Updated financepy version used

README.md

@@ -150,6 +150,19 @@ If you are interested in our commercial services please contact [email protected]
 All these sources of funding, whether it is sponsorship or our commercial services, help us to maintain Cuemacro's libraries, 
 so we can improve our open source libraries for the community.
 
+# Problems with Numba and doing options pricing in finmarketpy/financepy
+
+Underneath finmarketpy uses financepy to do option pricing. It uses Numba to speed up the computation.
+
+You may sometimes experience Numba errors like such as `Failed in nopython mode pipeline (step: nopython frontend)`
+
+One possible way to fix this is to delete the `__pycache__` folders underneath wherever financepy is installed:
+
+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`
+
 # finmarketpy examples
 
 In finmarketpy/examples you will find several examples, including some simple trading models
@@ -173,6 +186,9 @@ In finmarketpy/examples you will find several examples, including some simple tr
 
 # finmarketpy log
 
+* 05 Apr 2022
+ * Set FinancePy version required to 0.220 and refactored FXVolSurface for
+ this
 * 07 Oct 2021
  * Set FinancePy version required to 0.193
 * 23 Sep 2021

finmarketpy/curve/rates/fxforwardspricer.py

@@ -231,10 +231,13 @@ def get_forwards_divisor(self, currency):
  # Typically most divisors of forward points are 10000.0
  divisor = 10000.0
 
- if currency in market_constants.fx_forwards_points_divisor_100:
+ if currency in market_constants.fx_forwards_points_divisor_1:
+ divisor = 1.0
+
+ elif currency in market_constants.fx_forwards_points_divisor_100:
  divisor = 100.0
 
- if currency in market_constants.fx_forwards_points_divisor_1000:
+ elif currency in market_constants.fx_forwards_points_divisor_1000:
  divisor = 1000.0
 
  return divisor

finmarketpy/curve/volatility/abstractvolsurface.py

@@ -18,7 +18,7 @@
 
 ABC = abc.ABCMeta('ABC', (object,), {'__slots__': ()})
 
-from financepy.finutils.FinDate import FinDate
+from financepy.utils.date import Date
 
 class AbstractVolSurface(ABC):
  """Holds data for an asset class vol surface
@@ -95,4 +95,4 @@ def _get_tenor_expiry(self, tenor):
  return
 
  def _findate(self, date):
- return FinDate(date.day, date.month, date.year)
+ return Date(date.day, date.month, date.year)

finmarketpy/util/marketconstants.py

@@ -59,6 +59,7 @@ class MarketConstants(object):
  output_calculation_fields = False
 
 ### FX Forwards ########################################################################################################
+ fx_forwards_points_divisor_1 = ['IDR']
  fx_forwards_points_divisor_100 = ['JPY']
  fx_forwards_points_divisor_1000 = []
 

