Merge 3331ad8 into 7b0d8cc

.travis.yml

@@ -1,40 +1,38 @@
 language: python
 
-python:
-  - "2.7"
-  - "3.4"
-  - "3.5"
+env:
+  matrix:
+    - PYTHON=2.7 NUMPY=1.10 COVERAGE='false'
+    - PYTHON=2.7 NUMPY=1.11 COVERAGE='false'
+    - PYTHON=3.4 NUMPY=1.11 COVERAGE='false'
+    - PYTHON=3.5 NUMPY=1.11 COVERAGE='false'
+    - PYTHON=3.6 NUMPY=1.13 COVERAGE='true'
 
 install:
   # Install conda
   - sudo apt-get update
-  # We do this conditionally because it saves us some downloading if the
-  # version is the same.
-  - if [[ "$TRAVIS_PYTHON_VERSION" == "2.7" ]]; then
-      wget https://repo.continuum.io/miniconda/Miniconda2-latest-Linux-x86_64.sh -O miniconda.sh;
-    else
-      wget https://repo.continuum.io/miniconda/Miniconda3-latest-Linux-x86_64.sh -O miniconda.sh;
-    fi
+  - wget https://repo.continuum.io/miniconda/Miniconda3-latest-Linux-x86_64.sh -O miniconda.sh;
   - bash miniconda.sh -b -p $HOME/miniconda
   - export PATH="$HOME/miniconda/bin:$PATH"
   - conda config --set always_yes yes --set changeps1 no
   - conda update -q conda
   - conda info -a
 
   # Install dependencies
-  - conda create -n test-environment python=$TRAVIS_PYTHON_VERSION
+  - conda create -n test-environment python=$PYTHON
   - source activate test-environment
-  - conda install --file requirements.txt
+  - conda install numpy=$NUMPY pandas scipy multipledispatch matplotlib pytest pytest-cov 
 
-  # Install package
-  # (from dask) - pip install --no-deps -e .[complete]
-  # taken from danielfrg/word2vec
-  - python setup.py bdist_wheel
-  - ls dist
-  - pip install --pre --no-index --find-links dist/ pennies
+  # Install package in develop mode
+  - python setup.py develop
+  #- pip install --no-deps -e .
 
 script:
-  - py.test --cov --cov-report=html -vv -s --pyarg --doctest-modules pennies
+  - if [[ $COVERAGE == 'true' ]]; then 
+        py.test --cov --cov-report=html -vv -s tests; 
+    else
+        py.test -vv -s tests; 
+    fi
 
 after_success:
   - coverage report --show-missing

pennies/__init__.py

@@ -1,7 +1,5 @@
-# from . import models
+from multipledispatch import dispatch
+from functools import partial
 
-__version__ = '0.1.0'
-
-from pennies.calculators.bonds import *
-from pennies.calculators.core import *
-from pennies.calculators.core import present_value
+NAMESPACE = dict()
+dispatch = partial(dispatch, namespace=NAMESPACE)  # TODO Why is namespace here?

pennies/calculators/__init__.py

@@ -1,2 +0,0 @@
-from __future__ import absolute_import, division, print_function
-

pennies/calculators/assets.py

@@ -1,5 +1,115 @@
 from __future__ import absolute_import, division, print_function
 
