,<4.0",
     "pydata-sphinx-theme>=0.15.4,<1.0",
     "nbsphinx>=0.9.5,<1.0",
+]
+gui = [
     "jupyterlab>=4.0,<5.0",
     "pickleshare>=0.7.5,<1.0",
 ]
@@ -57,7 +63,9 @@ dev = [
 [tool.pytest.ini_options]
 # pythonpath = [".", "python/rateslib"]
 minversion = "8.0"
-addopts = "--ignore-glob=*_ignore.py"  # use -s to show print capture, use -q for quiet, use -v for verbose
+addopts = [
+   "--ignore-glob=*_ignore.py",
+] # use -s to show print capture, use -q for quiet, use -v for verbose
 testpaths = [
     "python/tests",
 ]
@@ -66,6 +74,9 @@ filterwarnings = [
     "ignore::PendingDeprecationWarning"
 ]
 
+[tool.pytest_env]
+MPLBACKEND = "Agg"
+
 [tool.setuptools]
 packages = ["rateslib"]
 

{rateslib-2.7.0 → rateslib-2.7.1}/python/rateslib/_spec_loader.py

@@ -737,7 +737,7 @@ INSTRUMENT_SPECS: dict[str, dict[str, Any]] = {
         "convention": "actacticma",
         "payment_lag_exchange": 0,
         "settle": 1,
-        "ex_div": 1,
+        "ex_div": "-1b",
         "calc_mode": "us_gb",
     },
     "us_gbi": {
@@ -753,7 +753,7 @@ INSTRUMENT_SPECS: dict[str, dict[str, Any]] = {
         "index_method": "daily",
         "index_lag": 3,
         "settle": 1,
-        "ex_div": 1,
+        "ex_div": "-1b",
         "calc_mode": "us_gb",
     },
     "us_corp": {
@@ -767,7 +767,7 @@ INSTRUMENT_SPECS: dict[str, dict[str, Any]] = {
         "convention": "30u360",
         "payment_lag_exchange": 0,
         "settle": 1,
-        "ex_div": 1,
+        "ex_div": "-1b",
         "calc_mode": "us_corp",
     },
     "us_muni": {
@@ -781,7 +781,7 @@ INSTRUMENT_SPECS: dict[str, dict[str, Any]] = {
         "convention": "30u360",
         "payment_lag_exchange": 0,
         "settle": 1,
-        "ex_div": 1,
+        "ex_div": "-1b",
         "calc_mode": "us_muni",
     },
     "us_gb_tsy": {
@@ -795,7 +795,7 @@ INSTRUMENT_SPECS: dict[str, dict[str, Any]] = {
         "convention": "actacticma",
         "payment_lag_exchange": 0,
         "settle": 1,
-        "ex_div": 1,
+        "ex_div": "-1b",
         "calc_mode": "us_gb_tsy",
     },
     "uk_gb": {
@@ -809,9 +809,23 @@ INSTRUMENT_SPECS: dict[str, dict[str, Any]] = {
         "convention": "actacticma",
         "payment_lag_exchange": 0,
         "settle": 1,
-        "ex_div": 7,
+        "ex_div": "-7b",
         "calc_mode": "uk_gb",
     },
+    "au_gb": {
+        "frequency": "s",
+        "stub": "longfront",
+        "eom": False,
+        "modifier": "none",
+        "calendar": "syd",
+        "payment_lag": 0,
+        "currency": "aud",
+        "convention": "actacticma",
+        "payment_lag_exchange": 0,
+        "settle": 2,
+        "ex_div": "-8d",
+        "calc_mode": "au_gb",
+    },
     "nz_gb": {
         "frequency": "s",
         "stub": "shortfront",
@@ -823,9 +837,23 @@ INSTRUMENT_SPECS: dict[str, dict[str, Any]] = {
         "convention": "actacticma",
         "payment_lag_exchange": 0,
         "settle": 1,
-        "ex_div": 8,
+        "ex_div": "-8b",
         "calc_mode": "nz_gb",
     },
+    "cn_gb": {
+        "frequency": "s",
+        "stub": "shortfront",
+        "eom": False,
+        "modifier": "none",
+        "calendar": "bjs",
+        "payment_lag": 0,
+        "currency": "cny",
+        "convention": "actacticma",
+        "payment_lag_exchange": 0,
+        "settle": 1,
+        "ex_div": "-1b",
+        "calc_mode": "cn_gb",
+    },
     "de_gb": {
         "frequency": "a",
         "stub": "longfront",
@@ -837,7 +865,7 @@ INSTRUMENT_SPECS: dict[str, dict[str, Any]] = {
         "convention": "actacticma",
         "payment_lag_exchange": 0,
         "settle": 2,
-        "ex_div": 1,
+        "ex_div": "-1b",
         "calc_mode": "de_gb",
     },
     "fr_gb": {
