build: Set up CI pipeline

Set up GitHub Action pipeline for testing, building, and publishing the package

Closes PR #3

Author: simicd

.github/workflows/python-package.yml

@@ -0,0 +1,81 @@
+# This workflow will install Python dependencies, run tests and lint with a variety of Python versions
+# For more information see: https://help.github.com/actions/language-and-framework-guides/using-python-with-github-actions
+
+name: Python package
+
+on:
+  push:
+    branches: [ main ]
+  pull_request:
+    branches: [ main ]
+  release:
+    types: [published]
+
+jobs:
+  build:
+    runs-on: ubuntu-latest
+    strategy:
+      fail-fast: false
+      matrix:
+        python-version: ["3.8", "3.9", "3.10"]
+
+    steps:
+    - uses: actions/checkout@v2
+    - name: Set up Python ${{ matrix.python-version }}
+      uses: actions/setup-python@v2
+      with:
+        python-version: ${{ matrix.python-version }}
+    - name: Install package and dependencies
+      run: |
+        python -m pip install --upgrade pip
+        python -m pip install build flake8 pytest
+        pip install -e .
+    - name: Lint with flake8
+      run: |
+        # stop the build if there are Python syntax errors or undefined names
+        flake8 . --count --select=E9,F63,F7,F82 --show-source --statistics
+        # exit-zero treats all errors as warnings. The GitHub editor is 127 chars wide
+        flake8 . --count --exit-zero --max-complexity=10 --max-line-length=127 --statistics
+    - name: Test with pytest
+      run: |
+        pytest
+    - name: Build package
+      run: python -m build
+    - name: Archive production artifacts
+      uses: actions/upload-artifact@v2
+      with:
+        name: dist
+        path: |
+          dist/**/*.tar.gz
+          dist/**/*.whl
+
+  deploy:
+    needs: build
+    if: github.event_name == 'release' && github.event.action == 'published'
+    runs-on: ubuntu-latest
+
+    steps:
+    - uses: actions/checkout@v2
+    - name: Set up Python
+      uses: actions/setup-python@v2
+      with:
+        python-version: '3.10'
+    - name: Install dependencies
+      run: |
+        python -m pip install --upgrade pip
+        pip install build twine
+
+    - name: Download Python package from build job
+      uses: actions/download-artifact@v2
+      with:
+        name: dist
+        path: ./dist
+
+    - name: Test publishing
+      env:
+        TWINE_USERNAME: __token__
+        TWINE_PASSWORD: ${{ secrets.PYPI_TOKEN }}
+      run: |
+        twine upload -r testpypi dist/*
+
+    # twine upload dist/*

.vscode/launch.json

@@ -4,19 +4,12 @@
     // For more information, visit: https://go.microsoft.com/fwlink/?linkid=830387
     "version": "0.2.0",
     "configurations": [
-        {
-            "name": "Python (External): Start main.py",
-            "type": "python",
-            "request": "launch",
-            "program": "${workspaceRoot}/main.py",
-            "console": "externalTerminal"
-        },
         {
             "name": "Python (Integrated): Start main.py",
             "type": "python",
             "request": "launch",
             "program": "${workspaceRoot}/main.py",
             "console": "integratedTerminal"
-        }
+        },
     ]
 }

README.md

@@ -1,4 +1,4 @@
-# README
+# smithwilson
 ## Overview
 This Python package implements the Smith-Wilson yield curve fitting algorithm. It allows for interpolations and extrapolations of zero-coupon bond rates. This algorithm is used for the extrapolation of [EIOPA risk-free term structures](https://eiopa.europa.eu/Publications/Standards/Technical%20Documentation%20(31%20Jan%202018).pdf) in the Solvency II framework. Details are available in the Technical Paper [QIS 5  Risk-free interest rates](https://eiopa.europa.eu/Publications/QIS/ceiops-paper-extrapolation-risk-free-rates_en-20100802.pdf). Examples of extrapolated yield curves including the parameters applied can be found [here](https://eiopa.europa.eu/Publications/Standards/EIOPA_RFR_20190531.zip).
 <br /><br />
@@ -83,16 +83,16 @@ contain any set of maturities (e.g. more granular maturity structure (interpolat
 
 The Smith-Wilson fitting algorithm calculates first the Wilson-matrix (EIOPA, 2010, p. 16):
 
-    `W = e^(-UFR * (t1 + t2)) * (α * min(t1, t2) - 0.5 * e^(-α * max(t1, t2))
-        * (e^(α * min(t1, t2)) - e^(-α * min(t1, t2))))`
+    W = e^(-UFR * (t1 + t2)) * (α * min(t1, t2) - 0.5 * e^(-α * max(t1, t2))
+        * (e^(α * min(t1, t2)) - e^(-α * min(t1, t2))))
 
 Given the Wilson-matrix `W`, vector of UFR discount factors `μ` and prices `P`, the parameter vector `ζ` can be calculated as follows (EIOPA, 2010, p.17):
 
-    `ζ = W^-1 * (μ - P)`
+    ζ = W^-1 * (μ - P)
 
 With the Smith-Wilson parameter `ζ` and Wilson-matrix `W`, the zero-coupon bond prices can be represented as (EIOPA, 2010, p. 18) in matrix notation:
 
-    `P = e^(-t * UFR) - W * ζ`
+    P = e^(-t * UFR) - W * ζ
 
 In the last case, `t` can be any maturity vector, i.e. with additional maturities to extrapolate rates.
 <br /><br />

requirements.txt

@@ -5,17 +5,23 @@
 
 setuptools.setup(
     name="smithwilson",
-    version="0.2.0",
+    version="0.1.0",
     author="Dejan Simic",
-    author_email="dejan.simic",
-    description="Implementation of the Smith-Wilson yield curve fitting algorithm in Python for interpolations and extrapolations of zero-coupon bond rates",
+    # author_email="dejan.simic",
+    description=
+    "Implementation of the Smith-Wilson yield curve fitting algorithm in Python for interpolations and extrapolations of zero-coupon bond rates",
     long_description=long_description,
     long_description_content_type="text/markdown",
     url="https://github.com/simicd/smith-wilson-py.git",
     packages=setuptools.find_packages(),
     classifiers=[
-        "Programming Language :: Python :: 3",
+        "Programming Language :: Python :: 3.7",
+        "Programming Language :: Python :: 3.8",
+        "Programming Language :: Python :: 3.9",
+        "Programming Language :: Python :: 3.10",
         "License :: OSI Approved :: MIT License",
         "Operating System :: OS Independent",
     ],
+    python_requires='>=3.7',
+    install_requires=["numpy>=1.21.5"],
 )