Merge 98a4e6c into 20a54a7

.coveragerc

@@ -2,3 +2,5 @@
 source = quantdsl
 omit =
     */python?.?/*
+    */test_?.py
+    */tests/*

.gitignore

@@ -1,3 +1,4 @@
+/.README.py
 # Byte-compiled / optimized / DLL files
 __pycache__/
 *.py[cod]

.travis.yml

@@ -2,29 +2,29 @@ language: python
 
 sudo: false
 
-matrix:
-  include:
-    - python: 2.7
-      env: NUMPY=1.9 SCIPY=0.15
-    - python: 3.4
-      env: NUMPY=1.9 SCIPY=0.15
+services:
+  - rabbitmq
+
+python:
+  - "2.7"
+  - "3.3"
+  - "3.4"
 
 before_install:
-# - wget http://repo.continuum.io/miniconda/Miniconda-latest-Linux-x86_64.sh -O miniconda.sh
- - travis_retry wget http://repo.continuum.io/miniconda/Miniconda-3.8.3-Linux-x86_64.sh -O miniconda.sh
- - chmod +x miniconda.sh
- - bash miniconda.sh -b -p $HOME/miniconda
- - export PATH=/home/travis/miniconda/bin:$PATH
- - conda update --yes conda
+- travis_retry wget http://repo.continuum.io/miniconda/Miniconda-3.8.3-Linux-x86_64.sh -O miniconda.sh
+- chmod +x miniconda.sh
+- bash miniconda.sh -b -p $HOME/miniconda
+- export PATH=/home/travis/miniconda/bin:$PATH
+- conda update --yes conda
+- conda install --yes atlas numpy scipy matplotlib
 
 install:
- - conda install --yes numpy=$NUMPY scipy=$SCIPY matplotlib pip
- - conda install --yes -c dan_blanchard python-coveralls
- - pip install setuptools
- - pip install .
+- pip install -U pip
+- pip install -r requirements.txt
+- pip install python-coveralls
 
 script:
- - coverage run --source quantdsl -m unittest discover quantdsl
+- coverage run -m unittest discover quantdsl -v
 