@@ -851,7 +879,7 @@ INSTRUMENT_SPECS: dict[str, dict[str, Any]] = {
         "convention": "actacticma",
         "payment_lag_exchange": 0,
         "settle": 2,
-        "ex_div": 1,
+        "ex_div": "-1b",
         "calc_mode": "fr_gb",
     },
     "nl_gb": {
@@ -865,7 +893,7 @@ INSTRUMENT_SPECS: dict[str, dict[str, Any]] = {
         "convention": "actacticma",
         "payment_lag_exchange": 0,
         "settle": 2,
-        "ex_div": 1,
+        "ex_div": "-1b",
         "calc_mode": "nl_gb",
     },
     "it_gb": {
@@ -879,7 +907,7 @@ INSTRUMENT_SPECS: dict[str, dict[str, Any]] = {
         "convention": "actacticma",
         "payment_lag_exchange": 0,
         "settle": 2,
-        "ex_div": 1,
+        "ex_div": "-1b",
         "calc_mode": "it_gb",
     },
     "ch_gb": {
@@ -893,7 +921,7 @@ INSTRUMENT_SPECS: dict[str, dict[str, Any]] = {
         "convention": "30e360",
         "payment_lag_exchange": 0,
         "settle": 1,
-        "ex_div": 1,
+        "ex_div": "-1b",
         "calc_mode": "ch_gb",
     },
     "se_gb": {
@@ -907,7 +935,7 @@ INSTRUMENT_SPECS: dict[str, dict[str, Any]] = {
         "convention": "actacticma",
         "payment_lag_exchange": 0,
         "settle": 2,
-        "ex_div": 5,
+        "ex_div": "-5b",
         "calc_mode": "se_gb",
     },
     "no_gb": {
@@ -921,7 +949,7 @@ INSTRUMENT_SPECS: dict[str, dict[str, Any]] = {
         "convention": "actacticma_stub365f",
         "payment_lag_exchange": 0,
         "settle": 1,
-        "ex_div": 1,
+        "ex_div": "-1b",
         "calc_mode": "no_gb",
     },
     "ca_gb": {
@@ -935,7 +963,7 @@ INSTRUMENT_SPECS: dict[str, dict[str, Any]] = {
         "convention": "actacticma_stub365f",
         "payment_lag_exchange": 0,
         "settle": 1,
-        "ex_div": 1,
+        "ex_div": "-1b",
         "calc_mode": "ca_gb",
     },
     "ca_gbi": {
@@ -951,7 +979,7 @@ INSTRUMENT_SPECS: dict[str, dict[str, Any]] = {
         "index_method": "daily",
         "index_lag": 3,
         "settle": 1,
-        "ex_div": 1,
+        "ex_div": "-1b",
         "calc_mode": "ca_gb",
     },
     "us_gbb": {
@@ -963,7 +991,7 @@ INSTRUMENT_SPECS: dict[str, dict[str, Any]] = {
         "convention": "act360",
         "payment_lag_exchange": 0,
         "settle": 1,
-        "ex_div": 0,
+        "ex_div": "0b",
         "calc_mode": "us_gbb",
     },
     "se_gbb": {
@@ -975,7 +1003,7 @@ INSTRUMENT_SPECS: dict[str, dict[str, Any]] = {
         "convention": "act360",
         "payment_lag_exchange": 0,
         "settle": 2,
-        "ex_div": 0,
+        "ex_div": "0b",
         "calc_mode": "se_gbb",
     },
     "no_gbb": {
@@ -987,7 +1015,7 @@ INSTRUMENT_SPECS: dict[str, dict[str, Any]] = {
         "convention": "act365f",
         "payment_lag_exchange": 0,
         "settle": 2,
-        "ex_div": 0,
+        "ex_div": "0b",
         "calc_mode": "no_gbb",
     },
     "uk_gbb": {
@@ -999,7 +1027,7 @@ INSTRUMENT_SPECS: dict[str, dict[str, Any]] = {
         "convention": "act365f",
         "payment_lag_exchange": 0,
         "settle": 1,
-        "ex_div": 0,
+        "ex_div": "0b",
         "calc_mode": "uk_gbb",
     },
     "uk_gbi": {
@@ -1015,7 +1043,7 @@ INSTRUMENT_SPECS: dict[str, dict[str, Any]] = {
         "index_method": "daily",
         "index_lag": 3,
         "settle": 1,
-        "ex_div": 7,
+        "ex_div": "-7b",
         "calc_mode": "uk_gb",
     },
     "sek_fra3": {
@@ -1101,7 +1129,7 @@ INSTRUMENT_SPECS: dict[str, dict[str, Any]] = {
         "spread_compound_method": "none_simple",
         "fixing_method": "rfr_observation_shift(5)",
         "settle": 1,
-        "ex_div": 1,
+        "ex_div": "1b",
     },
     "usd_stir": {
         "frequency": "q",

