Upgraded to FinancePy 0.310

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/util/marketconstants.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/util/marketutil.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'