Big merge of master into yield curves.

.travis.yml

@@ -1,5 +1,4 @@
 language: python
-sudo: false
 
 env:
   matrix:
@@ -11,7 +10,8 @@ env:
 
 install:
   # Install conda
-  - wget http://repo.continuum.io/miniconda/Miniconda-latest-Linux-x86_64.sh -O miniconda.sh
+  - sudo apt-get update
+  - 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
@@ -28,10 +28,16 @@ install:
   #- pip install --no-deps -e .
 
 script:
-  - if [[ $COVERAGE == 'true' ]]; then py.test --cov --cov-report=html -vv -s --pyarg tests; fi
+  - if [[ $COVERAGE == 'true' ]]; then 
+        py.test --cov --cov-report=html -vv -s tests; 
+    else
+        py.test -vv -s tests; 
+    fi
 
 after_success:
-  - if [[ COVERAGE == 'true' ]]; then coverage report --show-missing; pip install coveralls ; coveralls ; fi
+  - coverage report --show-missing
+  - pip install coveralls
+  - coveralls
 
 #notifications:
 #  email: false

pennies/calculators/assets.py

@@ -150,3 +150,4 @@ def default_calculators():
         str(assets.StirFuture): None,
         str(assets.FRA): None,
         str(assets.IborFixing): None}
+

pennies/calculators/bonds.py

@@ -0,0 +1,57 @@
+from __future__ import absolute_import, division, print_function
+
+import math
+import numbers
+import pandas as pd
+from datetime import date
+from pennies.assets.core import CashFlow
+from pennies.assets.bonds import Bond
+from pennies.dispatch import dispatch
+from pennies.time import date_range, freq_to_frac, to_offset
+
+
+def _bond_cash_flows(b):
+    """Generate a series of cash flows for a bond.
+
+    Parameters
+    ----------
+
+    b: Bond
+        bond to compute cash flows
+
+    Returns
+    -------
+
+    pandas.Series
+    """
+
+    # get payment dates
+    end_date = b.start_date + to_offset(b.maturity)
+    date_index = date_range(b.start_date, end_date, b.frequency)
+
+    # get coupon cash flows
+    if b.frequency is None:
+        b.frequency = 'A'
+    payments = [b.principal * b.coupon * freq_to_frac(b.frequency)] * len(date_index)
+    payments[-1] += b.principal
+
+    # create cash flow objects
+    cash_flows = []
+    for p, dt in zip(payments, date_index):
+        cash_flows.append(CashFlow(p, dt.to_datetime()))
+
+    # create series and remove cash flows that already occurred
+    return pd.Series(cash_flows, index=date_index)[date.today():]
+
+
+@dispatch(Bond, numbers.Number)
+def present_value(b, discount_factor):
+    """Calculate the present value of a bond.
+
+    Calculates the value of simple bonds by taking the sum
+    of the discounted cash flows relative to the coupon, frequency,
+    and term to maturity.
+    """
+    cash_flows = _bond_cash_flows(b)
+    pv_cash_flows = present_value(cash_flows, discount_factor)
+    return pv_cash_flows.sum()

pennies/calculators/trades.py

@@ -1,6 +1,5 @@
 from __future__ import absolute_import, division, print_function
 
-
 from pennies.trading.trades import Trade, Portfolio
 from pennies.market.market import RatesTermStructure
 from pennies import dispatch
@@ -50,3 +49,4 @@ def present_value(self):
         if self.settlement_ccr is not None:
             pv += self.settlement_ccr.present_value()
         return pv
+

pennies/time.py

@@ -1,4 +1,9 @@
-"""Daycount calculations, Schedule creation, and so on."""
+"""Daycount calculations, Schedule creation, and so on.
+
+Only a small number of required daycount conventions are included here.
+For full list, see the following:
+https://developers.opengamma.com/quantitative-research/Interest-Rate-Instruments-and-Market-Conventions.pdf
+"""
 from __future__ import absolute_import, division, print_function
 
 import numpy as np
@@ -52,6 +57,68 @@ def daycounter(name=None):
     """Function to compute accrual, given name from daycount_conventions"""
     return daycount_conventions.get(name, thirty360)
 
+# TODO - What is the following used for?
+FREQ_TO_YEAR_FRAC = {
+    'D': 1/365,
+    'W': 1/52,
+    'WS': 1/52,
+    'M': 1/12,
+    'MS': 1/12,
+    'Q': 1/4,
+    'QS': 1/4,
+    'A': 1,
+    'AS': 1
+}
+
+
+def freq_to_frac(freq):
+    return FREQ_TO_YEAR_FRAC[freq]
+
+
+def date_range(start, end, freq):
+    """
+    Generate range of dates.
+
+    Parameters
+    ----------
+
+    start: str, date, datetime
+        start date of range (exclusive)
+    end: str, date, datetime
+        end date of range(inclusive)
+    freq: str
+        D, W, M, Q, A for end (WS, MS, QS, AS for start)
+        If None, return DatetimeIndex with end.
+
+    Returns
+    -------
+
+    `DatetimeIndex`
+    """
+    if freq is None:
+        return pd.DatetimeIndex([end])
+
+    if isinstance(end, str):
+        end = dt.datetime.strptime(end, '%Y-%m-%d')
+
+    return pd.date_range(start, end, freq=freq)
+
+
+def to_offset(s):
+    """Pass in a string to get a date offset.
+
+    Arguments
+    ---------
+
+    s: str
+        offset string which has format "<int> <freq>" where
+        frequency can be one of "days", "months", or "years".
+    """
+    amount, freq = s.split(' ')
+    kwargs = {freq: int(amount)}
+    return pd.tseries.offsets.DateOffset(**kwargs)
+
+
 if __name__ == '__main__':
     # TODO Move this into tests
     today = pd.to_datetime('today')
@@ -69,7 +136,3 @@ def daycounter(name=None):
     print('Series - act365: {}'.format(act365_fixed(today, sched_end)))
     print('Series - thirty360: {}'.format(thirty360(today, sched_end)))
 
-
-
-
-

requirements.txt

@@ -0,0 +1,5 @@
+pandas
+multipledispatch
+scipy
+matplotlib
+