update examples

Author: thrasibule

examples/american_option.py

@@ -6,48 +6,52 @@
  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 """
-from __future__ import print_function
-
-from quantlib.instruments.api import AmericanExercise, VanillaOption, Put
+from quantlib.instruments.api import AmericanExercise, VanillaOption, OptionType
 from quantlib.instruments.payoffs import PlainVanillaPayoff
 from quantlib.pricingengines.api import BaroneAdesiWhaleyApproximationEngine
-from quantlib.pricingengines.api import FDAmericanEngine
+from quantlib.pricingengines.api import FdBlackScholesVanillaEngine
 from quantlib.processes.black_scholes_process import BlackScholesMertonProcess
 from quantlib.quotes import SimpleQuote
 from quantlib.settings import Settings
 from quantlib.time.api import Actual365Fixed, Date, May, TARGET
-from quantlib.termstructures.volatility.equityfx.black_vol_term_structure \
-    import BlackConstantVol
-from quantlib.termstructures.yields.api import FlatForward
-
+from quantlib.termstructures.volatility.api import BlackConstantVol
+from quantlib.termstructures.yields.api import HandleYieldTermStructure, FlatForward
+from quantlib.methods.finitedifferences.solvers.fdmbackwardsolver \
+    import FdmSchemeDesc
 
 def main():
     # global data
     todays_date = Date(15, May, 1998)
     Settings.instance().evaluation_date = todays_date
     settlement_date = Date(17, May, 1998)
 
-    risk_free_rate = FlatForward(
-        reference_date=settlement_date,
-        forward=0.06,
-        daycounter=Actual365Fixed()
+    risk_free_rate = HandleYieldTermStructure()
+    risk_free_rate.link_to(
+        FlatForward(
+            reference_date=settlement_date,
+            forward=0.06,
+            daycounter=Actual365Fixed()
+        )
     )
 
     # option parameters
     exercise = AmericanExercise(
         earliest_exercise_date=settlement_date,
         latest_exercise_date=Date(17, May, 1999)
     )
-    payoff = PlainVanillaPayoff(Put, 40.0)
+    payoff = PlainVanillaPayoff(OptionType.Put, 40.0)
 
     # market data
     underlying = SimpleQuote(36.0)
     volatility = BlackConstantVol(todays_date, TARGET(), 0.20,
                                   Actual365Fixed())
-    dividend_yield = FlatForward(
-        reference_date=settlement_date,
-        forward=0.00,
-        daycounter=Actual365Fixed()
+    dividend_yield = HandleYieldTermStructure()
+    dividend_yield.link_to(
+        FlatForward(
+            reference_date=settlement_date,
+            forward=0.00,
+            daycounter=Actual365Fixed()
+        )
     )
 
     # report
@@ -91,8 +95,10 @@ def report(method, x, dx=None):
     time_steps = 801
     grid_points = 800
 
-    option.set_pricing_engine(FDAmericanEngine('CrankNicolson',
-                                               process, time_steps, grid_points))
+    option.set_pricing_engine(
+        FdBlackScholesVanillaEngine(
+            process, time_steps, grid_points, scheme=FdmSchemeDesc.CrankNicolson())
+    )
     report('finite differences', option.net_present_value)
 
     print('This is work in progress.')

examples/basic_example.py

@@ -1,15 +1,15 @@
-""" Simple example pricing a European option 
+""" Simple example pricing a European option
 using a Black&Scholes Merton process."""
 from __future__ import print_function
 
-from quantlib.instruments.api import (EuropeanExercise, PlainVanillaPayoff, Put,
+from quantlib.instruments.api import (EuropeanExercise, PlainVanillaPayoff, OptionType,
                                       VanillaOption)
 from quantlib.pricingengines.api import AnalyticEuropeanEngine
 from quantlib.processes.black_scholes_process import BlackScholesMertonProcess
 from quantlib.quotes import SimpleQuote
 from quantlib.settings import Settings
 from quantlib.time.api import TARGET, Actual365Fixed, today
-from quantlib.termstructures.yields.api import FlatForward
+from quantlib.termstructures.yields.api import FlatForward, HandleYieldTermStructure
 from quantlib.termstructures.volatility.api import BlackConstantVol
 