 after_success:
-  - coveralls --config_file .coveragerc
+- coveralls

doc/Makefile

@@ -0,0 +1,130 @@
+# Makefile for Sphinx documentation
+#
+
+# You can set these variables from the command line.
+SPHINXOPTS    =
+SPHINXBUILD   = sphinx-build
+PAPER         =
+BUILDDIR      = build
+
+# Internal variables.
+PAPEROPT_a4     = -D latex_paper_size=a4
+PAPEROPT_letter = -D latex_paper_size=letter
+ALLSPHINXOPTS   = -d $(BUILDDIR)/doctrees $(PAPEROPT_$(PAPER)) $(SPHINXOPTS) source
+
+.PHONY: help clean html dirhtml singlehtml pickle json htmlhelp qthelp devhelp epub latex latexpdf text man changes linkcheck doctest
+
+help:
+	@echo "Please use \`make <target>' where <target> is one of"
+	@echo "  html       to make standalone HTML files"
+	@echo "  dirhtml    to make HTML files named index.html in directories"
+	@echo "  singlehtml to make a single large HTML file"
+	@echo "  pickle     to make pickle files"
+	@echo "  json       to make JSON files"
+	@echo "  htmlhelp   to make HTML files and a HTML help project"
+	@echo "  qthelp     to make HTML files and a qthelp project"
+	@echo "  devhelp    to make HTML files and a Devhelp project"
+	@echo "  epub       to make an epub"
+	@echo "  latex      to make LaTeX files, you can set PAPER=a4 or PAPER=letter"
+	@echo "  latexpdf   to make LaTeX files and run them through pdflatex"
+	@echo "  text       to make text files"
+	@echo "  man        to make manual pages"
+	@echo "  changes    to make an overview of all changed/added/deprecated items"
+	@echo "  linkcheck  to check all external links for integrity"
+	@echo "  doctest    to run all doctests embedded in the documentation (if enabled)"
+
+clean:
+	-rm -rf $(BUILDDIR)/*
+
+html:
+	$(SPHINXBUILD) -b html $(ALLSPHINXOPTS) $(BUILDDIR)/html
+	@echo
+	@echo "Build finished. The HTML pages are in $(BUILDDIR)/html."
+
+dirhtml:
+	$(SPHINXBUILD) -b dirhtml $(ALLSPHINXOPTS) $(BUILDDIR)/dirhtml
+	@echo
+	@echo "Build finished. The HTML pages are in $(BUILDDIR)/dirhtml."
+
+singlehtml:
+	$(SPHINXBUILD) -b singlehtml $(ALLSPHINXOPTS) $(BUILDDIR)/singlehtml
+	@echo
+	@echo "Build finished. The HTML page is in $(BUILDDIR)/singlehtml."
+
+pickle:
+	$(SPHINXBUILD) -b pickle $(ALLSPHINXOPTS) $(BUILDDIR)/pickle
+	@echo
+	@echo "Build finished; now you can process the pickle files."
+
+json:
+	$(SPHINXBUILD) -b json $(ALLSPHINXOPTS) $(BUILDDIR)/json
+	@echo
+	@echo "Build finished; now you can process the JSON files."
+
+htmlhelp:
+	$(SPHINXBUILD) -b htmlhelp $(ALLSPHINXOPTS) $(BUILDDIR)/htmlhelp
+	@echo
+	@echo "Build finished; now you can run HTML Help Workshop with the" \
+	      ".hhp project file in $(BUILDDIR)/htmlhelp."
+
+qthelp:
+	$(SPHINXBUILD) -b qthelp $(ALLSPHINXOPTS) $(BUILDDIR)/qthelp
+	@echo
+	@echo "Build finished; now you can run "qcollectiongenerator" with the" \
+	      ".qhcp project file in $(BUILDDIR)/qthelp, like this:"
+	@echo "# qcollectiongenerator $(BUILDDIR)/qthelp/Quant.qhcp"
+	@echo "To view the help file:"
+	@echo "# assistant -collectionFile $(BUILDDIR)/qthelp/Quant.qhc"
+
+devhelp:
+	$(SPHINXBUILD) -b devhelp $(ALLSPHINXOPTS) $(BUILDDIR)/devhelp
+	@echo
+	@echo "Build finished."
+	@echo "To view the help file:"
+	@echo "# mkdir -p $$HOME/.local/share/devhelp/Quant"
+	@echo "# ln -s $(BUILDDIR)/devhelp $$HOME/.local/share/devhelp/Quant"
+	@echo "# devhelp"
+
+epub:
+	$(SPHINXBUILD) -b epub $(ALLSPHINXOPTS) $(BUILDDIR)/epub
+	@echo
+	@echo "Build finished. The epub file is in $(BUILDDIR)/epub."
+
+latex:
+	$(SPHINXBUILD) -b latex $(ALLSPHINXOPTS) $(BUILDDIR)/latex
+	@echo
+	@echo "Build finished; the LaTeX files are in $(BUILDDIR)/latex."
+	@echo "Run \`make' in that directory to run these through (pdf)latex" \
+	      "(use \`make latexpdf' here to do that automatically)."
+
+latexpdf:
+	$(SPHINXBUILD) -b latex $(ALLSPHINXOPTS) $(BUILDDIR)/latex
+	@echo "Running LaTeX files through pdflatex..."
+	make -C $(BUILDDIR)/latex all-pdf
+	@echo "pdflatex finished; the PDF files are in $(BUILDDIR)/latex."
+
+text:
+	$(SPHINXBUILD) -b text $(ALLSPHINXOPTS) $(BUILDDIR)/text
+	@echo
+	@echo "Build finished. The text files are in $(BUILDDIR)/text."
+
+man:
+	$(SPHINXBUILD) -b man $(ALLSPHINXOPTS) $(BUILDDIR)/man
+	@echo
+	@echo "Build finished. The manual pages are in $(BUILDDIR)/man."
+
+changes:
+	$(SPHINXBUILD) -b changes $(ALLSPHINXOPTS) $(BUILDDIR)/changes
+	@echo
+	@echo "The overview file is in $(BUILDDIR)/changes."
+
+linkcheck:
+	$(SPHINXBUILD) -b linkcheck $(ALLSPHINXOPTS) $(BUILDDIR)/linkcheck
+	@echo
+	@echo "Link check complete; look for any errors in the above output " \
+	      "or in $(BUILDDIR)/linkcheck/output.txt."
+
+doctest:
+	$(SPHINXBUILD) -b doctest $(ALLSPHINXOPTS) $(BUILDDIR)/doctest
+	@echo "Testing of doctests in the sources finished, look at the " \
+	      "results in $(BUILDDIR)/doctest/output.txt."

