Upgraded to FinancePy 0.310

Author: saeedamen

README.md

@@ -161,7 +161,7 @@ One possible way to fix this is to delete the `__pycache__` folders underneath w
 Eg. if you are using the `py38class` environment, if you've installed Anaconda in `C:\Anaconda3`, you might find the financepy
 folder at the below location
 
-`C:\Anaconda3\envs\py38\Lib\site-packages\financepy`
+`C:\Anaconda3\envs\py38class\Lib\site-packages\financepy`
 
 # finmarketpy examples
 
@@ -187,6 +187,9 @@ In finmarketpy/examples you will find several examples, including some simple tr
 
 # finmarketpy log
 
+* 01 Jan 2024
+  * Helper code to reduce boiler plate code for TradingModel
+  * Upgraded to FinancePy 0.310 and refactored FXVolSurface
 * 26 Apr 2023
   * Changed sklearn to scikit-learn dependency
 * 05 Apr 2022

finmarketpy/backtest/backtestengine.py

@@ -89,21 +89,21 @@ class MarketConstants(object):
     fx_options_tenor_for_interpolation = ["ON", "1W", "2W", "3W", "1M", "2M", "3M", "4M", "6M", "9M", "1Y"]#, "2Y", "3Y"]
 
     # What contract will we generally be trading?
-    fx_options_trading_tenor = '1M'
+    fx_options_trading_tenor = "1M"
 
     # When constructing total return index 'mult' or 'add'
-    fx_options_cum_index = 'mult'
+    fx_options_cum_index = "mult"
 
     # For total return index use option price in base currency/for
-    fx_options_index_premium_output = 'pct-for'
+    fx_options_index_premium_output = "pct-for"
 
-    fx_options_index_strike = 'atm'
-    fx_options_index_contract_type = 'european-call'
+    fx_options_index_strike = "atm"
+    fx_options_index_contract_type = "european-call"
 
     fx_options_freeze_implied_vol = False
 
     # What is the point at which we roll?
-    fx_options_roll_event = 'expiry-date'  # 'month-end', 'expiry-date', 'no-roll'
+    fx_options_roll_event = "expiry-date"  # 'month-end', 'expiry-date', 'no-roll'
 
     # How many days before that point should we roll?
     fx_options_roll_days_before = 5
@@ -114,23 +114,23 @@ class MarketConstants(object):
     # For fitting vol surface
 
     # 'CLARK5', 'CLARK', 'BBG', 'SABR' and 'SABR3'
-    fx_options_vol_function_type = 'CLARK5'
-    fx_options_depo_tenor = '1M'
+    fx_options_vol_function_type = "CLARK5"
+    fx_options_depo_tenor = "1M"
 
     # 'fwd-delta-neutral' or 'fwd-delta-neutral-premium-adj' or 'spot' or 'fwd'
-    fx_options_atm_method = 'fwd-delta-neutral-premium-adj'
+    fx_options_atm_method = "fwd-delta-neutral-premium-adj"
 
     # 'fwd-delta' or 'fwd-delta-prem-adj' or 'spot-delta-prem-adj' or 'spot-delta'
-    fx_options_delta_method = 'spot-delta-prem-adj'
+    fx_options_delta_method = "spot-delta-prem-adj"
     fx_options_alpha = 0.5
 
     # 'pct-for' (in base currency pct) or 'pct-dom' (in terms currency pct)
-    fx_options_premium_output = 'pct-for'
-    fx_options_delta_output = 'pct-fwd-delta-prem-adj'
+    fx_options_premium_output = "pct-for"
+    fx_options_delta_output = "pct-fwd-delta-prem-adj"
 
     # 'nelmer-mead' or 'nelmer-mead-numba' (faster but less accurate) or 'cg' (conjugate gradient tends to be slower, but more accurate)
-    fx_options_solver = 'nelmer-mead-numba'
-    fx_options_pricing_engine = 'financepy' # 'financepy' or 'finmarketpy'
+    fx_options_solver = "nelmer-mead-numba"
+    fx_options_pricing_engine = "financepy" # 'financepy' or 'finmarketpy'
 
     fx_options_tol = 1e-8
 

finmarketpy/curve/volatility/fxoptionspricer.py

@@ -24,19 +24,19 @@ def parse_date(self, date):
 
             date1 = datetime.datetime.utcnow()
 
-            if date is 'midnight':
+            if date == "midnight":
                 date1 = datetime.datetime(date1.year, date1.month, date1.day, 0, 0, 0)
-            elif date is 'decade':
+            elif date == "decade":
                 date1 = date1 - timedelta(days=365 * 10)
-            elif date is 'year':
+            elif date == "year":
                 date1 = date1 - timedelta(days=365)
-            elif date is 'month':
+            elif date == "month":
                 date1 = date1 - timedelta(days=30)
-            elif date is 'week':
+            elif date == "week":
                 date1 = date1 - timedelta(days=7)
-            elif date is 'day':
+            elif date == "day":
                 date1 = date1 - timedelta(days=1)
-            elif date is 'hour':
+            elif date == "hour":
                 date1 = date1 - timedelta(hours=1)
             else:
                 # format expected 'Jun 1 2005 01:33', '%b %d %Y %H:%M'