bugfix

Author: thrasibule

quantlib/compounding.pxd

@@ -1,4 +1,4 @@
-cdef extern from "ql/compounding.hpp" namespace "QuantLib":
+cdef extern from "ql/compounding.hpp" namespace "QuantLib" nogil:
     cpdef enum Compounding:
         Simple = 0
         Continuous = 1

quantlib/mlab/fixed_income.py

@@ -12,10 +12,10 @@
     FixedRateBond
 )
 
-from quantlib.compounding import Compounded
+from quantlib.compounding import Compounding
 
 from quantlib.pricingengines.bond import DiscountingBondEngine
-from quantlib.time.businessdayconvention import (
+from quantlib.time.api import (
     Unadjusted, ModifiedFollowing, Following)
 
 from quantlib.time.calendars.null_calendar import NullCalendar
@@ -144,7 +144,7 @@ def _bndprice(bond_yield, coupon_rate, pricing_date, maturity_date,
         forward=bond_yield,
         calendar=NullCalendar(),
         daycounter=cnt_yield,
-        compounding=Compounded,
+        compounding=Compounding.Compounded,
         frequency=period)
 
     discounting_term_structure.link_to(flat_term_structure)

quantlib/mlab/option_pricing.py

@@ -25,7 +25,7 @@
 from quantlib.processes.api import BlackScholesMertonProcess
 from quantlib.termstructures.yields.api import FlatForward, HandleYieldTermStructure
 from quantlib.termstructures.volatility.api import BlackConstantVol
-from quantlib.time.api import today, NullCalendar, ActualActual, ISMA
+from quantlib.time.api import today, NullCalendar, ActualActual
 
 from quantlib.time.date import (Period, Days)
 from quantlib.mlab.util import common_shape, array_call
@@ -104,7 +104,7 @@ def _blsprice(spot, strike, risk_free_rate, time, volatility,
     """
     _spot = SimpleQuote(spot)
 
-    daycounter = ActualActual(ISMA)
+    daycounter = ActualActual(ActualActual.ISMA)
     risk_free_ts = HandleYieldTermStructure(FlatForward(today(), risk_free_rate, daycounter))
     dividend_ts = HandleYieldTermStructure(FlatForward(today(), dividend, daycounter))
     volatility_ts = BlackConstantVol(today(), NullCalendar(),
@@ -162,7 +162,7 @@ def _blsimpv(price, spot, strike, risk_free_rate, time,
              option_type, dividend):
 
     spot = SimpleQuote(spot)
-    daycounter = ActualActual(ISMA)
+    daycounter = ActualActual(ActualActual.ISMA)
     risk_free_ts = HandleYieldTermStructure(FlatForward(today(), risk_free_rate, daycounter))
     dividend_ts = HandleYieldTermStructure(FlatForward(today(), dividend, daycounter))
     volatility_ts = BlackConstantVol(today(), NullCalendar(),

quantlib/models/shortrate/calibrationhelpers/swaption_helper.pyx

@@ -19,7 +19,6 @@ from quantlib.instruments.fixedvsfloatingswap cimport FixedVsFloatingSwap
 from quantlib.instruments.swaption cimport Swaption
 from quantlib.time.date cimport Period, Date
 from quantlib.quote cimport Quote
-from quantlib.models.calibration_helper import RelativePriceError
 from quantlib.utilities.null cimport Null
 
 cimport quantlib._quote as _qt
@@ -42,7 +41,7 @@ cdef class SwaptionHelper(BlackCalibrationHelper):
                  DayCounter fixed_leg_daycounter not None,
                  DayCounter floating_leg_daycounter not None,
                  HandleYieldTermStructure ts not None,
-                 CalibrationErrorType error_type=RelativePriceError,
+                 CalibrationErrorType error_type=CalibrationErrorType.RelativePriceError,
                  Real strike=Null[Real](),
                  Real nominal=1.0,
                  VolatilityType vol_type=VolatilityType.ShiftedLognormal,

quantlib/util/rates.py

@@ -6,7 +6,6 @@
  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 """
-from __future__ import division
 
 # Utility functions for handling interest rates
 # ---------------------------------------------
@@ -26,7 +25,7 @@
 from quantlib.math.interpolation import LogLinear
 from quantlib.time.api import (
     TARGET, Period, Months, Years, Days, ModifiedFollowing, Unadjusted,
-    Actual360, Thirty360, Annual, ActualActual, ISDA, JointCalendar,
+    Actual360, Thirty360, Annual, ActualActual, JointCalendar,
     UnitedStates, UnitedKingdom, NullCalendar, Date
 )
 from quantlib.util.converter import pydate_to_qldate, qldate_to_pydate
@@ -122,7 +121,7 @@ def make_term_structure(rates, dt_obs):
         h = make_rate_helper(label, r, settlement_date)
         rate_helpers.append(h)
 
-    ts_day_counter = ActualActual(ISDA)
+    ts_day_counter = ActualActual(ActualActual.ISDA)
     tolerance = 1.0e-15
     ts = PiecewiseYieldCurve[BootstrapTrait.Discount, LogLinear].from_reference_date(
         settlement_date, rate_helpers, ts_day_counter, accuracy=tolerance