No deprecated

quantlib/_index.pxd

@@ -30,3 +30,4 @@ cdef extern from 'ql/index.hpp' namespace 'QuantLib' nogil:
         void addFixings(vector[Date].iterator dBegin, vector[Date].iterator dEnd, vector[Real].iterator vBegin, bool forceOverwrite) except +
         TimeSeries[Real] timeSeries()
         void clearFixings()
+        bool hasHistoricalFixing(const Date& fixingDate)

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/compounding.pyx

@@ -0,0 +1 @@
+globals().update(getattr(Compounding, "__members__"))

quantlib/index.pyx

@@ -5,8 +5,7 @@
 # ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 # FOR A PARTICULAR PURPOSE.  See the license for more details.
 """Abstract base class for indices"""
-include 'types.pxi'
-
+from quantlib.types cimport Real
 from cpython.datetime cimport PyDate_Check, date_year, date_month, date_day, import_datetime
 from libcpp cimport bool
 from libcpp.vector cimport vector
@@ -92,3 +91,6 @@ cdef class Index:
 
     def clear_fixings(self):
         self._thisptr.get().clearFixings()
+
+    def has_historical_fixing(self, Date d):
+        return self._thisptr.get().hasHistoricalFixing(d._thisptr)

quantlib/indexes/_inflation_index.pxd

@@ -7,7 +7,6 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 """
 
-include '../types.pxi'
 from libcpp cimport bool
 from libcpp.string cimport string
 
@@ -58,7 +57,6 @@ cdef extern from 'ql/indexes/inflationindex.hpp' namespace 'QuantLib' nogil:
         YoYInflationIndex(const string& familyName,
                           const Region& region,
                           bool revised,
-                          bool ratio, # is this one a genuine index or a ratio?
                           Frequency frequency,
                           const Period& availabilityLag,
                           const Currency& currency,

quantlib/indexes/index_manager.pyx

@@ -1,32 +1,8 @@
 # cython: c_string_type=unicode, c_string_encoding=ascii
-include '../types.pxi'
-from libcpp.string cimport string
 cimport quantlib.indexes._index_manager as _im
-from quantlib.time_series cimport TimeSeries
-cimport quantlib._time_series as _ts
 
 cdef class IndexManager:
-    cdef has_history(self, string name):
-        _im.IndexManager.instance().hasHistory(name)
 
     @staticmethod
     def histories():
         return _im.IndexManager.instance().histories()
-
-    @staticmethod
-    def get_history(string name):
-        cdef TimeSeries ts = TimeSeries.__new__(TimeSeries)
-        ts._thisptr = _im.IndexManager.instance().getHistory(name)
-        return ts
-
-    @staticmethod
-    def set_history(string name, TimeSeries ts not None):
-        _im.IndexManager.instance().setHistory(name, ts._thisptr)
-
-    @staticmethod
-    def clear_history(string name):
-        _im.IndexManager.instance().clearHistory(name)
-
-    @staticmethod
-    def clear_histories():
-        _im.IndexManager.instance().clearHistories()

quantlib/indexes/inflation/_euhicp.pxd

@@ -11,9 +11,7 @@ cdef extern from 'ql/indexes/inflation/euhicp.hpp' namespace 'QuantLib' nogil:
         EUHICPXT(const Handle[ZeroInflationTermStructure]& ts)
 
     cdef cppclass YYEUHICP(YoYInflationIndex):
-        YYEUHICP(bool interpolated,
-                 const Handle[YoYInflationTermStructure]& ts)
+        YYEUHICP(const Handle[YoYInflationTermStructure]& ts)
 
     cdef cppclass YYEUHICPXT(YoYInflationIndex):
-        YYEUHICPXT(bool interpolated,
-                   const Handle[YoYInflationTermStructure]& ts)
+        YYEUHICPXT(const Handle[YoYInflationTermStructure]& ts)

quantlib/indexes/inflation/euhicp.pyx

@@ -13,9 +13,9 @@ cdef class EUHICPXT(ZeroInflationIndex):
         self._thisptr.reset(new _euhicp.EUHICPXT(ts._handle))
 
 cdef class YYEUHICP(YoYInflationIndex):
-    def __init__(self, bool interpolated, YoYInflationTermStructure ts=YoYInflationTermStructure()):
-        self._thisptr.reset(new _euhicp.YYEUHICP(interpolated, ts._handle))
+    def __init__(self, YoYInflationTermStructure ts=YoYInflationTermStructure()):
+        self._thisptr.reset(new _euhicp.YYEUHICP(ts._handle))
 
 cdef class YYEUHICPXT(YoYInflationIndex):
-    def __init__(self, bool interpolated, YoYInflationTermStructure ts=YoYInflationTermStructure()):
-        self._thisptr.reset(new _euhicp.YYEUHICPXT(interpolated, ts._handle))
+    def __init__(self, YoYInflationTermStructure ts=YoYInflationTermStructure()):
+        self._thisptr.reset(new _euhicp.YYEUHICPXT(ts._handle))

quantlib/indexes/inflation_index.pyx

@@ -106,7 +106,7 @@ cdef class ZeroInflationIndex(InflationIndex):
 
 cdef class YoYInflationIndex(ZeroInflationIndex):
     def __init__(self, family_name, Region region, bool revised,
-                 bool ratio, Frequency frequency,
+                 Frequency frequency,
                  Period availability_lag, Currency currency,
                  YoYInflationTermStructure ts=YoYInflationTermStructure()):
 
@@ -115,6 +115,6 @@ cdef class YoYInflationIndex(ZeroInflationIndex):
         self._thisptr = shared_ptr[_in.Index](
             new _ii.YoYInflationIndex(
                 c_family_name, deref(region._thisptr), revised,
-                ratio, frequency,
+                frequency,
                 deref(availability_lag._thisptr),
                 deref(currency._thisptr), ts._handle))

quantlib/instruments/_swaption.pxd

@@ -29,4 +29,4 @@ cdef extern from 'ql/instruments/swaption.hpp' namespace 'QuantLib':
                                      VolatilityType type,# = ShiftedLognormal,
                                      Real displacement)# = 0.0)
         SwapType type() const
-        const shared_ptr[FixedVsFloatingSwap]& underlyingSwap()
+        const shared_ptr[FixedVsFloatingSwap]& underlying()

quantlib/instruments/swaption.pyx

@@ -71,9 +71,9 @@ cdef class Swaption(Option):
     def type(self):
         return <SwapType>(self.get_swaption().type())
 
-    def underlying_swap(self):
+    def underlying(self):
         cdef FixedVsFloatingSwap instance = FixedVsFloatingSwap.__new__(FixedVsFloatingSwap)
-        cdef shared_ptr[_fixedvsfloatingswap.FixedVsFloatingSwap] swap = self.get_swaption().underlyingSwap()
+        cdef shared_ptr[_fixedvsfloatingswap.FixedVsFloatingSwap] swap = self.get_swaption().underlying()
         instance._thisptr = static_pointer_cast[_instrument.Instrument](swap)
         return instance
 

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/calibration_helper.pyx

@@ -11,7 +11,7 @@ from quantlib.types cimport Real, Size, Volatility
 from quantlib.handle cimport shared_ptr
 
 from quantlib.pricingengines.engine cimport PricingEngine
-
+globals().update(getattr(CalibrationErrorType, "__members__"))
 
 cdef class BlackCalibrationHelper:
 

quantlib/models/shortrate/calibrationhelpers/_swaption_helper.pxd

@@ -38,7 +38,7 @@ cdef extern from 'ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp' nam
                        VolatilityType type, # = ShiftedLognormal,
                        Real shift # = 0.0
                        ) except +
-        shared_ptr[FixedVsFloatingSwap] underlyingSwap()
+        shared_ptr[FixedVsFloatingSwap] underlying()
         shared_ptr[Swaption] swaption()
 
     # this should really be a constructor but cython can't disambiguate the

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,
@@ -103,9 +102,9 @@ cdef class SwaptionHelper(BlackCalibrationHelper):
                 )
             )
 
-    def underlying_swap(self):
+    def underlying(self):
         cdef FixedVsFloatingSwap swap = FixedVsFloatingSwap.__new__(FixedVsFloatingSwap)
-        swap._thisptr = (<_sh.SwaptionHelper*>self._thisptr.get()).underlyingSwap()
+        swap._thisptr = (<_sh.SwaptionHelper*>self._thisptr.get()).underlying()
         return  swap
 
     def underlying_swaption(self):