ENH: make settlement and forward more consistent for Periods (#163) (#1086)

Author: attack68

python/rateslib/errors.py

@@ -92,7 +92,7 @@
 )
 
 FW_FIXINGS_AS_SERIES = (
-    "Setting any `fixings` argument as a Series directly is currently supported, but not"
+    "Setting any `fixings` argument as a Series directly is currently supported, but not "
     "recommended and may be removed in future versions.\n"
     "Best practice is to add the fixings object to the default _BaseFixingsLoader and then "
     "reference that object by Series name.\n"

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

@@ -17,7 +17,7 @@
 )
 
 if TYPE_CHECKING:
-    from rateslib.typing import (
+    from rateslib.typing import (  # pragma: no cover
         CurveOption_,
         DualTypes,
         FXForwards_,

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

@@ -13,7 +13,7 @@
 from rateslib.periods.components.protocols.npv import _screen_ex_div_and_forward
 
 if TYPE_CHECKING:
-    from rateslib.typing import (
+    from rateslib.typing import (  # pragma: no cover
         CurveOption_,
         FXForwards_,
         FXVolOption_,

python/rateslib/periods/components/protocols/analytic_greeks.py

@@ -15,7 +15,7 @@
 from rateslib.splines import evaluate
 
 if TYPE_CHECKING:
-    from rateslib.typing import (
+    from rateslib.typing import (  # pragma: no cover
         Any,
         DualTypes,
         DualTypes_,

python/rateslib/periods/components/protocols/cashflows.py

@@ -24,8 +24,7 @@
 )
 
 if TYPE_CHECKING:
-    # from rateslib.periods.components import Period
-    from rateslib.typing import (
+    from rateslib.typing import (  # pragma: no cover
         Any,
         CurveOption_,
         DualTypes,

python/rateslib/periods/components/protocols/npv.py

@@ -18,7 +18,7 @@
 )
 
 if TYPE_CHECKING:
-    from rateslib.typing import (
+    from rateslib.typing import (  # pragma: no cover
         FX_,
         CurveOption_,
         DualTypes,
@@ -88,8 +88,9 @@ def _screen_ex_div_and_forward(
             # in the case of Dualtypes this would be faster to just return 0.0
             # but the multiplication is used to handle DataFrame (FixingsSensitivity)
         if not is_forward:
-            # forward is assumed to be equal to settlement
-            return Ok(local_value.unwrap() / disc_curve_[settlement])  # type: ignore[index]
+            # forward is assumed to be immediate value if not given.
+            # # forward is assumed to be equal to settlement
+            return local_value  # / disc_curve_[settlement])  # type: ignore[index]
         else:
             return Ok(local_value.unwrap() / disc_curve_[forward])  # type: ignore[index]
 

python/tests/legs/test_legs_legacy.py

@@ -439,12 +439,12 @@ def test_is_linear(self, method, spread_method, expected) -> None:
         ("method", "settlement", "forward", "expected"),
         [
             ("ISDA_compounding", NoInput(0), NoInput(0), 357.7019143401966),
-            ("ISDA_compounding", dt(2022, 4, 6), NoInput(0), 580.3895480501503),
+            ("ISDA_compounding", dt(2022, 4, 6), dt(2022, 4, 6), 580.3895480501503),
             ("ISDA_flat_compounding", NoInput(0), NoInput(0), 360.65913016465225),
-            ("ISDA_flat_compounding", dt(2022, 4, 6), NoInput(0), 587.64160672647),
+            ("ISDA_flat_compounding", dt(2022, 4, 6), dt(2022, 4, 6), 587.64160672647),
             ("NONE_Simple", NoInput(0), NoInput(0), 362.2342162),
             ("NONE_Simple", NoInput(0), dt(2022, 2, 1), 360.98240826375957),
-            ("NONE_Simple", dt(2022, 4, 6), NoInput(0), 590.6350781908598),
+            ("NONE_Simple", dt(2022, 4, 6), dt(2022, 4, 6), 590.6350781908598),
         ],
     )
     def test_float_leg_spread_calculation(
@@ -956,7 +956,7 @@ def test_zero_float_leg_analytic_delta(self, curve) -> None:
         [
             (NoInput(0), NoInput(0), 0.71008),
             (NoInput(0), dt(2023, 1, 1), -0.11739),
-            (dt(2026, 1, 1), NoInput(0), -2.40765),
+            (dt(2026, 1, 1), dt(2026, 1, 1), -2.40765),
         ],
     )
     def test_zero_float_spread_calc(self, settlement, forward, exp, curve) -> None:
@@ -1651,8 +1651,8 @@ def test_non_deliverable(self, curve):
         ("settlement", "forward", "exp"),
         [
             (NoInput(0), NoInput(0), 403.9491881327746),
-            (dt(2022, 3, 30), NoInput(0), 399.9990223763462),
-            (dt(2022, 4, 6), NoInput(0), 799.0147512470912),
+            (dt(2022, 3, 30), dt(2022, 3, 30), 399.9990223763462),
+            (dt(2022, 4, 6), dt(2022, 4, 6), 799.0147512470912),
         ],
     )
     def test_fixed_leg_spread(self, settlement, forward, exp, curve) -> None:
@@ -2071,8 +2071,8 @@ def test_exchanges_raises(self, final):
         ("settlement", "forward", "exp"),
         [
             (NoInput(0), NoInput(0), 408.02994815795125),
-            (dt(2022, 3, 30), NoInput(0), 404.03987718823055),
-            (dt(2022, 4, 6), NoInput(0), 811.1815703665554),
+            (dt(2022, 3, 30), dt(2022, 3, 30), 404.03987718823055),
+            (dt(2022, 4, 6), dt(2022, 4, 6), 811.1815703665554),
         ],
     )
     def test_fixed_leg_spread(self, settlement, forward, exp, curve) -> None: