REF: AD-safe analytic_rec_risk for CreditProtectionPeriod (#247) (#1178)

Author: attack68

python/rateslib/legs/credit.py

@@ -22,7 +22,6 @@
 
 if TYPE_CHECKING:
     from rateslib.typing import (  # pragma: no cover
-        FX_,
         Any,
         CurveOption_,
         DualTypes,
@@ -342,7 +341,7 @@ def analytic_rec_risk(
         self,
         rate_curve: _BaseCurve_ = NoInput(0),
         disc_curve: _BaseCurve_ = NoInput(0),
-        fx: FX_ = NoInput(0),
+        fx: FXForwards_ = NoInput(0),
         base: str_ = NoInput(0),
     ) -> float:
         """

python/rateslib/periods/credit.py

@@ -11,13 +11,11 @@
 
 from __future__ import annotations
 
-from dataclasses import replace
 from datetime import timedelta
 from typing import TYPE_CHECKING
 
 import rateslib.errors as err
 from rateslib import defaults
-from rateslib.dual import Variable, gradient
 from rateslib.dual.utils import _dual_float
 from rateslib.enums.generics import Err, NoInput, Ok, Result, _drb
 from rateslib.periods.parameters import (
@@ -27,15 +25,15 @@
     _SettlementParams,
 )
 from rateslib.periods.protocols import _BasePeriod
-from rateslib.periods.utils import _try_validate_base_curve, _validate_credit_curves
+from rateslib.periods.protocols.npv import _screen_ex_div_and_forward
+from rateslib.periods.utils import _maybe_local, _try_validate_base_curve, _validate_credit_curves
 from rateslib.scheduling import Frequency, get_calendar
 from rateslib.scheduling.adjuster import _get_adjuster
 from rateslib.scheduling.convention import _get_convention
 from rateslib.scheduling.frequency import _get_frequency
 
 if TYPE_CHECKING:  # pragma: no cover
     from rateslib.typing import (
-        FX_,
         Adjuster,
         CalInput,
         CurveOption_,
@@ -550,7 +548,16 @@ def immediate_local_npv(
         fx_vol: _FXVolOption_ = NoInput(0),
     ) -> DualTypes:
         rate_curve_, disc_curve_ = _validate_credit_curves(rate_curve, disc_curve).unwrap()
+        quadrature = self._quadrature(rate_curve_, disc_curve_)
+        cf = self.cashflow(rate_curve=rate_curve)
+        return quadrature * cf
 
+    def _quadrature(
+        self,
+        rate_curve_: _BaseCurve,
+        disc_curve_: _BaseCurve,
+    ) -> DualTypes:
+        """determine the integral component of the NPV function using discretised intervals"""
         discretization = rate_curve_.meta.credit_discretization
 
         if self.period_params.start < rate_curve_.nodes.initial:
@@ -570,9 +577,7 @@ def immediate_local_npv(
             value += 0.5 * (v1 + v2) * (q1 - q2)
             # value += v2 * (q1 - q2)
 
-        # curves are pre-validated so will not error
-        cf = self.cashflow(rate_curve=rate_curve)
-        return value * cf
+        return value
 
     def try_immediate_local_analytic_delta(
         self,
@@ -589,38 +594,56 @@ def analytic_rec_risk(
         self,
         rate_curve: _BaseCurve_ = NoInput(0),
         disc_curve: _BaseCurve_ = NoInput(0),
-        fx: FX_ = NoInput(0),
+        fx: FXForwards_ = NoInput(0),
         base: str_ = NoInput(0),
-    ) -> float:
+        settlement: datetime_ = NoInput(0),
+        forward: datetime_ = NoInput(0),
+    ) -> DualTypes:
         """
         Calculate the exposure of the NPV to a change in recovery rate.
 
-        For parameters see
-        :meth:`BasePeriod.analytic_delta()<rateslib.periods.BasePeriod.analytic_delta>`
+        .. role:: red
+
+        .. role:: green
+
+        Parameters
+        ----------
+        rate_curve: _BaseCurve, :red:`required`
+            Used to forecast credit parameters, such as hazard rates and recovery rates.
+        disc_curve: _BaseCurve, :red:`required`
+            Used to discount cashflows.
+        fx: FXForwards, :green:`optional`
+            The :class:`~rateslib.fx.FXForwards` object used for currency conversion.
+        base: str, :green:`optional`
+            The currency to convert the *local settlement* value into.
+        settlement: datetime, :green:`optional`
+            The assumed settlement date of the *PV* determination. Used only to evaluate
+            *ex-dividend* status.
+        forward: datetime, :green:`optional`
+            The future date to project the *PV* to using the ``disc_curve``.
 
         Returns
         -------
-        float
+        float, Dual, Dual2
         """
-        c_res = _validate_credit_curves(rate_curve, disc_curve)
-        if isinstance(c_res, Err):
-            c_res.unwrap()
-        else:
-            rate_curve_, disc_curve_ = c_res.unwrap()
-
-        haz_curve = rate_curve_.copy()
-        haz_curve._meta = replace(  # type: ignore[misc]
-            rate_curve_.meta,
-            _credit_recovery_rate=Variable(
-                _dual_float(rate_curve_.meta.credit_recovery_rate), ["__rec_rate__"], []
-            ),
+        rate_curve_, disc_curve_ = _validate_credit_curves(rate_curve, disc_curve).unwrap()
+        quadrature = self._quadrature(rate_curve_, disc_curve_)
+        local_immediate_value = quadrature * self.settlement_params.notional * 0.01
+
+        local_value = _screen_ex_div_and_forward(
+            local_value=Ok(local_immediate_value),
+            rate_curve=rate_curve,
+            disc_curve=disc_curve,
+            ex_dividend=self.settlement_params.ex_dividend,
+            settlement=settlement,
+            forward=forward,
         )
-        pv: DualTypes = self.npv(  # type: ignore[assignment]
-            rate_curve=haz_curve,
-            disc_curve=disc_curve_,
-            fx=fx,  # type: ignore[arg-type]
-            base=base,
+        ret: DualTypes = _maybe_local(  # type: ignore[assignment]  # local is False
+            value=local_value.unwrap(),
             local=False,
+            currency=self.settlement_params.currency,
+            fx=fx,
+            base=base,
+            forward=forward,
         )
-        _: float = _dual_float(gradient(pv, ["__rec_rate__"], order=1)[0])
-        return _ * 0.01
+        return ret

requirements-minimum.txt

@@ -6,4 +6,4 @@ matplotlib==3.5.1
 
 # run tests in github actions
 maturin>=1.6.0,<2.0
-pytest>=8.2.2,<9.0
+pytest>=9.0,<10.0