{rateslib-2.7.0 → rateslib-2.7.1}/python/rateslib/data/__instrument_spec.csv

@@ -1,7 +1,7 @@
 kind,meta,meta,meta,meta,meta,meta,base_derivative,base_derivative,base_derivative,base_derivative,base_derivative,base_derivative,base_derivative,base_derivative,base_derivative,base_derivative,base_derivative,base_derivative,base_derivative,base_derivative,base_derivative,base_derivative,base_derivative,base_derivative,base_derivative,base_derivative,base_derivative,base_derivative,base_derivative,base_derivative,base_derivative,base_derivative,base_derivative,base_derivative,base_derivative,base_derivative,fixed,float,float,float,float,fixed,float,float,float,float,float,exchange,exchange,exchange,exchange,exchange,exchange,exchange,exchange,xcs,xcs,xcs,index,index,index,index,index,index,index,index,bond,bond,bond,stir,cds,bondfuture,fx,fx
 leg,meta,meta,meta,meta,meta,meta,leg1,leg1,leg1,leg1,leg1,leg1,leg1,leg1,leg1,leg1,leg1,leg1,leg1,leg1,leg1,leg2,leg2,leg2,leg2,leg2,leg2,leg2,leg2,leg2,leg2,leg2,leg2,leg2,leg2,leg2,leg1,leg1,leg1,leg1,leg1,leg2,leg2,leg2,leg2,leg2,leg2,leg1,leg1,leg2,leg2,leg1,leg2,leg1,leg2,leg1,leg2,leg2,leg1,leg1,leg1,leg1,leg2,leg2,leg2,leg2,leg1,leg1,leg1,leg1,leg1,leg1,leg1,leg1
 kwarg,currency,instrument,sub_type,bloomberg_ticker,eval,description,effective,termination,frequency,stub,front_stub,back_stub,roll,eom,modifier,calendar,payment_lag,notional,currency,amortization,convention,effective,termination,frequency,stub,front_stub,back_stub,roll,eom,modifier,calendar,payment_lag,notional,currency,amortization,convention,fixed_rate,float_spread,spread_compound_method,rate_fixings,fixing_method,fixed_rate,float_spread,spread_compound_method,rate_fixings,fixing_method,fixing_series,initial_exchange,final_exchange,initial_exchange,final_exchange,fx_fixings,fx_fixings,payment_lag_exchange,payment_lag_exchange,fixed,fixed,mtm,index_method,index_fixings,index_base,index_lag,index_method,index_fixings,index_base,index_lag,settle,ex_div,calc_mode,nominal,premium_accrued,coupon,pair,delivery_lag
-dtype,str,str,str,str,str,str,str,str,str,str,str,str,str,boolean,str,str,Int64,float,str,float,str,str,str,str,str,str,str,str,boolean,str,str,Int64,float,str,float,str,float,float,str,str,str,float,float,str,str,str,str,boolean,boolean,boolean,boolean,str,str,Int64,Int64,boolean,boolean,boolean,str,str,float,Int64,str,str,float,Int64,Int64,Int64,str,float,boolean,float,str,Int64
+dtype,str,str,str,str,str,str,str,str,str,str,str,str,str,boolean,str,str,Int64,float,str,float,str,str,str,str,str,str,str,str,boolean,str,str,Int64,float,str,float,str,float,float,str,str,str,float,float,str,str,str,str,boolean,boolean,boolean,boolean,str,str,Int64,Int64,boolean,boolean,boolean,str,str,float,Int64,str,str,float,Int64,Int64,str,str,float,boolean,float,str,Int64
 test,TES,none,none,none,none,A test column,,,m,longfront,,,,FALSE,p,"nyc,tgt,ldn",4,,tes,,yearsmonths,,,m,longback,,,1,FALSE,mp,"nyc,tgt,ldn",3,,,,one,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
