fixed minor issues (created by auxilium)

README.rst

@@ -41,10 +41,13 @@ Example Usage
 
 >>> from dcf import ZeroRateCurve
 
->>> ZeroRateCurve([0, 2], [.03, .05]).get_zero_rate(0, 1)
+>>> time_grid = [0, 2]
+>>> rate_grid = [.03, .05]
+
+>>> ZeroRateCurve(time_grid, rate_grid).get_zero_rate(0, 1)
 0.04
 
->>> ZeroRateCurve([0, 2], [.03, .05]).get_discount_factor(0, 1)
+>>> ZeroRateCurve(time_grid, rate_grid).get_discount_factor(0, 1)
 0.9607894391523232
 
 

dcf/__init__.py

@@ -5,15 +5,15 @@
 # A Python library for generating discounted cashflows.
 #
 # Author:   sonntagsgesicht, based on a fork of Deutsche Postbank [pbrisk]
-# Version:  0.6, copyright Wednesday, 22 December 2021
+# Version:  0.6.1, copyright Tuesday, 11 January 2022
 # Website:  https://github.com/sonntagsgesicht/dcf
 # License:  Apache License 2.0 (see LICENSE file)
 
 
 __doc__ = 'A Python library for generating discounted cashflows.'
-__version__ = '0.6'
+__version__ = '0.6.1'
 __dev_status__ = '4 - Beta'
-__date__ = 'Tuesday, 11 January 2022'
+__date__ = 'Friday, 14 January 2022'
 __author__ = 'sonntagsgesicht, based on a fork of Deutsche Postbank [pbrisk]'
 __email__ = 'sonntagsgesicht@icloud.com'
 __url__ = 'https://github.com/sonntagsgesicht/' + __name__

dcf/cashflow.py

@@ -5,7 +5,7 @@
 # A Python library for generating discounted cashflows.
 #
 # Author:   sonntagsgesicht, based on a fork of Deutsche Postbank [pbrisk]
-# Version:  0.6, copyright Wednesday, 22 December 2021
+# Version:  0.6.1, copyright Tuesday, 11 January 2022
 # Website:  https://github.com/sonntagsgesicht/dcf
 # License:  Apache License 2.0 (see LICENSE file)
 
@@ -125,7 +125,7 @@ class FixedCashFlowList(CashFlowList):
     @property
     def table(self):
         """ cashflow details as list of tuples """
-        header = [('cashflow', 'pay_date')]
+        header = [('cashflow', 'pay date')]
         table = list((self[d], d,) for d in self.domain)
         return header + table
 
@@ -206,7 +206,7 @@ def __init__(self, payment_date_list, amount_list=DEFAULT_AMOUNT,
         $d_i = s_i - \epsilon$
         for **pay_offset** $\delta$ and **fixing_offset** $\epsilon$,
 
-        $$cf_i = N_i \cdot \tau(s_i,e_i) \cdot c \cdot f(d_i).$$
+        $$cf_i = N_i \cdot \tau(s_i,e_i) \cdot (c + f(d_i)).$$
 
         Note, the **pay_offset** $\delta$ is not applied
         in case of the first cashflow, then $s_1=t_0$.

dcf/data.py

@@ -5,7 +5,7 @@
 # A Python library for generating discounted cashflows.
 #
 # Author:   sonntagsgesicht, based on a fork of Deutsche Postbank [pbrisk]
-# Version:  0.6, copyright Wednesday, 22 December 2021
+# Version:  0.6.1, copyright Tuesday, 11 January 2022
 # Website:  https://github.com/sonntagsgesicht/dcf
 # License:  Apache License 2.0 (see LICENSE file)
 
@@ -23,6 +23,8 @@
 
 except ImportError:
 
+    BusinessDate = BusinessPeriod = None
+
     today = 0.0
     b = 1 / 365.25
     d = 1 / 365.25

dcf/pricer.py

@@ -5,7 +5,7 @@
 # A Python library for generating discounted cashflows.
 #
 # Author:   sonntagsgesicht, based on a fork of Deutsche Postbank [pbrisk]
-# Version:  0.6, copyright Wednesday, 22 December 2021
+# Version:  0.6.1, copyright Tuesday, 11 January 2022
 # Website:  https://github.com/sonntagsgesicht/dcf
 # License:  Apache License 2.0 (see LICENSE file)
 
