FinOptionTypes to OptionTypes

thelyo · Jul 27, 2021 · 287ce1e · 287ce1e
1 parent ba965d8
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diff --git a/docs/FinancePyManual.fls b/docs/FinancePyManual.fls
diff --git a/docs/FinancePyManual.pdf b/docs/FinancePyManual.pdf
diff --git a/docs/head.tex b/docs/head.tex
@@ -37,7 +37,7 @@
         commentstyle=\color{blue},
         frame=single,
         otherkeywords = {Date, CalendarTypes, BusDayAdjustTypes, DateGenRuleTypes, DayCountTypes, FrequencyTypes,
-        FinLiborSwaptionTypes, FinOptionExerciseTypes, FinOptionTypes, EquityBarrierTypes, EquityRainbowOptionTypes, List}
+        FinLiborSwaptionTypes, FinOptionExerciseTypes, OptionTypes, EquityBarrierTypes, EquityRainbowOptionTypes, List}
         }
 
 %\makeindex

diff --git a/docs/makeUserGuide.py b/docs/makeUserGuide.py
@@ -164,7 +164,7 @@ def buildHead():
     lines = f.readlines()
     f.close()
 
-    f = open(userGuideFileName, 'w')
+    f = open(userGuideFileName, 'w', encoding="utf-8")
     f.writelines(lines)
     f.close()
 
@@ -177,7 +177,7 @@ def buildTail():
     lines = f.readlines()
     f.close()
 
-    f = open(userGuideFileName, 'a')
+    f = open(userGuideFileName, 'a', encoding="utf-8")
     f.writelines(lines)
     f.close()
 
@@ -194,7 +194,7 @@ def buildIntro(introfile):
 
     parsedLines = parseMarkdown(lines)
 
-    f = open(userGuideFileName, 'a')
+    f = open(userGuideFileName, 'a', encoding="utf-8")
 
     f.write("\\chapter{Introduction to FinancePy}")
     f.writelines(parsedLines)
@@ -210,7 +210,7 @@ def buildChapter(folderName):
     print("Building chapter in folder:", folderName)
 
     readMeFile = folderName + "//" + "README.md"
-    f = open(readMeFile, 'r', encoding="utf8")
+    f = open(readMeFile, 'r', encoding="utf-8")
     readMeLines = f.readlines()
     f.close()
 
@@ -224,7 +224,7 @@ def buildChapter(folderName):
 #    newLines.append("\\section{Introduction}")
 #    newLines.append("\n")
 
-    f = open(userGuideFileName, 'a')
+    f = open(userGuideFileName, 'a', encoding="utf-8")
     f.writelines(newLines)
     f.close()
 
@@ -254,7 +254,7 @@ def buildChapter(folderName):
 
     readMeLines = parseMarkdown(readMeLines)
 
-    f = open(userGuideFileName, 'a')
+    f = open(userGuideFileName, 'a', encoding="utf-8")
     f.writelines(readMeLines)
     f.close()
 
@@ -263,7 +263,7 @@ def buildChapter(folderName):
     for module in modules:
         moduleName = module.split("\\")[-1]
         escapedModuleName = sub("_", "\\_", moduleName[0:-3])
-        f = open(userGuideFileName, 'a')
+        f = open(userGuideFileName, 'a', encoding="utf-8")
         f.write("\\newpage\n")
         f.write("\\section{" + escapedModuleName + "}\n")
         f.write("\n")
@@ -275,7 +275,7 @@ def buildChapter(folderName):
     for module in modules:
         moduleName = module.split("\\")[-1]
         escapedModuleName = sub("_", "\\_", moduleName[0:-3])
-        f = open(userGuideFileName, 'a')
+        f = open(userGuideFileName, 'a', encoding="utf-8")
         f.write("\n")
         f.write("\\newpage\n")
         f.write("\\section{" + escapedModuleName + "}\n")
@@ -290,7 +290,7 @@ def parseModule(moduleName):
     """ Parse a module looking for classes, functions and classes for
     enumerated types. Functions inside classes are parsed inside the class. """
     print(moduleName)
-    f = open(moduleName, 'r', encoding="utf8")
+    f = open(moduleName, 'r', encoding="utf-8")
     lines = f.readlines()
     f.close()
 
@@ -330,7 +330,7 @@ def parseModule(moduleName):
 