 
@@ -24,7 +24,7 @@
 settings.evaluation_date = todays_date
 
 # options parameters
-option_type = Put
+option_type = OptionType.Put
 underlying = 36
 strike = 40
 dividend_yield = 0.00
@@ -36,16 +36,23 @@
 underlyingH = SimpleQuote(underlying)
 
 # bootstrap the yield/dividend/vol curves
-flat_term_structure = FlatForward(
-    reference_date=settlement_date,
-    forward=risk_free_rate,
-    daycounter=daycounter
+flat_term_structure = HandleYieldTermStructure()
+flat_dividend_ts = HandleYieldTermStructure()
+
+flat_term_structure.link_to(
+    FlatForward(
+        reference_date=settlement_date,
+        forward=risk_free_rate,
+        daycounter=daycounter
+    )
 )
 
-flat_dividend_ts = FlatForward(
-    reference_date=settlement_date,
-    forward=dividend_yield,
-    daycounter=daycounter
+flat_dividend_ts.link_to(
+    FlatForward(
+        reference_date=settlement_date,
+        forward=dividend_yield,
+        daycounter=daycounter
+    )
 )
 
 flat_vol_ts = BlackConstantVol(

examples/bonds.py

@@ -3,31 +3,29 @@
 This example is based on the QuantLib Excel bond demo.
 
 """
-from __future__ import print_function
-
 from quantlib.instruments.bonds import FixedRateBond
 from quantlib.time.api import (
-    TARGET, Unadjusted, ModifiedFollowing, Following, NullCalendar
+    Date, Period, Annual, TARGET, Unadjusted, ModifiedFollowing, Following, NullCalendar, Years,
+    DateGeneration
 )
 from quantlib.compounding import Continuous
 from quantlib.pricingengines.bond import DiscountingBondEngine
-from quantlib.time.date import Date, August, Period, Jul, Annual, Years
 from quantlib.time.daycounters.simple import Actual365Fixed
 from quantlib.time.daycounters.actual_actual import ActualActual, ISMA
-from quantlib.time.schedule import Schedule, Backward
+from quantlib.time.schedule import Schedule
 from quantlib.settings import Settings
 from quantlib.termstructures.yields.api import (
-    FlatForward, YieldTermStructure
+    FlatForward, HandleYieldTermStructure
 )
 
-todays_date = Date(25, August, 2011)
+todays_date = Date(25, 8, 2011)
 
 
 settings = Settings.instance()
 settings.evaluation_date = todays_date
 
 calendar = TARGET()
-effective_date = Date(10, Jul, 2006)
+effective_date = Date(10, 7, 2006)
 termination_date = calendar.advance(
     effective_date, 10, Years, convention=Unadjusted
 )
@@ -45,7 +43,7 @@
     calendar,
     ModifiedFollowing,
     ModifiedFollowing,
-    Backward
+    DateGeneration.Backward
 )
 
 issue_date = effective_date
@@ -60,7 +58,7 @@
     issue_date
 )
 
-discounting_term_structure = YieldTermStructure(relinkable=True)
+discounting_term_structure = HandleYieldTermStructure()
 flat_term_structure = FlatForward(
     settlement_days = 1,
     forward         = 0.044,
@@ -76,6 +74,4 @@
 print('Settlement date: ', bond.settlement_date())
 print('Maturity date:', bond.maturity_date)
 print('Accrued amount: ', bond.accrued_amount(bond.settlement_date()))
-print('Clean price:', bond.clean_price)
-
-
+print('Clean price:', bond.clean_price())

examples/multicurve_bootstrapping.py

@@ -1,19 +1,18 @@
 from tabulate import tabulate
 from quantlib.time.api import (TARGET, Date, Weeks, Days, Months, Years,
-                               Actual360, Actual365Fixed, Following, Annual, Unadjusted, Thirty360, Schedule, ModifiedFollowing, Semiannual, Period)
-from quantlib.time.schedule import Forward
+                               Actual360, Actual365Fixed, Following, Annual, Unadjusted, Thirty360, Schedule, ModifiedFollowing, Semiannual, Period, DateGeneration)
 from quantlib.time.daycounters.thirty360 import European
 from quantlib.settings import Settings
 from quantlib.quotes import SimpleQuote
 from quantlib.termstructures.yields.rate_helpers import DepositRateHelper, FraRateHelper, SwapRateHelper
-from quantlib.termstructures.yields.ois_rate_helper import OISRateHelper, DatedOISRateHelper
+from quantlib.termstructures.yields.ois_rate_helper import OISRateHelper
 from quantlib.termstructures.yields.piecewise_yield_curve import PiecewiseYieldCurve
 from quantlib.termstructures.yields.bootstraptraits import Discount
-from quantlib.termstructures.yields.api import YieldTermStructure
+from quantlib.termstructures.yields.api import HandleYieldTermStructure
 from quantlib.math.interpolation import Cubic
 from quantlib.indexes.ibor.eonia import Eonia
 from quantlib.indexes.api import Euribor6M
-from quantlib.instruments.swap import SwapType
+from quantlib.instruments.swap import Swap
 from quantlib.instruments.vanillaswap import VanillaSwap
 from quantlib.pricingengines.swap import DiscountingSwapEngine
 
@@ -107,19 +106,19 @@
 
 
 # Dated OIS
-oisDated1 = DatedOISRateHelper(
+oisDated1 = OISRateHelper.from_dates(
         Date(16, 1, 2013), Date(13, 2, 2013),
         oisDated1Rate, eonia)
-oisDated2 = DatedOISRateHelper(
+oisDated2 = OISRateHelper.from_dates(
     Date(13, 2, 2013), Date(13, 3, 2013),
     oisDated2Rate, eonia)
-oisDated3 = DatedOISRateHelper(
+oisDated3 = OISRateHelper.from_dates(
     Date(13, 3, 2013), Date(10, 4, 2013),
     oisDated3Rate, eonia)
-oisDated4 = DatedOISRateHelper(
+oisDated4 = OISRateHelper.from_dates(
     Date(10, 4, 2013), Date(8, 5, 2013),
     oisDated4Rate, eonia)
-oisDated5 = DatedOISRateHelper(
+oisDated5 = OISRateHelper.from_dates(
     Date(8, 5, 2013), Date(12, 6, 2013),
     oisDated5Rate, eonia)
 
@@ -166,9 +165,9 @@
 
 # Term structures that will be used for pricing:
 # the one used for discounting cash flows
-discountingTermStructure = YieldTermStructure()
+discountingTermStructure = HandleYieldTermStructure()
 # the one used for forward rate forecasting
-forecastingTermStructure = YieldTermStructure()
+forecastingTermStructure = HandleYieldTermStructure()
 
 discountingTermStructure.link_to(eonia_term_structure)
 
@@ -248,19 +247,19 @@
 spread = 0.0
 
 lengthInYears = 5
-swapType = SwapType.Payer
+swapType = Swap.Payer
 
 maturity = settlement_date + lengthInYears*Years;
 fixedSchedule = Schedule.from_rule(settlement_date, maturity,
                                    Period(fixedLegFrequency),
                                    calendar, fixedLegConvention,
                                    fixedLegConvention,
-                                   Forward, False)
+                                   DateGeneration.Forward, False)
 floatSchedule = Schedule.from_rule(settlement_date, maturity,
                                    Period(floatingLegFrequency),
                                    calendar, floatingLegConvention,
                                    floatingLegConvention,
-                                   Forward, False)
+                                   DateGeneration.Forward, False)
 spot5YearSwap = VanillaSwap(swapType, nominal,
                             fixedSchedule, fixedRate, fixedLegDayCounter,
                             floatSchedule, euriborIndex, spread,
@@ -272,12 +271,12 @@
                                       Period(fixedLegFrequency),
                                       calendar, fixedLegConvention,
                                       fixedLegConvention,
-                                      Forward, False)
+                                      DateGeneration.Forward, False)
 fwdFloatSchedule = Schedule.from_rule(fwdStart, fwdMaturity,
                                       Period(floatingLegFrequency),
                                       calendar, floatingLegConvention,
                                       floatingLegConvention,
-                                      Forward, False)
+                                      DateGeneration.Forward, False)
 oneYearForward5YearSwap = VanillaSwap(swapType, nominal,
                                       fwdFixedSchedule, fixedRate, fixedLegDayCounter,
                                       fwdFloatSchedule, euriborIndex, spread,