diff --git a/.github/workflows/build.yml b/.github/workflows/build.yml index f364439..627430c 100644 --- a/.github/workflows/build.yml +++ b/.github/workflows/build.yml @@ -16,7 +16,7 @@ jobs: FMP_API_KEY: ${{ secrets.FMP_API_KEY }} strategy: matrix: - python-version: ["3.10", "3.11"] + python-version: ["3.10", "3.11", "3.12"] steps: - uses: actions/checkout@v3 diff --git a/.gitignore b/.gitignore index ab44da3..b2a9eea 100644 --- a/.gitignore +++ b/.gitignore @@ -27,6 +27,7 @@ dist .venv .mypy_cache .pytest_cache +.python-version # Jupyter *.ipynb diff --git a/LICENSE b/LICENSE index 3e9ebe1..aec36e4 100644 --- a/LICENSE +++ b/LICENSE @@ -1,4 +1,4 @@ -Copyright (c) 2023 Quantmind +Copyright (c) 2024 Quantmind Redistribution and use in source and binary forms, with or without modification, are permitted provided that the following conditions are met: diff --git a/dev/lint b/dev/lint index b160ad2..b4afdcc 100755 --- a/dev/lint +++ b/dev/lint @@ -9,6 +9,11 @@ if [ "$1" = "fix" ] ; then RUFF_ARG="--fix" fi -black quantflow tests ${BLACK_ARG} -ruff quantflow tests ${RUFF_ARG} -mypy quantflow tests +echo black +black quantflow quantflow_tests ${BLACK_ARG} +echo ruff +ruff quantflow quantflow_tests ${RUFF_ARG} +echo mypy +mypy quantflow +echo mypy tests +mypy quantflow_tests --explicit-package-bases diff --git a/poetry.lock b/poetry.lock index db1db61..11689bd 100644 --- a/poetry.lock +++ b/poetry.lock @@ -1,4 +1,4 @@ -# This file is automatically @generated by Poetry 1.5.1 and should not be changed by hand. +# This file is automatically @generated by Poetry 1.7.1 and should not be changed by hand. 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"jaraco.itertools", "more-itertools", "pytest (>=6)", "pytest-black (>=0.3.7)", "pytest-checkdocs (>=2.4)", "pytest-cov", "pytest-enabler (>=2.2)", "pytest-ignore-flaky", "pytest-mypy (>=0.9.1)", "pytest-ruff"] [extras] @@ -4083,5 +4141,5 @@ data = ["aiohttp"] [metadata] lock-version = "2.0" -python-versions = ">=3.10,<3.12" -content-hash = "46752c6b03936d6e3ceec739a9c199736b5eaeed7679ec1f6f709f14f745766d" +python-versions = ">=3.10,<3.13" +content-hash = "45f5b4207bd551c6aeaf520fcb1f65834d164ab6843379041a14be2c07404cfc" diff --git a/pyproject.toml b/pyproject.toml index 1af0fdd..e3322d9 100644 --- a/pyproject.toml +++ b/pyproject.toml @@ -12,7 +12,7 @@ Repository = "https://github.com/quantmind/quantflow" Documentation = "https://quantmind.github.io/quantflow/" [tool.poetry.dependencies] -python = ">=3.10,<3.12" +python = ">=3.10,<3.13" numpy = "^1.22.3" scipy = "^1.10.1" pandas = "^2.0.1" @@ -20,12 +20,12 @@ aiohttp = {version = "^3.8.1", optional = true} pydantic = "^2.0.2" [tool.poetry.group.dev.dependencies] -black = "^23.3.0" +black = "^24.1.1" pytest-cov = "^4.0.0" mypy = "^1.4.0" ghp-import = "^2.0.2" -ruff = "^0.0.285" -pytest-asyncio = "^0.21.1" +ruff = "^0.1.14" +pytest-asyncio = "^0.23.3" [tool.poetry.extras] @@ -53,7 +53,7 @@ formats = "ipynb,myst" [tool.pytest.ini_options] asyncio_mode = "auto" testpaths = [ - "tests" + "quantflow_tests" ] [tool.isort] @@ -74,7 +74,7 @@ disallow_untyped_defs = true warn_no_return = true [[tool.mypy.overrides]] -module = "tests.*" +module = "quantflow_tests.