@@ -174,17 +174,18 @@ def get_interest_accrued(cashflow_list, valuation_date):
 
 
 def get_fair_rate(cashflow_list, discount_curve,
-                  valuation_date=None, present_value=0.):
+                  valuation_date=None, present_value=0., precision=1e-7):
     r""" coupon rate to meet given value
 
     :param cashflow_list: list of cashflows
     :param discount_curve: discount factors are obtained from this curve
     :param valuation_date: date to discount to
     :param present_value: price to meet by discounting
+    :param precision: max distance of present value to par
     :return: `float` - the fair coupon rate as
         **fixed_rate** of a |RateCashFlowList()|
 
-    Let $cf_i(c) = N_i \cdot \tau(s_i,e_i) \cdot c \cdot f(d_i)$
+    Let $cf_i(c) = N_i \cdot \tau(s_i,e_i) \cdot (c + f(d_i))$
     be the $i$-th cashflow in the **cashflow_list**.
 
     Here, the fair rate is the fixed_rate $c=\hat{c}$ such that
@@ -212,18 +213,18 @@ def err(current):
         return pv - present_value
 
     # run bracketing
-    _, par, _ = _simple_bracketing(err, -0.1, .2, 1e-7)
+    _, par, _ = _simple_bracketing(err, -0.1, .2, precision)
 
     # restore fixed rate
     cashflow_list.fixed_rate = fixed_rate
     return par
 
 
 def get_par_rate(cashflow_list, discount_curve,
-                 valuation_date=None, present_value=0.):
+                 valuation_date=None, present_value=0., precision=1e-7):
     """ same as |get_fair_rate()| """
     return get_fair_rate(cashflow_list, discount_curve, valuation_date,
-                         present_value)
+                         present_value, precision)
 
 
 def get_basis_point_value(cashflow_list, discount_curve, valuation_date=None,
@@ -375,7 +376,8 @@ def get_bucketed_delta(cashflow_list, discount_curve, valuation_date=None,
 
     buckets = list()
     for g, s in zip(grid, shifts):
-        shifted_curve = delta_curve + basis_point_curve_type(g, s)
+        shifted_curve = delta_curve + basis_point_curve_type(
+            g, s, forward_tenor=delta_curve.forward_tenor)
         # todo: cashflow_list.payoff_model.forward_curve
         fwd_curve = getattr(cashflow_list, 'forward_curve', None)
         if fwd_curve == delta_curve:

dcf/products.py

@@ -5,7 +5,7 @@
 # A Python library for generating discounted cashflows.
 #
 # Author:   sonntagsgesicht, based on a fork of Deutsche Postbank [pbrisk]
-# Version:  0.6, copyright Wednesday, 22 December 2021
+# Version:  0.6.1, copyright Tuesday, 11 January 2022
 # Website:  https://github.com/sonntagsgesicht/dcf
 # License:  Apache License 2.0 (see LICENSE file)
 
@@ -39,7 +39,7 @@ def _interest_payment_dates(
     else:
         payment_date_list = [end_date]
         cnt = 1
-        while start_date + period < payment_date_list[0]:
+        while start_date + period <= payment_date_list[0]:
             payment_date_list.append(end_date - period * cnt)
             cnt += 1
         payment_date_list.reverse()
@@ -60,7 +60,7 @@ def bond(start_date=TODAY,
          forward_curve=None,
          fixing_offset=None,
          pay_offset=None):
-    ''' simple bond product
+    """ simple bond product
 
     :param start_date: pay date of inital notional amount
     :param end_date: rolling date for interest pay dates
@@ -79,7 +79,7 @@ def bond(start_date=TODAY,
         interest period end date and interest payment date
     :return: |CashFlowLegList|
 
-    '''
+    """
     interest_payment_date_list = _interest_payment_dates(
         start_date, end_date, period, convention, holidays)
 
@@ -140,7 +140,7 @@ def interest_rate_swap(start_date=TODAY,
                        rec_leg_day_count='actact',
                        rec_leg_fixed_rate=0.0,
                        rec_leg_forward_curve=None):
-    ''' plain vanilla swap
+    """ plain vanilla swap
 
     :param start_date: pay date of inital notional amount
     :param end_date: rolling date for interest pay dates
@@ -171,7 +171,7 @@ def interest_rate_swap(start_date=TODAY,
     if not mentioned explicitly all arguments are applied to both legs,
     pay and receive leg.
 
-    '''
+    """
 
     pay_leg_payment_date_list = _interest_payment_dates(
         start_date, end_date,