 eurusd_call,eurusd,fx_call,,,2b,Currency call option,,,,,,,,,mf,tgt|fed,2,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,eurusd,2
 us_ig_cds,usd,cds,,,,,,,q,shortfront,,,20,FALSE,fex,nyc,0,,usd,,act360,,,,,,,,,,,,,,,,1,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
@@ -51,34 +51,36 @@ aud_sbs36,aud,sbs,,,2b,,,,q,shortfront,,,,FALSE,mf,syd,0,,aud,,act365f,,,s,,,,,,
 aud_sbs31,aud,sbs,,,2b,,,,q,shortfront,,,,FALSE,mf,syd,0,,aud,,act365f,,,m,,,,,,,,,,,,,,,none_simple,,ibor(0),,,none_simple,,ibor(0),,,,,,,,,,,,,,,,,,,,,,,,,,,,
 nzd_sbs36,nzd,sbs,,,2b,,,,q,shortfront,,,,FALSE,mf,wlg,0,,nzd,,act365f,,,s,,,,,,,,,,,,,,,none_simple,,ibor(0),,,none_simple,,ibor(0),,,,,,,,,,,,,,,,,,,,,,,,,,,,
 nzd_sbs31,nzd,sbs,,,2b,,,,q,shortfront,,,,FALSE,mf,wlg,0,,nzd,,act365f,,,m,,,,,,,,,,,,,,,none_simple,,ibor(0),,,none_simple,,ibor(0),,,,,,,,,,,,,,,,,,,,,,,,,,,,
-us_gb,usd,frb,,,,,,,s,shortfront,,,,TRUE,none,nyc,0,,usd,,actacticma,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,1,1,us_gb,,,,,
-us_gbi,usd,ifrb,,,,,,,s,shortfront,,,,TRUE,none,nyc,0,,usd,,actacticma,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,daily,,,3,,,,,1,1,us_gb,,,,,
-us_corp,usd,frb,,,,,,,s,shortfront,,,,TRUE,none,nyc,0,,usd,,30u360,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,1,1,us_corp,,,,,
-us_muni,usd,frb,,,,,,,s,shortfront,,,,TRUE,none,nyc,0,,usd,,30u360,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,1,1,us_muni,,,,,
-us_gb_tsy,usd,frb,,,,,,,s,shortfront,,,,TRUE,none,nyc,0,,usd,,actacticma,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,1,1,us_gb_tsy,,,,,
-uk_gb,gbp,frb,,,,,,,s,longfront,,,,FALSE,none,ldn,0,,gbp,,actacticma,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,1,7,uk_gb,,,,,
-nz_gb,nzd,frb,,,,,,,s,shortfront,,,,FALSE,none,wlg,0,,nzd,,actacticma,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,1,8,nz_gb,,,,,
-de_gb,eur,frb,,,,,,,a,longfront,,,,FALSE,none,tgt,0,,eur,,actacticma,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,2,1,de_gb,,,,,
-fr_gb,eur,frb,,,,,,,a,shortfront,,,,FALSE,none,tgt,0,,eur,,actacticma,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,2,1,fr_gb,,,,,
-nl_gb,eur,frb,,,,,,,a,shortfront,,,,FALSE,none,tgt,0,,eur,,actacticma,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,2,1,nl_gb,,,,,
-it_gb,eur,frb,,,,,,,s,shortfront,,,,FALSE,none,tgt,0,,eur,,actacticma,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,2,1,it_gb,,,,,
-ch_gb,chf,frb,,,,,,,a,shortfront,,,,FALSE,none,zur,0,,chf,,30e360,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,1,1,ch_gb,,,,,
-se_gb,sek,frb,,,,,,,a,shortfront,,,,FALSE,none,stk,0,,sek,,actacticma,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,2,5,se_gb,,,,,
-no_gb,nok,frb,,,,,,,a,shortfront,,,,FALSE,none,osl,0,,nok,,actacticma_stub365f,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,1,1,no_gb,,,,,