doc/quant-domain-analysis.txt

@@ -0,0 +1,137 @@
+Domain Analysis for Quantative Analysis
+=======================================
+
+Motivation for analysis project
+-------------------------------
+
+Generate analysis of support provided by quantative analysis.
+
+The following process are supported by quantative analysis:
+
+1. Selling derivatives contracts.
+2. Buying derivatives contracts.
+3. Statistical arbitrage.
+
+
+Scope of the Work
+-----------------
+
+"Productive business activities."
+
+Event: Somebody wants to trade a derivative contract.
+Response: Calculate a price for a derivative contract.
+Outcome: Price of the derivative contract.
+
+Event: Somebody signs a derivative contract.
+Response: Book the derivative.
+Outcome: New derivative contract registered on the book.
+
+Event: New derivative contract on the book.
+Response: Set initial hedges.
+Outcome: Derivative contracts are hedged correctly.
+
+Event: At frequency of book monitoring.
+Response: Send request to monitor the book.
+Outcome: Request to monitor the book.
+
+Event: Receive request to monitor value of book.
+Response: Calculate the value and greeks of the book.
+Outcome: Send alert about value of the book.
+
+Event: Receive alert about value of book.
+Response: Send request to flatten the book.
+Outcome: Request to flatten the book.
+
+Event: At frequency of re-hedging.
+Response: Send request to flatten the book.
+Outcome: Request to flatten the book.
+
+Event: Derivative contract is cancelled.
+Response: Take derivative contract off the book.
+Outcome: Derivative not registered on the book.
+
+Event: Derivative contract expires.
+Response: Take derivative contract off the book.
+Outcome: Derivative not registered on the book.
+
+Event: Old derivative contract removed from the book.
+Response: Send request to flatten the book.
+Outcome: Request to flatten the book.
+
+Event: Receive request to flatten book.
+Response: Make trades according to value and greeks of the book.
+Outcome: Book is (sufficiently) flat.
+
+
+Scope of the System
+-------------------
+
+"Interactions with a software service."
+
+Calculate the price of a derivatives contract
+~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
+
+Product Use Case: Create software model for a derivatives contract.
+Requirement: The system shall support creating software models for a forward contract.
+Requirement: The system shall support creating software models for a european option (on forward contract).
+Requirement: The system shall support creating software models for a american option (on forward contract).
+Requirement: The system shall support creating software models for a swing option (on set of forward contracts).
+Requirement: The system shall support creating software models for a european option (on european option).
+Requirement: The system shall support creating software models for a general state machine contract.
+
+Product Use Case: Select market model for a derivatives contract.
+Requirement: The system shall support adding market models.
+Requirement: The system shall support updating market models.
+Requirement: The system shall support selecting a market model.
+Requirement: The system shall support selecting a black scholes price process.
+Requirement: The system shall support selecting a local volatility price process.
+
+Product Use Case: Read software model for a derivatives contract.
+Requirement: The system shall support reading software models of a derivatives contract.
+
+Product Use Case: Update software model for a derivatives contract.
+Requirement: The system shall support updating software models for a forward contract.
+Requirement: The system shall support updating software models for a european option (on forward contract).
+Requirement: The system shall support updating software models for a american option (on forward contract).
+Requirement: The system shall support updating software models for a swing option (on set of forward contracts).
+Requirement: The system shall support updating software models for a european option (on european option).
+Requirement: The system shall support updating software models for a general state machine contract.
+
+Product Use Case: List software model for a derivatives contract.
+Requirement: The system shall support listing software models of a derivatives contract.
+
+Product Use Case: Delete software model for a derivatives contract.
+Requirement: The system shall support deleting software models of a derivatives contract.
+
+Product Use Case: Execute software model for a derivatives contract.
+Requirement: The system shall support executing black scholes solution for european contract model with black scholes price process.
+Requirement: The system shall support executing binomial solution for european contract model with local volatility price process.
+Requirement: The system shall support executing black scholes solution for binary contract model with black scholes price process.
+Requirement: The system shall support executing binomial solution for binary contract model with local volatility price process.
+Requirement: The system shall support executing binomial solution for american contract model with black scholes price process.
+Requirement: The system shall support executing binomial solution for american contract model with local volatility price process.
+Requirement: The system shall support executing binomial solution for swing contract model with black scholes price process.
+Requirement: The system shall support executing binomial solution for swing contract model with local volatility price process.
+Requirement: The system shall support executing monte carlo solution for general statement machine contract model.
+
+Product Use Case: Save results of executing software model for a derivatives contract.
+Requirement: The system shall support saving results of executing software model for a derivatives contract.
+
+
+#Product Use Case: Read latest value and hedges of the entire book.
+#Requirement: The system shall support calculating the total value of all contracts and hedges.
+#
+#Product Use Case: Read a booked contract.
+#Requirement: The system shall support reading details of a given booked derivatives contract.
+#
+#Product Use Case: Register a new derivatives contract.
+#Requirement: The system shall support registering a new derivatives contract.
+#
+#Product Use Case: List the booked contracts.
+#Requirement: The system shall support list all booked derivatives contracts.
+
+
+Waiting Room
+------------
+
+