+from pennies import dispatch
+from six import string_types
+
+from pennies.trading.assets import Asset
+from pennies.market.market import Market
+
+BASE_ASSET = (Asset, object)
+BASE_MARKET = (Market, object)
+BASE_STRING = string_types + (object,)
+
+
+@dispatch(BASE_ASSET, BASE_MARKET, BASE_STRING)
+def present_value(contract, market, reporting_ccy):
+    """Base present value calculation.
+
+    Given an asset (or sequence of assets), calculate it's present
+    value as of today.  The supplied market provides prices, curves, and so on.
+
+    Parameters
+    ----------
+    contract: Asset
+        Asset to calculate present value
+    market: Market
+        Market to retrieve raw and computed market values
+        such as prices, curves, and surfaces.
+    reporting_ccy: str
+        Specifies which currency to report value in
+
+    Returns
+    -------
+    float
+        Present Value in the reporting currency
+    """
+    raise NotImplementedError("Not available for base types")
+
+
+@dispatch(BASE_ASSET, BASE_MARKET, BASE_STRING, object, BASE_STRING)
+def sens_to_zero_rates(contract, market, curve_ccy, curve_key, reporting_ccy):
+    """Sensitivity of each cashflow to the curve specified by currency and key
+
+    Given an asset contract (or sequence of assets), calculate the change in
+     Present Value to a unit shift in the zero rate of the curve specified
+     by curve_ccy and curve_key.
+
+    Parameters
+    ----------
+    contract: Asset
+        Calculate Sensitivity to this Asset.
+    market: Market
+        Market to retrieve raw and computed market values
+        such as prices, curves, and surfaces.
+    curve_ccy: str
+        Specifies currency of the curve
+    curve_key: str
+        Along with curve_ccy, specifies which curve to compute sensitivity to.
+    reporting_ccy: str
+        Specifies which currency to report value in
+
+    Returns
+    -------
+    DataFrame
+        Table containing maturities, sensitivities, curve currency and key,
+        columns=['ttm', 'sens', 'ccy', 'curve'].
+    """
+    raise NotImplementedError("Not available for base types")
+
+
+@dispatch(BASE_ASSET, BASE_MARKET, str)
+def sens_to_market_rates(contract, market, reporting_ccy):
+    """Compute sensitivity of contract to each node in the market's curves.
+
+    Market Curve Calibration consists of finding the discount rates for a
+    desired set of curves that correctly prices a target set of contracts.
+
+    To do this, we form a Jacobian matrix consisting of the sensitivities
+     of each contract's Present Value, V_i,
+     to each node of each curve in the market, r_j: d(V_i)/dr_j.
+
+    This function produces a single row of the Jacobian. Note the indices:
+    i = index over market contracts. (rows)
+    j = index over model curve nodes, for all curves. (columns)
+        Thus, if one had a discount curve with N nodes,
+        and a single LIBOR curve with M nodes. j = 0..N+M-1
+
+    V_i = Present Value of the i'th contract.
+    r_j = Discount rate of node j.
+    t_k = Maturity of some bond required to price V_i.
+    r_{c,k} = discount rate of curve, c, at time t_k.
+    z_{c,k} = discount bond price of curve, c, at time t_k.
+
+    dP/dr_j = ( dV/dz_{c,k} ) * ( dz_{c,k} / dr_{c,k} ) * ( dr_{c,k} / dr_j )
+
+    Note that dr_{c,k} / dr_j == 0 if node j does not belong to curve c.
+
+    Parameters
+    ----------
+    contract: Asset
+        Asset to calculate present value
+    market: Market
+        Market to retrieve raw and computed market values
+        such as prices, curves, and surfaces.
+
+    Returns
+    -------
+    Array of CurrencyAmount's
+        Derivative of Present Value with respect to each node's rate
+    """
+    raise NotImplementedError("Not available for base types")
+
+
 class AssetCalculator(object):
 
     def __init__(self, contract, market):
@@ -17,3 +127,27 @@ def __init__(self, contract, market):
 
 def all_calculators():
     return AssetCalculator.__subclasses__()
+
+
+def default_calculators():
+    from pennies.trading import assets
+    from pennies.calculators import payments
+    return {
+        str(assets.BulletPayment): payments.BulletPaymentCalculator,
+        str(assets.DiscountBond): payments.BulletPaymentCalculator,
+        str(assets.SettlementPayment): payments.BulletPaymentCalculator,
+        str(assets.Zero): payments.BulletPaymentCalculator,
+        str(assets.ZeroCouponBond): payments.BulletPaymentCalculator,
+        str(assets.CompoundAsset): None,
+        str(assets.Annuity): None,
+        str(assets.FixedLeg): None,
+        str(assets.IborLeg): None,
+        str(assets.Swap): None,
+        str(assets.VanillaSwap): None,
+        str(assets.CurrencySwap): None,
+        str(assets.TenorSwap): None,
+        str(assets.Deposit): None,
+        str(assets.StirFuture): None,
+        str(assets.FRA): None,
+        str(assets.IborFixing): None}
+