-ca_gb,cad,frb,,,,,,,s,shortfront,,,,FALSE,none,tro,0,,cad,,actacticma_stub365f,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,1,1,ca_gb,,,,,
-ca_gbi,cad,ifrb,,,,,,,s,shortfront,,,,FALSE,none,tro,0,,cad,,actacticma_stub365f,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,daily,,,3,,,,,1,1,ca_gb,,,,,
-us_gbb,usd,bill,,,,,,,,,,,,TRUE,none,nyc,0,,usd,,act360,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,1,0,us_gbb,,,,,
-se_gbb,sek,bill,,,,,,,,,,,,FALSE,none,stk,0,,sek,,act360,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,2,0,se_gbb,,,,,
-no_gbb,nok,bill,,,,,,,,,,,,FALSE,none,osl,0,,nok,,act365f,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,2,0,no_gbb,,,,,
-uk_gbb,gbp,bill,,,,,,,,,,,,TRUE,none,ldn,0,,gbp,,act365f,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,1,0,uk_gbb,,,,,
-uk_gbi,gbp,ifrb,,,,,,,s,shortfront,,,,FALSE,none,ldn,0,,gbp,,actacticma,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,daily,,,3,,,,,1,7,uk_gb,,,,,
+us_gb,usd,frb,,,,,,,s,shortfront,,,,TRUE,none,nyc,0,,usd,,actacticma,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,1,-1b,us_gb,,,,,
+us_gbi,usd,ifrb,,,,,,,s,shortfront,,,,TRUE,none,nyc,0,,usd,,actacticma,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,daily,,,3,,,,,1,-1b,us_gb,,,,,
+us_corp,usd,frb,,,,,,,s,shortfront,,,,TRUE,none,nyc,0,,usd,,30u360,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,1,-1b,us_corp,,,,,
+us_muni,usd,frb,,,,,,,s,shortfront,,,,TRUE,none,nyc,0,,usd,,30u360,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,1,-1b,us_muni,,,,,
+us_gb_tsy,usd,frb,,,,,,,s,shortfront,,,,TRUE,none,nyc,0,,usd,,actacticma,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,1,-1b,us_gb_tsy,,,,,
+uk_gb,gbp,frb,,,,,,,s,longfront,,,,FALSE,none,ldn,0,,gbp,,actacticma,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,1,-7b,uk_gb,,,,,
+au_gb,aud,frb,,,,,,,s,longfront,,,,FALSE,none,syd,0,,aud,,actacticma,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,2,-8d,au_gb,,,,,
+nz_gb,nzd,frb,,,,,,,s,shortfront,,,,FALSE,none,wlg,0,,nzd,,actacticma,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,1,-8b,nz_gb,,,,,
+cn_gb,cny,frb,,,,,,,s,shortfront,,,,FALSE,none,bjs,0,,cny,,actacticma,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,1,-1b,cn_gb,,,,,
+de_gb,eur,frb,,,,,,,a,longfront,,,,FALSE,none,tgt,0,,eur,,actacticma,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,2,-1b,de_gb,,,,,
+fr_gb,eur,frb,,,,,,,a,shortfront,,,,FALSE,none,tgt,0,,eur,,actacticma,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,2,-1b,fr_gb,,,,,
+nl_gb,eur,frb,,,,,,,a,shortfront,,,,FALSE,none,tgt,0,,eur,,actacticma,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,2,-1b,nl_gb,,,,,
+it_gb,eur,frb,,,,,,,s,shortfront,,,,FALSE,none,tgt,0,,eur,,actacticma,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,2,-1b,it_gb,,,,,
+ch_gb,chf,frb,,,,,,,a,shortfront,,,,FALSE,none,zur,0,,chf,,30e360,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,1,-1b,ch_gb,,,,,
+se_gb,sek,frb,,,,,,,a,shortfront,,,,FALSE,none,stk,0,,sek,,actacticma,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,2,-5b,se_gb,,,,,
+no_gb,nok,frb,,,,,,,a,shortfront,,,,FALSE,none,osl,0,,nok,,actacticma_stub365f,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,1,-1b,no_gb,,,,,
+ca_gb,cad,frb,,,,,,,s,shortfront,,,,FALSE,none,tro,0,,cad,,actacticma_stub365f,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,1,-1b,ca_gb,,,,,
+ca_gbi,cad,ifrb,,,,,,,s,shortfront,,,,FALSE,none,tro,0,,cad,,actacticma_stub365f,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,daily,,,3,,,,,1,-1b,ca_gb,,,,,
+us_gbb,usd,bill,,,,,,,,,,,,TRUE,none,nyc,0,,usd,,act360,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,1,0b,us_gbb,,,,,
+se_gbb,sek,bill,,,,,,,,,,,,FALSE,none,stk,0,,sek,,act360,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,2,0b,se_gbb,,,,,
+no_gbb,nok,bill,,,,,,,,,,,,FALSE,none,osl,0,,nok,,act365f,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,2,0b,no_gbb,,,,,
+uk_gbb,gbp,bill,,,,,,,,,,,,TRUE,none,ldn,0,,gbp,,act365f,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,,,,,,,,,1,0b,uk_gbb,,,,,
+uk_gbi,gbp,ifrb,,,,,,,s,shortfront,,,,FALSE,none,ldn,0,,gbp,,actacticma,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,0,,,,,daily,,,3,,,,,1,-7b,uk_gb,,,,,
 sek_fra3,sek,fra,,,,,,3m,q,,,,,FALSE,mf,stk,0,,sek,,act360,,,,,,,,,,,,,,,,,,,,,,,none_simple,,ibor(2),,,,,,,,,,,,,,,,,,,,,,,,,,,,
 eur_fra3,eur,fra,,,,,,3m,q,,,,,FALSE,mf,tgt,0,,eur,,act360,,,,,,,,,,,,,,,,,,,,,,,none_simple,,ibor(2),,,,,,,,,,,,,,,,,,,,,,,,,,,,
 eur_fra6,eur,fra,,,,,,6m,s,,,,,FALSE,mf,tgt,0,,eur,,act360,,,,,,,,,,,,,,,,,,,,,,,none_simple,,ibor(2),,,,,,,,,,,,,,,,,,,,,,,,,,,,
 eur_fra1,eur,fra,,,,,,1m,m,,,,,FALSE,mf,tgt,0,,eur,,act360,,,,,,,,,,,,,,,,,,,,,,,none_simple,,ibor(2),,,,,,,,,,,,,,,,,,,,,,,,,,,,
 nok_fra3,nok,fra,,,,,,3m,q,,,,,FALSE,mf,osl,0,,nok,,act360,,,,,,,,,,,,,,,,,,,,,,,none_simple,,ibor(2),,,,,,,,,,,,,,,,,,,,,,,,,,,,
 nok_fra6,nok,fra,,,,,,6m,s,,,,,FALSE,mf,osl,0,,nok,,act360,,,,,,,,,,,,,,,,,,,,,,,none_simple,,ibor(2),,,,,,,,,,,,,,,,,,,,,,,,,,,,
-usd_frn5,usd,frn,,,,,,,q,,,,,FALSE,mf,nyc,0,,usd,,act360,,,,,,,,,,,,,,,,,,none_simple,,rfr_observation_shift(5),,,,,,,,,,,,,,,,,,,,,,,,,,1,1,,,,,,
+usd_frn5,usd,frn,,,,,,,q,,,,,FALSE,mf,nyc,0,,usd,,act360,,,,,,,,,,,,,,,,,,none_simple,,rfr_observation_shift(5),,,,,,,,,,,,,,,,,,,,,,,,,,1,1b,,,,,,
 usd_stir,usd,stir,,SFR,3m SOFR Futures convention,,,,q,,,,imm,FALSE,mf,nyc,0,,usd,,actacticma,,,,,,,,,,,,,,,,,,,,,,,none_simple,,rfr_payment_delay,usd_rfr,,,,,,,,,,,,,,,,,,,,,,,1000000,,,,
 usd_stir1,usd,stir,,SF1,1m Avergaed SOFR Futures,,,,m,,,,som,FALSE,mf,nyc,0,,usd,,actacticma,,,,,,,,,,,,,,,,,,,,,,,none_simple,,rfr_payment_delay_avg,usd_rfr,,,,,,,,,,,,,,,,,,,,,,,5000400,,,,
 eur_stir,eur,stir,,KTR,3m ESTR Futures,,,,q,,,,imm,FALSE,mf,tgt,0,,eur,,actacticma,,,,,,,,,,,,,,,,,,,,,,,none_simple,,rfr_payment_delay,eur_rfr,,,,,,,,,,,,,,,,,,,,,,,1000000,,,,