finmarketpy_examples/finmarketpy_notebooks/market_data_example.ipynb

@@ -17,11 +17,11 @@
  },
  {
  "cell_type": "code",
- "execution_count": 3,
+ "execution_count": 1,
  "metadata": {
  "ExecuteTime": {
- "end_time": "2021-06-01T11:43:54.457449Z",
- "start_time": "2021-06-01T11:43:44.153477Z"
+ "end_time": "2022-01-26T15:56:07.408175Z",
+ "start_time": "2022-01-26T15:55:59.685770Z"
  }
  },
  "outputs": [],
@@ -51,11 +51,11 @@
  },
  {
  "cell_type": "code",
- "execution_count": 4,
+ "execution_count": 2,
  "metadata": {
  "ExecuteTime": {
- "end_time": "2021-06-01T11:43:55.283797Z",
- "start_time": "2021-06-01T11:43:54.459444Z"
+ "end_time": "2022-01-26T15:56:10.503206Z",
+ "start_time": "2022-01-26T15:56:07.410175Z"
  }
  },
  "outputs": [],
@@ -113,8 +113,8 @@
  "execution_count": 3,
  "metadata": {
  "ExecuteTime": {
- "end_time": "2021-05-04T16:36:51.312494Z",
- "start_time": "2021-05-04T16:36:51.299494Z"
+ "end_time": "2022-01-26T15:56:13.371422Z",
+ "start_time": "2022-01-26T15:56:13.231436Z"
  }
  },
  "outputs": [],
@@ -151,8 +151,8 @@
  "execution_count": 4,
  "metadata": {
  "ExecuteTime": {
- "end_time": "2021-05-04T16:36:52.213414Z",
- "start_time": "2021-05-04T16:36:51.314494Z"
+ "end_time": "2022-01-26T15:56:15.548520Z",
+ "start_time": "2022-01-26T15:56:14.242467Z"
  }
  },
  "outputs": [],
@@ -172,8 +172,8 @@
  "execution_count": 5,
  "metadata": {
  "ExecuteTime": {
- "end_time": "2021-05-04T16:36:52.228419Z",
- "start_time": "2021-05-04T16:36:52.215417Z"
+ "end_time": "2022-01-26T15:56:16.404113Z",
+ "start_time": "2022-01-26T15:56:16.384105Z"
  }
  },
  "outputs": [],
@@ -198,8 +198,8 @@
  "execution_count": 6,
  "metadata": {
  "ExecuteTime": {
- "end_time": "2021-05-04T16:36:52.635473Z",
- "start_time": "2021-05-04T16:36:52.230418Z"
+ "end_time": "2022-01-26T15:56:17.800925Z",
+ "start_time": "2022-01-26T15:56:17.350447Z"
  }
  },
  "outputs": [
@@ -229,11 +229,11 @@
  },
  {
  "cell_type": "code",
- "execution_count": 7,
+ "execution_count": 11,
  "metadata": {
  "ExecuteTime": {
- "end_time": "2021-05-04T16:36:54.375641Z",
- "start_time": "2021-05-04T16:36:52.637473Z"
+ "end_time": "2022-01-26T16:14:20.356515Z",
+ "start_time": "2022-01-26T16:14:18.664996Z"
  }
  },
  "outputs": [
@@ -243,17 +243,17 @@
  "text": [
  " EURUSD.close\n",
  "Date \n",
- "2020-05-05 1.0840\n",
- "2020-05-06 1.0795\n",
- "2020-05-07 1.0834\n",
- "2020-05-08 1.0839\n",
- "2020-05-11 1.0807\n",
+ "2021-01-27 1.2111\n",
+ "2021-01-28 1.2122\n",
+ "2021-01-29 1.2136\n",
+ "2021-02-01 1.2060\n",
+ "2021-02-02 1.2044\n",
  "... ...\n",
- "2021-04-28 1.2126\n",
- "2021-04-29 1.2121\n",
- "2021-04-30 1.2020\n",
- "2021-05-03 1.2064\n",
- "2021-05-04 1.2013\n",
+ "2022-01-20 1.1312\n",
+ "2022-01-21 1.1344\n",
+ "2022-01-24 1.1326\n",
+ "2022-01-25 1.1301\n",
+ "2022-01-26 1.1285\n",
  "\n",
  "[261 rows x 1 columns]\n"
  ]
@@ -276,8 +276,8 @@
  "execution_count": 8,
  "metadata": {
  "ExecuteTime": {
- "end_time": "2021-05-04T16:36:56.657212Z",
- "start_time": "2021-05-04T16:36:54.378641Z"
+ "end_time": "2022-01-26T15:56:24.329239Z",
+ "start_time": "2022-01-26T15:56:22.005440Z"
  }
  },
  "outputs": [
@@ -287,17 +287,17 @@
  "text": [
  " EURUSD.close\n",
  "Date \n",
- "2021-04-27 16:37:00+00:00 1.2071\n",
- "2021-04-27 16:38:00+00:00 1.2072\n",
- "2021-04-27 16:39:00+00:00 1.2072\n",
- "2021-04-27 16:40:00+00:00 1.2072\n",
- "2021-04-27 16:41:00+00:00 1.2073\n",
+ "2022-01-19 15:57:00+00:00 1.1344\n",
+ "2022-01-19 15:58:00+00:00 1.1345\n",
+ "2022-01-19 15:59:00+00:00 1.1345\n",
+ "2022-01-19 16:00:00+00:00 1.1347\n",
+ "2022-01-19 16:01:00+00:00 1.1345\n",
  "... ...\n",
- "2021-05-04 16:32:00+00:00 1.2015\n",
- "2021-05-04 16:33:00+00:00 1.2014\n",
- "2021-05-04 16:34:00+00:00 1.2015\n",
- "2021-05-04 16:35:00+00:00 1.2013\n",
- "2021-05-04 16:36:00+00:00 1.2012\n",
+ "2022-01-26 15:52:00+00:00 1.1282\n",
+ "2022-01-26 15:53:00+00:00 1.1281\n",
+ "2022-01-26 15:54:00+00:00 1.1281\n",
+ "2022-01-26 15:55:00+00:00 1.1281\n",
+ "2022-01-26 15:56:00+00:00 1.1282\n",
  "\n",
  "[7200 rows x 1 columns]\n"
  ]
@@ -317,11 +317,11 @@
  },
  {
  "cell_type": "code",
- "execution_count": 6,
+ "execution_count": 9,
  "metadata": {
  "ExecuteTime": {
- "end_time": "2021-06-01T11:44:11.043778Z",
- "start_time": "2021-06-01T11:44:09.307217Z"
+ "end_time": "2022-01-26T15:56:28.474360Z",
+ "start_time": "2022-01-26T15:56:26.101164Z"
  }
  },
  "outputs": [
@@ -331,10 +331,11 @@
  "text": [
  " VIX.close\n",
  "Date \n",
- "2021-05-26 17.360001\n",
- "2021-05-27 16.740000\n",
- "2021-05-28 16.760000\n",
- "2021-06-01 17.150000\n"
+ "2022-01-20 25.590000\n",
+ "2022-01-21 28.850000\n",
+ "2022-01-24 29.900000\n",
+ "2022-01-25 31.160000\n",
+ "2022-01-26 29.700001\n"
  ]
  }
  ],
@@ -630,4 +631,4 @@
  },
  "nbformat": 4,
  "nbformat_minor": 2
-}
+}