     # print("startClassLines", startClassLines)
 
-    f = open(userGuideFileName, 'a')
+    f = open(userGuideFileName, 'a', encoding="utf-8")
 
     for c in range(0, numEnums):
         newLines = parseEnum(lines, startEnumLines[c], startEnumLines[c + 1])

diff --git a/financepy/__init__.py b/financepy/__init__.py
@@ -1,7 +1,7 @@
 cr = "\n"
 
 s = "####################################################################" + cr
-s += "# FINANCEPY BETA Version " + str('0.202') + " - This build:  17 Jul 2021 at 13:32 #" + cr
+s += "# FINANCEPY BETA Version " + str('0.202') + " - This build:  27 Jul 2021 at 00:28 #" + cr
 s += "# **** NEW PEP8 COMPLIANT VERSION -- PLEASE UPDATE YOUR CODE  **** #" + cr
 s += "#      This software is distributed FREE & WITHOUT ANY WARRANTY    #" + cr
 s += "#  Report bugs as issues at https://github.com/domokane/FinancePy  #" + cr

diff --git a/financepy/market/curves/README.md b/financepy/market/curves/README.md
@@ -1,26 +1,23 @@
-# Discount
-These modules create a family of discount curve types related to the term structures of interest rates. Discount curves that can be used to present value a future cash flow. These differ from best fits curves in that they exactly refit the prices of bonds or CDS. The different discount curves are created by calibrating to different instruments. They also differ in terms of the term structure shapes they can have. Different shapes have different impacts in terms of locality on risk management performed using these different curves. There is often a trade-off between smoothness and locality.
+# Discount Curves
+These modules create a family of discount curve types related to the term structures of interest rates. Discount curves that can be used to present value a future cash flow. These differ from best fits curves in that they exactly refit the prices of bonds or CDS. The different discount curves are created by calibrating to different instruments. They also differ in terms of the term structure shapes they can have. Different shapes have different impacts in terms of locality on risk management performed using these different curves. There is often a trade-off between smoothness and locality. These are curves which supply a discount factor that can be used to present-value future payments.
 
-## Discount Curves
-These are curves which supply a discount factor that can be used to present-value future payments.
-
-### FinDiscountCurve
+### DiscountCurve
 This is a curve made from a Numpy array of times and discount factor values that represents a discount curve. It also requires a specific interpolation scheme. A function is also provided to return a survival probability so that this class can also be used to handle term structures of survival probabilities. Other curves inherit from this in order to share common functionality.
 
-### FinDiscountCurveFlat
+### DiscountCurveFlat
 This is a class that takes in a single flat rate. 
 
-### FinDiscountCurveNS
+### DiscountCurveNS
 Implementation of the Nelson-Siegel curve parametrisation.
 
-### FinDiscountCurveNSS
+### DiscountCurveNSS
 Implementation of the Nelson-Siegel-Svensson curve parametrisation.
 
-### FinDiscountCurveZeros
+### DiscountCurveZeros
 This is a discount curve that is made from a vector of times and zero rates.
 
 
-### FinInterpolate
+### Interpolate
 This module contains the interpolation function used throughout the discount curves when a discount factor needs to be interpolated. There are three interpolation methods:
 
 1. PIECEWISE LINEAR - This assumes that a discount factor at a time between two other known discount factors is obtained by linear interpolation. This approach does not guarantee any smoothness but is local. It does not guarantee positive forwards (assuming positive zero rates).

diff --git a/financepy/market/curves/discount_curve.py b/financepy/market/curves/discount_curve.py
@@ -5,7 +5,7 @@
 
 import numpy as np
 
-from .interpolator import FinInterpolator, InterpTypes, interpolate
+from .interpolator import Interpolator, InterpTypes, interpolate
 
 from ...utils.date import Date
 from ...utils.error import FinError
@@ -78,7 +78,7 @@ def __init__(self,
         self._interp_type = interp_type
         self._freq_type = FrequencyTypes.CONTINUOUS
         self._day_count_type = None  # Not needed for this curve
-        self._interpolator = FinInterpolator(self._interp_type)
+        self._interpolator = Interpolator(self._interp_type)
         self._interpolator.fit(self._times, self._dfs)
 
     ###############################################################################

diff --git a/financepy/market/curves/discount_curve_zeros.py b/financepy/market/curves/discount_curve_zeros.py
@@ -13,7 +13,7 @@
 from ...utils.helpers import times_from_dates
 from ...market.curves.discount_curve import DiscountCurve
 from ...utils.helpers import check_argument_types
-from .interpolator import InterpTypes, FinInterpolator
+from .interpolator import InterpTypes, Interpolator
 