{rateslib-2.7.0 → rateslib-2.7.1}/python/rateslib/data/fixings.py

@@ -1292,15 +1292,21 @@ class IRSSeries:
 
     .. ipython:: python
 
-       fxi = FXIndex(
-           pair="eurusd",
-           calendar="tgt|fed",      # <- Spot FX measures settlement dates according to this calendar
+       irss = IRSSeries(
+           currency="nok",
            settle=2,
-           isda_mtm_calendar="ldn", # <- MTM XCS FX fixing dates are determined according to this calendar
-           isda_mtm_settle=-2,
+           calendar="osl",
+           convention="30e360",
+           leg2_convention="act360",
+           frequency="A",
+           leg2_frequency="Q",
+           leg2_fixing_method="Ibor(2)",
+           eom=False,
+           modifier="MF",
+           payment_lag=0
        )
-       fxi.delivery(dt(2025, 7, 3))
-       fxi.isda_fixing_date(dt(2025, 7, 3))
+       irss.settle
+
 
     .. role:: red
 
@@ -1324,7 +1330,7 @@ class IRSSeries:
     leg2_frequency: str, :green:`optional (set by 'defaults')`
         The leg2_frequency passed to the :class:`~rateslib.instruments.IRS`
     leg2_fixing_method: FloatFixingMethod, str, :green:`optional (set by 'defaults')`
-        The :class:`~rateslib.enums.parameters.FloatFixingMethod` describing the determination
+        The :class:`~rateslib.enums.FloatFixingMethod` describing the determination
         of the floating rate for each period.
     eom : bool, :green:`optional`
         The eom passed to the :class:`~rateslib.instruments.IRS`
@@ -1393,25 +1399,25 @@ class IRSSeries:
 
     @property
     def convention(self) -> Convention:
-        """The :class:`rateslib.scheduling.Convention` of leg1 of
+        """The :class:`~rateslib.scheduling.Convention` of leg1 of
         the associated :class:`~rateslib.instruments.IRS`"""
         return self._convention
 
     @property
     def leg2_convention(self) -> Convention:
-        """The :class:`rateslib.scheduling.Convention` of leg2 of
+        """The :class:`~rateslib.scheduling.Convention` of leg2 of
         the associated :class:`~rateslib.instruments.IRS`"""
         return self._leg2_convention
 
     @property
     def modifier(self) -> Adjuster:
-        """The :class:`rateslib.scheduling.Adjuster` for accrual modification
+        """The :class:`~rateslib.scheduling.Adjuster` for accrual modification
         of the associated :class:`~rateslib.instruments.IRS`"""
         return self._modifier
 
     @property
     def payment_lag(self) -> Adjuster | int | str_:
-        """The :class:`rateslib.scheduling.Adjuster` for payment date modification
+        """The :class:`~rateslib.scheduling.Adjuster` for payment date modification
         of the associated :class:`~rateslib.instruments.IRS`"""
         return self._payment_lag
 

{rateslib-2.7.0 → rateslib-2.7.1}/python/rateslib/dual/utils.py

@@ -58,6 +58,22 @@ def _dual_float(val: DualTypes) -> float:
         raise e
 
 
+def _dual_round(val: DualTypes, ndigits: int) -> DualTypes:
+    """Overload for the round() builtin to handle Duals: ONLY impacting the real quantity"""
+    try:
+        return round(val, ndigits)  # type: ignore[arg-type]
+    except TypeError as e:  # val is not Number but a Variable
+        if isinstance(val, Dual):
+            return Dual.vars_from(val, round(val.real, ndigits), val.vars, val.dual)
+        elif isinstance(val, Dual2):
+            return Dual2.vars_from(
+                val, round(val.real, ndigits), val.vars, val.dual, val.dual2.ravel()
+            )
+        elif isinstance(val, Variable):
+            return Variable(round(val.real, ndigits), vars=val.vars, dual=val.dual)
+        raise e
+
+
 def _float_or_none(val: DualTypes | None | NoInput | Result[DualTypes]) -> float | None:
     if val is None or isinstance(val, NoInput | Err):
         return None

