ENH: add Value component (#148) (#1073)

Co-authored-by: mikelync <[email protected]>
Co-authored-by: Mike Lync <[email protected]>
Co-authored-by: JHM Darbyshire (M1) <[email protected]>

Author: attack68

python/rateslib/curves/_parsers.py

@@ -308,138 +308,3 @@ def _maybe_set_ad_order(
                 # Curve has no method (possibly a custom curve and not a subclass of _BaseCurve)
                 return None
             return original_order
-
-
-def _to_six_curve_dict(
-    curves: CurveOption | list[CurveOption] | dict[str, CurveOption],
-) -> dict[str, CurveOption_]:
-    if isinstance(curves, list | tuple):
-        if len(curves) == 1:
-            return dict(
-                rate=curves[0],
-                disc=curves[0],
-                index=NoInput(0),
-                rate2=curves[0],
-                disc2=curves[0],
-                index2=NoInput(0),
-            )
-        if len(curves) == 2:
-            return dict(
-                rate=curves[0],
-                disc=curves[1],
-                index=NoInput(0),
-                rate2=curves[0],
-                disc2=curves[1],
-                index2=NoInput(0),
-            )
-        if len(curves) == 3:
-            return dict(
-                rate=curves[0],
-                disc=curves[1],
-                index=curves[2],
-                rate2=curves[0],
-                disc2=curves[1],
-                index2=curves[2],
-            )
-        if len(curves) == 4:
-            return dict(
-                rate=curves[0],
-                disc=curves[1],
-                index=NoInput(0),
-                rate2=curves[2],
-                disc2=curves[3],
-                index2=NoInput(0),
-            )
-        if len(curves) == 5:
-            return dict(
-                rate=curves[0],
-                disc=curves[1],
-                index=curves[2],
-                rate2=curves[3],
-                disc2=curves[4],
-                index2=curves[2],
-            )
-        if len(curves) == 6:
-            return dict(
-                rate=curves[0],
-                disc=curves[1],
-                index=curves[2],
-                rate2=curves[3],
-                disc2=curves[4],
-                index2=curves[5],
-            )
-        else:
-            raise ValueError(
-                f"`curves` as sequence must not be greater than 6 in length, got: {len(curves)}."
-            )
-    elif isinstance(curves, dict):
-        return dict(
-            rate=curves.get("rate", None) or NoInput(0),
-            disc=curves.get("disc", None) or curves.get("rate", None) or NoInput(0),
-            index=curves.get("index", None) or NoInput(0),
-            rate2=curves.get("rate2", None) or curves.get("rate", None) or NoInput(0),
-            disc2=curves.get("disc2", None) or curves.get("disc", None) or NoInput(0),
-            index2=curves.get("index2", None) or curves.get("index", None) or NoInput(0),
-        )
-    else:
-        return dict(
-            rate=curves,
-            disc=curves,
-            index=NoInput(0),
-            rate2=curves,
-            disc2=curves,
-            index2=NoInput(0),
-        )
-
-
-class _Curves:
-    """
-    Container for a pricing object providing a mapping for curves.
-    """
-
-    def __init__(
-        self,
-        *,
-        rate_curve: CurveOption_ = NoInput(0),
-        disc_curve: CurveOption_ = NoInput(0),
-        index_curve: CurveOption_ = NoInput(0),
-        leg2_rate_curve: CurveOption_ = NoInput(0),
-        leg2_disc_curve: CurveOption_ = NoInput(0),
-        leg2_index_curve: CurveOption_ = NoInput(0),
-    ):
-        self._rate_curve = rate_curve
-        self._disc_curve = disc_curve
-        self._index_curve = index_curve
-        self._leg2_rate_curve = leg2_rate_curve
-        self._leg2_disc_curve = leg2_disc_curve
-        self._leg2_index_curve = leg2_index_curve
-
-    @property
-    def rate_curve(self) -> CurveOption_:
-        """The curve used for floating rate or hazard rate forecasting on leg1."""
-        return self._rate_curve
-
-    @property
-    def disc_curve(self) -> CurveOption_:
-        """The curve used for discounting on leg1."""
-        return self._disc_curve
-
-    @property
-    def index_curve(self) -> CurveOption_:
-        """The index curve used for forecasting index values on leg1."""
-        return self._index_curve
-
-    @property
-    def leg2_rate_curve(self) -> CurveOption_:
-        """The curve used for floating rate or hazard rate forecasting on leg2."""
-        return self._leg2_rate_curve
-
-    @property
-    def leg2_disc_curve(self) -> CurveOption_:
-        """The curve used for discounting on leg2."""
-        return self._leg2_disc_curve
-
-    @property
-    def leg2_index_curve(self) -> CurveOption_:
-        """The index curve used for forecasting index values on leg2."""
-        return self._leg2_index_curve

python/rateslib/instruments/components/__init__.py

@@ -4,6 +4,7 @@
 from rateslib.instruments.components.portfolio import Portfolio
 from rateslib.instruments.components.sbs import SBS
 from rateslib.instruments.components.spread import Spread
+from rateslib.instruments.components.value import Value
 
 __all__ = [
     "IRS",
@@ -12,4 +13,5 @@
     "Portfolio",
     "Fly",
     "Spread",
+    "Value",
 ]

python/rateslib/instruments/components/cds.py

@@ -3,12 +3,14 @@
 from typing import TYPE_CHECKING
 
 from rateslib import defaults
-from rateslib.curves._parsers import _Curves
 from rateslib.dual.utils import _dual_float
 from rateslib.enums.generics import NoInput, _drb
 from rateslib.instruments.components.protocols import _BaseInstrument
 from rateslib.instruments.components.protocols.kwargs import _convert_to_schedule_kwargs, _KWArgs
-from rateslib.instruments.components.protocols.utils import _get_curve_maybe_from_solver
+from rateslib.instruments.components.protocols.pricing import (
+    _Curves,
+    _get_maybe_curve_maybe_from_solver,
+)
 from rateslib.legs.components import CreditPremiumLeg, CreditProtectionLeg
 from rateslib.scheduling import Frequency
 
@@ -168,12 +170,12 @@ def rate(
         metric: str_ = NoInput(0),
     ) -> DualTypes:
         _curves = self._parse_curves(curves)
-        disc_curve = _get_curve_maybe_from_solver(
+        disc_curve = _get_maybe_curve_maybe_from_solver(
             self.kwargs.meta["curves"], _curves, "disc_curve", solver
         )
 
         leg2_npv: DualTypes = self.leg2.local_npv(
-            rate_curve=_get_curve_maybe_from_solver(
+            rate_curve=_get_maybe_curve_maybe_from_solver(
                 self.kwargs.meta["curves"], _curves, "leg2_rate_curve", solver
             ),
             disc_curve=disc_curve,
@@ -184,7 +186,7 @@ def rate(
         return (
             self.leg1.spread(
                 target_npv=-leg2_npv,
-                rate_curve=_get_curve_maybe_from_solver(
+                rate_curve=_get_maybe_curve_maybe_from_solver(
                     self.kwargs.meta["curves"], _curves, "rate_curve", solver
                 ),
                 disc_curve=disc_curve,

python/rateslib/instruments/components/fly.py

@@ -7,7 +7,7 @@
 
 from rateslib.enums.generics import NoInput
 from rateslib.instruments.components.protocols import _BaseInstrument
-from rateslib.instruments.components.protocols.utils import (
+from rateslib.instruments.components.protocols.pricing import (
     _get_fx_maybe_from_solver,
 )
 from rateslib.periods.components.utils import _maybe_fx_converted

python/rateslib/instruments/components/irs.py

@@ -3,12 +3,14 @@
 from typing import TYPE_CHECKING, NoReturn
 
 from rateslib import defaults
-from rateslib.curves._parsers import _Curves
 from rateslib.dual.utils import _dual_float
 from rateslib.enums.generics import NoInput, _drb
 from rateslib.instruments.components.protocols import _BaseInstrument
 from rateslib.instruments.components.protocols.kwargs import _convert_to_schedule_kwargs, _KWArgs
-from rateslib.instruments.components.protocols.utils import _get_curve_maybe_from_solver
+from rateslib.instruments.components.protocols.pricing import (
+    _Curves,
+    _get_maybe_curve_maybe_from_solver,
+)
 from rateslib.legs.components import FixedLeg, FloatLeg
 
 if TYPE_CHECKING:
@@ -187,10 +189,10 @@ def rate(
         metric: str_ = NoInput(0),
     ) -> DualTypes_:
         _curves = self._parse_curves(curves)
-        leg2_rate_curve = _get_curve_maybe_from_solver(
+        leg2_rate_curve = _get_maybe_curve_maybe_from_solver(
             self.kwargs.meta["curves"], _curves, "leg2_rate_curve", solver
         )
-        disc_curve = _get_curve_maybe_from_solver(
+        disc_curve = _get_maybe_curve_maybe_from_solver(
             self.kwargs.meta["curves"], _curves, "disc_curve", solver
         )
 
@@ -223,10 +225,10 @@ def spread(
         forward: datetime_ = NoInput(0),
     ) -> DualTypes:
         _curves = self._parse_curves(curves)
-        leg2_rate_curve = _get_curve_maybe_from_solver(
+        leg2_rate_curve = _get_maybe_curve_maybe_from_solver(
             self.kwargs.meta["curves"], _curves, "leg2_rate_curve", solver
         )
-        disc_curve = _get_curve_maybe_from_solver(
+        disc_curve = _get_maybe_curve_maybe_from_solver(
             self.kwargs.meta["curves"], _curves, "disc_curve", solver
         )
         leg1_npv: DualTypes = self.leg1.local_npv(

python/rateslib/instruments/components/portfolio.py

@@ -8,7 +8,7 @@
 from rateslib import defaults
 from rateslib.enums.generics import NoInput
 from rateslib.instruments.components.protocols import _BaseInstrument
-from rateslib.instruments.components.protocols.utils import (
+from rateslib.instruments.components.protocols.pricing import (
     _get_fx_maybe_from_solver,
 )
 from rateslib.periods.components.utils import _maybe_fx_converted

python/rateslib/instruments/components/protocols/analytic_delta.py

@@ -3,11 +3,11 @@
 from typing import TYPE_CHECKING, Protocol
 
 from rateslib.enums.generics import NoInput
-from rateslib.instruments.components.protocols.curves import _WithCurves
 from rateslib.instruments.components.protocols.kwargs import _KWArgs
-from rateslib.instruments.components.protocols.utils import (
-    _get_curve_maybe_from_solver,
+from rateslib.instruments.components.protocols.pricing import (
     _get_fx_maybe_from_solver,
+    _get_maybe_curve_maybe_from_solver,
+    _WithPricingObjs,
 )
 
 if TYPE_CHECKING:
@@ -24,7 +24,7 @@
     )
 