 
 ###############################################################################
@@ -82,7 +82,7 @@ def __init__(self,
                              self._day_count_type)
 
         self._dfs = np.array(dfs)
-        self._interpolator = FinInterpolator(self._interp_type)
+        self._interpolator = Interpolator(self._interp_type)
         self._interpolator.fit(self._times, self._dfs)
 
 # ###############################################################################

diff --git a/financepy/market/curves/interpolator.py b/financepy/market/curves/interpolator.py
@@ -194,7 +194,7 @@ def _vinterpolate(xValues,
 ###############################################################################
 
 
-class FinInterpolator():
+class Interpolator():
 
     def __init__(self,
                  interpolatorType: InterpTypes):

diff --git a/financepy/market/volatility/equity_vol_surface.py b/financepy/market/volatility/equity_vol_surface.py
@@ -11,7 +11,7 @@
 from ...utils.error import FinError
 from ...utils.date import Date
 from ...utils.global_vars import gDaysInYear
-from ...utils.global_types import FinOptionTypes
+from ...utils.global_types import OptionTypes
 from ...models.option_implied_dbn import option_implied_dbn
 from ...utils.helpers import check_argument_types, label_to_string
 from ...market.curves.discount_curve import DiscountCurve
@@ -413,7 +413,7 @@ def volatility_from_strike_date(self, K, expiry_date):
     #     initialGuess = self._K_ATM[index0]
 
     #     K0 = _solver_for_smile_strike(s, texp, self._rd[index0], self._rf[index0],
-    #                               FinOptionTypes.EUROPEAN_CALL.value,
+    #                               OptionTypes.EUROPEAN_CALL.value,
     #                               vol_type_value, callDelta,
     #                               delta_method_value,
     #                               initialGuess,
@@ -426,7 +426,7 @@ def volatility_from_strike_date(self, K, expiry_date):
     #         K1 = _solver_for_smile_strike(s, texp,
     #                                   self._rd[index1], 
     #                                   self._rf[index1],
-    #                                   FinOptionTypes.EUROPEAN_CALL.value,
+    #                                   OptionTypes.EUROPEAN_CALL.value,
     #                                   vol_type_value, callDelta,
     #                                   delta_method_value,
     #                                   initialGuess,
@@ -514,7 +514,7 @@ def volatility_from_delta_date(self, callDelta, expiry_date,
                                   texp,
                                   self._r[index0],
                                   self._q[index0],
-                                  FinOptionTypes.EUROPEAN_CALL.value,
+                                  OptionTypes.EUROPEAN_CALL.value,
                                   vol_type_value, callDelta,
                                   initialGuess,
                                   self._parameters[index0])
@@ -527,7 +527,7 @@ def volatility_from_delta_date(self, callDelta, expiry_date,
             K1 = _solver_for_smile_strike(s, texp,
                                       self._r[index1], 
                                       self._q[index1],
-                                      FinOptionTypes.EUROPEAN_CALL.value,
+                                      OptionTypes.EUROPEAN_CALL.value,
                                       vol_type_value, callDelta,
                                       initialGuess,
                                       self._parameters[index1])

diff --git a/financepy/market/volatility/fx_vol_surface.py b/financepy/market/volatility/fx_vol_surface.py
@@ -11,7 +11,7 @@
 from ...utils.error import FinError
 from ...utils.date import Date
 from ...utils.global_vars import gDaysInYear
-from ...utils.global_types import FinOptionTypes
+from ...utils.global_types import OptionTypes
 from ...products.fx.fx_vanilla_option import FXVanillaOption
 from ...models.option_implied_dbn import option_implied_dbn
 from ...products.fx.fx_mkt_conventions import FinFXATMMethod
@@ -99,12 +99,12 @@ def obj_fast(params, *args):
     sigma_K_25D_C_MS = vol_function(vol_type_value, params, f, K_25D_C_MS, t)
 
     V_25D_C_MS = bs_value(s, t, K_25D_C_MS, rd, rf, sigma_K_25D_C_MS,
-                         FinOptionTypes.EUROPEAN_CALL.value)
+                         OptionTypes.EUROPEAN_CALL.value)
 
     sigma_K_25D_P_MS = vol_function(vol_type_value, params, f, K_25D_P_MS, t)
 
     V_25D_P_MS = bs_value(s, t, K_25D_P_MS, rd, rf, sigma_K_25D_P_MS,
-                         FinOptionTypes.EUROPEAN_PUT.value)
+                         OptionTypes.EUROPEAN_PUT.value)
 
     V_25D_MS = V_25D_C_MS + V_25D_P_MS
     term2 = (V_25D_MS - V_25D_MS_target)**2
@@ -114,15 +114,15 @@ def obj_fast(params, *args):
     ###########################################################################
 