{rateslib-2.7.0 → rateslib-2.7.1}/python/rateslib/enums/__init__.py

@@ -19,6 +19,8 @@ from rateslib.enums.parameters import (
     IROptionMetric,
     LegIndexBase,
     LegMtm,
+    OptionPricingModel,
+    OptionType,
     SpreadCompoundMethod,
     SwaptionSettlementMethod,
 )
@@ -31,6 +33,8 @@ __all__ = [
     "SwaptionSettlementMethod",
     "FXOptionMetric",
     "IROptionMetric",
+    "OptionPricingModel",
+    "OptionType",
     "LegMtm",
     "LegIndexBase",
     "NoInput",

{rateslib-2.7.0 → rateslib-2.7.1}/python/rateslib/instruments/bonds/conventions/__init__.py

@@ -29,7 +29,9 @@ if TYPE_CHECKING:
         YtmDiscountFunction,
         YtmStubDiscountFunction,
     )
-    from rateslib.local_types import Any  # pragma: no cover
+    from rateslib.local_types import (  # pragma: no cover
+        Any,
+    )
 
 
 class BondCalcMode:
@@ -395,6 +397,7 @@ class BondCalcMode:
     """  # noqa: E501, W293
 
     _settle_accrual: AccrualFunction
+    # _settle_accrual_rounding: int | None
     _ytm_accrual: AccrualFunction
     _v1: YtmStubDiscountFunction
     _v2: YtmDiscountFunction
@@ -413,6 +416,7 @@ class BondCalcMode:
         c1: str | CashflowFunction,
         ci: str | CashflowFunction,
         cn: str | CashflowFunction,
+        # settle_accrual_rounding: int_ = NoInput(0),
     ):
         self._kwargs: dict[str, str] = {}
         for name, func, _map in zip(
@@ -437,6 +441,13 @@ class BondCalcMode:
                 setattr(self, f"_{name}", func)
                 self._kwargs[name] = "custom"
 
+        # if isinstance(settle_accrual_rounding, NoInput):
+        #     self._settle_accrual_rounding = None
+        #     self._kwargs["settle_accrual_rounding"] = "none"
+        # else:
+        #     self._settle_accrual_rounding = settle_accrual_rounding
+        #     self._kwargs["settle_accrual_rounding"] = str(settle_accrual_rounding)
+
     @property
     def kwargs(self) -> dict[str, str]:
         """String representation of the parameters for the calculation convention."""
@@ -511,6 +522,18 @@ UK_GB = BondCalcMode(
     cn="cashflow",
 )
 
+CN_GB = BondCalcMode(
+    # Chinese government bond conventions
+    settle_accrual="linear_days",
+    ytm_accrual="linear_days",
+    v1="compounding",
+    v2="regular",
+    v3="compounding",
+    c1="cashflow",
+    ci="cashflow",
+    cn="cashflow",
+)
+
 NZ_GB = BondCalcMode(
     # New Zealand government bond conventions
     settle_accrual="linear_days",
@@ -523,6 +546,19 @@ NZ_GB = BondCalcMode(
     cn="cashflow",
 )
 
+AU_GB = BondCalcMode(
+    # Australian government bond conventions
+    settle_accrual="linear_days",
+    # settle_accrual_rounding=3,
+    ytm_accrual="linear_days",
+    v1="compounding_final_simple_act365f",
+    v2="regular",
+    v3="compounding",
+    c1="cashflow",
+    ci="cashflow",
+    cn="cashflow",
+)
+
 US_GB = BondCalcMode(
     # US Treasury street convention
     settle_accrual="linear_days_long_front_split",
@@ -698,6 +734,8 @@ NO_GBB = BillCalcMode(
 BOND_MODE_MAP = {
     "uk_gb": UK_GB,
     "nz_gb": NZ_GB,
+    "au_gb": AU_GB,
+    "cn_gb": CN_GB,
     "us_gb": US_GB,
     "de_gb": DE_GB,
     "fr_gb": FR_GB,

{rateslib-2.7.0 → rateslib-2.7.1}/python/rateslib/instruments/bonds/protocols/accrued.py

@@ -80,4 +80,5 @@ class _WithAccrued(Protocol):
         calculation mode specific to the :class:`~rateslib.instruments.BondCalcMode`.
 
         """  # noqa: E501
-        return self._accrued(settlement, self.kwargs.meta["calc_mode"]._settle_accrual)
+        value = self._accrued(settlement, self.kwargs.meta["calc_mode"]._settle_accrual)
+        return value