 
-class _WithAnalyticDelta(_WithCurves, Protocol):
+class _WithAnalyticDelta(_WithPricingObjs, Protocol):
     """
     Protocol to determine the *analytic rate delta* of a particular *Leg* of an *Instrument*.
     """
@@ -104,17 +104,17 @@ def analytic_delta(
         prefix = "" if leg == 1 else "leg2_"
 
         return self.legs[leg - 1].analytic_delta(
-            rate_curve=_get_curve_maybe_from_solver(
+            rate_curve=_get_maybe_curve_maybe_from_solver(
                 _curves_meta, _curves, f"{prefix}rate_curve", solver
             ),
-            disc_curve=_get_curve_maybe_from_solver(
+            disc_curve=_get_maybe_curve_maybe_from_solver(
                 _curves_meta, _curves, f"{prefix}disc_curve", solver
             ),
-            index_curve=_get_curve_maybe_from_solver(
+            index_curve=_get_maybe_curve_maybe_from_solver(
                 _curves_meta, _curves, f"{prefix}index_curve", solver
             ),
             fx_vol=fx_vol,
-            fx=_get_fx_maybe_from_solver(fx, solver),
+            fx=_get_fx_maybe_from_solver(fx=fx, solver=solver),
             base=base,
             local=local,
             settlement=settlement,

python/rateslib/instruments/components/protocols/analytic_fixings.py

@@ -6,10 +6,10 @@
 from pandas import DataFrame, DatetimeIndex, concat
 
 from rateslib.enums.generics import NoInput
-from rateslib.instruments.components.protocols.curves import _WithCurves
-from rateslib.instruments.components.protocols.utils import (
-    _get_curve_maybe_from_solver,
+from rateslib.instruments.components.protocols.pricing import (
     _get_fx_maybe_from_solver,
+    _get_maybe_curve_maybe_from_solver,
+    _WithPricingObjs,
 )
 
 if TYPE_CHECKING:
@@ -60,7 +60,7 @@ def _composit_fixings_table(df_result: DataFrame, df: DataFrame) -> DataFrame:
     return df_result
 
 
-class _WithAnalyticRateFixings(_WithCurves, Protocol):
+class _WithAnalyticRateFixings(_WithPricingObjs, Protocol):
     def local_analytic_rate_fixings(
         self,
         *,
@@ -121,18 +121,18 @@ def _local_analytic_rate_fixings_from_legs(
         # this is a generic implementation to handle 2 legs.
         _curves: _Curves = self._parse_curves(curves)
         _curves_meta: _Curves = self.kwargs.meta["curves"]
-        _fx_maybe_from_solver = _get_fx_maybe_from_solver(fx, solver)
+        _fx_maybe_from_solver = _get_fx_maybe_from_solver(fx=fx, solver=solver)
 
         dfs = []
         dfs.append(
             self.legs[0].local_analytic_rate_fixings(
-                rate_curve=_get_curve_maybe_from_solver(
+                rate_curve=_get_maybe_curve_maybe_from_solver(
                     _curves_meta, _curves, "rate_curve", solver
                 ),
-                disc_curve=_get_curve_maybe_from_solver(
+                disc_curve=_get_maybe_curve_maybe_from_solver(
                     _curves_meta, _curves, "disc_curve", solver
                 ),
-                index_curve=_get_curve_maybe_from_solver(
+                index_curve=_get_maybe_curve_maybe_from_solver(
                     _curves_meta, _curves, "index_curve", solver
                 ),
                 fx=_fx_maybe_from_solver,
@@ -143,13 +143,13 @@ def _local_analytic_rate_fixings_from_legs(
         )
         dfs.append(
             self.legs[1].local_analytic_rate_fixings(
-                rate_curve=_get_curve_maybe_from_solver(
+                rate_curve=_get_maybe_curve_maybe_from_solver(
                     _curves_meta, _curves, "leg2_rate_curve", solver
                 ),
-                disc_curve=_get_curve_maybe_from_solver(
+                disc_curve=_get_maybe_curve_maybe_from_solver(
                     _curves_meta, _curves, "leg2_disc_curve", solver
                 ),
-                index_curve=_get_curve_maybe_from_solver(
+                index_curve=_get_maybe_curve_maybe_from_solver(
                     _curves_meta, _curves, "leg2_index_curve", solver
                 ),
                 fx=_fx_maybe_from_solver,