doc/quant-dsl-definition-and-proof.bbl

@@ -0,0 +1,26 @@
+\begin{thebibliography}{1}
+
+\bibitem{Longstaff}
+Francis~A. Longstaff and Eduardo~S. Schwartz.
+\newblock Valuing american options by simulation: A simple least-squares
+  approach.
+\newblock {\em Review of Financial Studies}, pages 113--147, 2001.
+
+\bibitem{Quant}
+Appropriate~Software Foundation.
+\newblock Quant.
+\newblock {\em Python Package Index}, (http://pypi.python.org/pypi/quant),
+  2011.
+
+\bibitem{SciPy}
+The~SciPy Community.
+\newblock Scipy.
+\newblock {\em SciPy Website}, (http://www.scipy.org), 2011.
+
+\bibitem{DomainModel}
+Appropriate~Software Foundation.
+\newblock Domain model.
+\newblock {\em Python Package Index},
+  (http://pypi.python.org/pypi/domainmodel), 2011.
+
+\end{thebibliography}

doc/quant-dsl-definition-and-proof.bib

@@ -0,0 +1,31 @@
+@ARTICLE{Longstaff,
+    author = {Francis A. Longstaff and Eduardo S. Schwartz},
+    title = {Valuing American options by simulation: A simple least-squares approach},
+    journal = {Review of Financial Studies},
+    year = {2001},
+    pages = {113--147},
+}
+
+@ARTICLE{Quant,
+    author = {Appropriate Software Foundation},
+    title = {Quant},
+    journal = {Python Package Index},
+    year = {2011},
+    number = {http://pypi.python.org/pypi/quant}
+}
+
+@ARTICLE{DomainModel,
+    author = {Appropriate Software Foundation},
+    title = {Domain Model},
+    journal = {Python Package Index},
+    year = {2011},
+    number = {http://pypi.python.org/pypi/domainmodel}
+}
+
+@ARTICLE{SciPy,
+    author = {The SciPy Community},
+    title = {SciPy},
+    journal = {SciPy Website},
+    year = {2011},
+    number = {http://www.scipy.org}
+}