BUG: Solver includes certain no parameter curves (#241) (#1167)

Author: mikelync

python/rateslib/solver.py

@@ -23,7 +23,16 @@
 from pandas.errors import PerformanceWarning
 
 from rateslib import defaults
-from rateslib.curves import CompositeCurve, Curve, MultiCsaCurve, ProxyCurve, _BaseCurve
+from rateslib.curves import (
+    CompositeCurve,
+    Curve,
+    MultiCsaCurve,
+    ProxyCurve,
+    RolledCurve,
+    ShiftedCurve,
+    TranslatedCurve,
+    _BaseCurve,
+)
 from rateslib.dual import Dual, Dual2, dual_solve, gradient
 from rateslib.dual.newton import _solver_result
 from rateslib.dual.utils import _dual_float
@@ -946,6 +955,16 @@ def grad_f_fT_Pbase(
         return grad_s_sT_Pbas
 
 
+NO_PARAMETER_CURVES = [
+    ProxyCurve,
+    CompositeCurve,
+    MultiCsaCurve,
+    RolledCurve,
+    ShiftedCurve,
+    TranslatedCurve,
+]
+
+
 class Solver(Gradients, _WithState):
     """
     A numerical solver to determine node values on multiple pricing objects simultaneously.
@@ -1111,8 +1130,7 @@ def __init__(
         self.curves = {
             curve.id: curve
             for curve in list(curves) + list(surfaces)
-            if type(curve) not in [ProxyCurve, CompositeCurve, MultiCsaCurve]
-            # Proxy and Composite curves have no parameters of their own
+            if type(curve) not in NO_PARAMETER_CURVES
         }
         self.variables = ()
         for curve in self.curves.values():
@@ -1142,8 +1160,8 @@ def __init__(
             {
                 curve.id: curve
                 for curve in curves
-                if type(curve) in [ProxyCurve, CompositeCurve, MultiCsaCurve]
-                # Proxy and Composite curves added to the collection without variables
+                if type(curve) in NO_PARAMETER_CURVES
+                # no parameter curves added to the collection without variables
             },
         )
         curve_collection.extend(curves)

python/tests/curves/test_sw.py

@@ -26,9 +26,9 @@ def test_init():
         ufr=4.2,
     )
     result = sw.rate(dt(2001, 1, 1), "1b")
-    expected = 3.3882896759093173
+    expected = 3.3906104222626796
     assert abs(result - expected) < 1e-5
-    assert sw.meta.convention == "Act365.25"
+    assert sw.meta.convention == Convention.Act365_25
 
 
 def test_cache():

python/tests/test_solver.py

@@ -2822,3 +2822,20 @@ def test_solver_validation_control(self):
 def test_objects_ad_attribute(obj):
     result = getattr(obj, "_ad", None)
     assert result is not None
+
+
+@pytest.mark.parametrize("label", ["shift", "rolled", "translated"])
+def test_curves_without_their_own_params(label):
+    curve = Curve({dt(2000, 1, 1): 1.0, dt(2001, 1, 1): 1.0}, id="curve")
+    _map = {
+        "shift": curve.shift(5, id="shift"),
+        "rolled": curve.roll(5, id="rolled"),
+        "translated": curve.translate(dt(2000, 1, 1), id="translated"),
+    }
+
+    sv = Solver(
+        curves=[curve, _map[label]],
+        instruments=[IRS(dt(2000, 2, 1), dt(2000, 3, 1), spec="usd_irs", curves=["curve", label])],
+        s=[2.0],
+    )
+    assert sv.result["status"] == "SUCCESS"