*" disallow_untyped_defs = false [[tool.mypy.overrides]] diff --git a/quantflow/__init__.py b/quantflow/__init__.py index 3a89773..d1e4a82 100644 --- a/quantflow/__init__.py +++ b/quantflow/__init__.py @@ -1,2 +1,3 @@ """Quantitative analysis and pricing""" + __version__ = "0.2.4" diff --git a/quantflow/options/surface.py b/quantflow/options/surface.py index dba0bdb..c6c0049 100644 --- a/quantflow/options/surface.py +++ b/quantflow/options/surface.py @@ -30,8 +30,7 @@ class VolSurfaceSecurity(Protocol): - def vol_surface_type(self) -> VolSecurityType: - ... + def vol_surface_type(self) -> VolSecurityType: ... S = TypeVar("S", bound=VolSurfaceSecurity) diff --git a/quantflow/sp/cir.py b/quantflow/sp/cir.py index 1d945bb..9f4a4f8 100755 --- a/quantflow/sp/cir.py +++ b/quantflow/sp/cir.py @@ -37,6 +37,7 @@ class CIR(IntensityProcess): :param sigma: Volatility parameter :math:`\sigma` :param theta: Long term mean rate :math:`\theta` """ + sigma: float = Field(default=1.0, gt=0, description="Volatility") theta: float = Field(default=1.0, gt=0, description="Mean rate") sample_algo: SamplingAlgorithm = Field( diff --git a/quantflow/sp/copula.py b/quantflow/sp/copula.py index c641198..8f938d6 100644 --- a/quantflow/sp/copula.py +++ b/quantflow/sp/copula.py @@ -73,6 +73,7 @@ class FrankCopula(Copula): u\right)-1\right)\left(\exp\left(-\kappa v\right)-1\right)}{\exp\left(-\kappa\right)-1}\right] """ + kappa: Decimal = Field(default=ZERO, description="Frank copula parameter") def __call__(self, u: FloatArrayLike, v: FloatArrayLike) -> FloatArrayLike: diff --git a/quantflow/sp/dsp.py b/quantflow/sp/dsp.py index 51b1269..a10d685 100755 --- a/quantflow/sp/dsp.py +++ b/quantflow/sp/dsp.py @@ -19,6 +19,7 @@ class DSP(PoissonBase): :param intensity: the stochastic intensity of the Poisson """ + intensity: IntensityProcess = Field( # type ignore default_factory=CIR, description="intensity process" ) diff --git a/quantflow/sp/heston.py b/quantflow/sp/heston.py index 1a5a336..71b9a84 100644 --- a/quantflow/sp/heston.py +++ b/quantflow/sp/heston.py @@ -24,6 +24,7 @@ class Heston(StochasticProcess1D): d v_t = (a - \kappa v_t) dt + \nu \sqrt{v_t} dw^2_t \rho dt = \E[dw^1 dw^2] """ + variance_process: CIR = Field(default_factory=CIR, description="Variance process") rho: float = Field(default=0, ge=-1, le=1, description="Correlation") diff --git a/quantflow/sp/jump_diffusion.py b/quantflow/sp/jump_diffusion.py index cad055a..5dc0349 100644 --- a/quantflow/sp/jump_diffusion.py +++ b/quantflow/sp/jump_diffusion.py @@ -22,6 +22,7 @@ class JumpDiffusion(StochasticProcess1D, Generic[D]): where N_t is a compound poisson process with intensity \lambda and jump distribution D """ + diffusion: WeinerProcess = Field( default_factory=WeinerProcess, description="diffusion" ) diff --git a/tests/test_cir.py b/quantflow_tests/test_cir.py similarity index 100% rename from tests/test_cir.py rename to quantflow_tests/test_cir.py diff --git a/tests/test_copula.py b/quantflow_tests/test_copula.py similarity index 100% rename from tests/test_copula.py rename to quantflow_tests/test_copula.py diff --git a/tests/test_data.py b/quantflow_tests/test_data.py similarity index 100% rename from tests/test_data.py rename to quantflow_tests/test_data.py diff --git a/tests/test_distributions.py b/quantflow_tests/test_distributions.py similarity index 100% rename from tests/test_distributions.py rename to quantflow_tests/test_distributions.py diff --git a/tests/test_frft.py b/quantflow_tests/test_frft.py similarity index 100% rename from tests/test_frft.py rename to quantflow_tests/test_frft.py diff --git a/tests/test_heston.py b/quantflow_tests/test_heston.py similarity index 94% rename from tests/test_heston.py rename to quantflow_tests/test_heston.py index 20a1677..608925d 100644 --- a/tests/test_heston.py +++ b/quantflow_tests/test_heston.py @@ -1,7 +1,7 @@ import pytest from quantflow.sp.heston import Heston, HestonJ -from tests.utils import characteristic_tests +from quantflow_tests.utils import characteristic_tests @pytest.fixture diff --git a/tests/test_jump_diffusion.py b/quantflow_tests/test_jump_diffusion.py similarity index 100% rename from tests/test_jump_diffusion.py rename to quantflow_tests/test_jump_diffusion.py diff --git a/tests/test_options.py b/quantflow_tests/test_options.py similarity index 97% rename from tests/test_options.py rename to quantflow_tests/test_options.py index bce2ca9..46edf0c 100644 --- a/tests/test_options.py +++ b/quantflow_tests/test_options.py @@ -14,7 +14,7 @@ surface_from_inputs, ) from quantflow.sp.heston import Heston -from tests.utils import has_plotly +from quantflow_tests.utils import has_plotly a = np.asarray CROSS_SECTIONS = 8 @@ -27,7 +27,7 @@ def heston() -> OptionPricer[Heston]: @pytest.fixture def vol_surface() -> VolSurface: - with open("tests/volsurface.json") as fp: + with open("quantflow_tests/volsurface.json") as fp: return surface_from_inputs(VolSurfaceInputs(**json.load(fp))) diff --git a/tests/test_options_pricer.py b/quantflow_tests/test_options_pricer.py similarity index 91% rename from tests/test_options_pricer.py rename to quantflow_tests/test_options_pricer.py index 6edc14a..e9cf060 100644 --- a/tests/test_options_pricer.py +++ b/quantflow_tests/test_options_pricer.py @@ -2,7 +2,7 @@ from quantflow.options.pricer import OptionPricer from quantflow.sp.heston import HestonJ -from tests.utils import has_plotly +from quantflow_tests.utils import has_plotly @pytest.fixture diff --git a/tests/test_ou.py b/quantflow_tests/test_ou.py similarity index 93% rename from tests/test_ou.py rename to quantflow_tests/test_ou.py index dc91de2..4b4996e 100644 --- a/tests/test_ou.py +++ b/quantflow_tests/test_ou.py @@ -2,7 +2,7 @@ from quantflow.sp.bns import BNS from quantflow.sp.ou import GammaOU, Vasicek -from tests.utils import characteristic_tests, analytical_tests +from quantflow_tests.utils import characteristic_tests, analytical_tests @pytest.fixture diff --git a/tests/test_poisson.py b/quantflow_tests/test_poisson.py similarity index 97% rename from tests/test_poisson.py rename to quantflow_tests/test_poisson.py index 53b982f..9d80128 100644 --- a/tests/test_poisson.py +++ b/quantflow_tests/test_poisson.py @@ -6,7 +6,7 @@ from quantflow.sp.dsp import DSP from quantflow.sp.poisson import CompoundPoissonProcess, PoissonProcess from quantflow.utils.distributions import Exponential -from tests.utils import analytical_tests, characteristic_tests +from quantflow_tests.utils import analytical_tests, characteristic_tests @pytest.fixture diff --git a/tests/test_weiner.py b/quantflow_tests/test_weiner.py similarity index 97% rename from tests/test_weiner.py rename to quantflow_tests/test_weiner.py index 1b4fcfe..23ad9ed 100644 --- a/tests/test_weiner.py +++ b/quantflow_tests/test_weiner.py @@ -3,7 +3,7 @@ from quantflow.sp.weiner import WeinerProcess from quantflow.utils.paths import Paths -from tests.utils import characteristic_tests +from quantflow_tests.utils import characteristic_tests @pytest.fixture diff --git a/tests/utils.py b/quantflow_tests/utils.py similarity index 100% rename from tests/utils.py rename to quantflow_tests/utils.py diff --git a/tests/volsurface.json b/quantflow_tests/volsurface.json similarity index 100% rename from tests/volsurface.json rename to quantflow_tests/volsurface.json diff --git a/tests/__init__.py b/tests/__init__.py deleted file mode 100644 index e69de29..0000000