     K_25D_C = solver_for_smile_strike_fast(s, t, rd, rf,
-                                           FinOptionTypes.EUROPEAN_CALL.value,
+                                           OptionTypes.EUROPEAN_CALL.value,
                                            vol_type_value, +0.2500,
                                            delta_method_value, K_25D_C_MS,
                                            params)
 
     sigma_K_25D_C = vol_function(vol_type_value, params, f, K_25D_C, t)
 
     K_25D_P = solver_for_smile_strike_fast(s, t, rd, rf,
-                                           FinOptionTypes.EUROPEAN_PUT.value,
+                                           OptionTypes.EUROPEAN_PUT.value,
                                            vol_type_value, -0.2500,
                                            delta_method_value, K_25D_P_MS,
                                            params)
@@ -156,23 +156,23 @@ def solve_to_horizon_fast(s, t,
     vol_25D_MS = atm_vol + ms25DVol
 
     K_25D_C_MS = solve_for_strike(s, t, rd, rf,
-                                FinOptionTypes.EUROPEAN_CALL.value,
+                                OptionTypes.EUROPEAN_CALL.value,
                                 +0.2500,
                                 delta_method_value,
                                 vol_25D_MS)
 
     K_25D_P_MS = solve_for_strike(s, t, rd, rf,
-                                FinOptionTypes.EUROPEAN_PUT.value,
+                                OptionTypes.EUROPEAN_PUT.value,
                                 -0.2500,
                                 delta_method_value,
                                 vol_25D_MS)
 
     # USE MARKET STRANGLE VOL TO DETERMINE PRICE OF A MARKET STRANGLE
     V_25D_C_MS = bs_value(s, t, K_25D_C_MS, rd, rf, vol_25D_MS,
-                         FinOptionTypes.EUROPEAN_CALL.value)
+                         OptionTypes.EUROPEAN_CALL.value)
 
     V_25D_P_MS = bs_value(s, t, K_25D_P_MS, rd, rf, vol_25D_MS,
-                         FinOptionTypes.EUROPEAN_PUT.value)
+                         OptionTypes.EUROPEAN_PUT.value)
 
     # Market price of strangle in the domestic currency
     V_25D_MS = V_25D_C_MS + V_25D_P_MS
@@ -192,13 +192,13 @@ def solve_to_horizon_fast(s, t,
     params = np.array(xopt)
 
     K_25D_C = solver_for_smile_strike_fast(s, t, rd, rf,
-                                           FinOptionTypes.EUROPEAN_CALL.value,
+                                           OptionTypes.EUROPEAN_CALL.value,
                                            vol_type_value, +0.2500,
                                            delta_method_value, K_25D_C_MS,
                                            params)
 
     K_25D_P = solver_for_smile_strike_fast(s, t, rd, rf,
-                                           FinOptionTypes.EUROPEAN_PUT.value,
+                                           OptionTypes.EUROPEAN_PUT.value,
                                            vol_type_value, -0.2500,
                                            delta_method_value, K_25D_P_MS,
                                            params)
@@ -318,7 +318,7 @@ def solve_for_strike(spot_fx_rate,
         domDF = np.exp(-rd*tdel) 
         forDF = np.exp(-rf*tdel) 
 
-        if option_type_value == FinOptionTypes.EUROPEAN_CALL.value:
+        if option_type_value == OptionTypes.EUROPEAN_CALL.value:
             phi = +1.0
         else:
             phi = -1.0
@@ -335,7 +335,7 @@ def solve_for_strike(spot_fx_rate,
         domDF = np.exp(-rd*tdel) 
         forDF = np.exp(-rf*tdel) 
 
-        if option_type_value == FinOptionTypes.EUROPEAN_CALL.value:
+        if option_type_value == OptionTypes.EUROPEAN_CALL.value:
             phi = +1.0
         else:
             phi = -1.0
@@ -750,14 +750,14 @@ def check_calibration(self, verbose: bool, tol: float = 1e-6):
             call = FXVanillaOption(expiry_date,
                                    K_dummy,
                                    self._currency_pair,
-                                   FinOptionTypes.EUROPEAN_CALL,
+                                   OptionTypes.EUROPEAN_CALL,
                                    1.0,
                                    self._notional_currency, )
 
             put = FXVanillaOption(expiry_date,
                                   K_dummy,
                                   self._currency_pair,
-                                  FinOptionTypes.EUROPEAN_PUT,
+                                  OptionTypes.EUROPEAN_PUT,
                                   1.0,
                                   self._notional_currency)