py 3.12

.github/workflows/build.yml

@@ -16,7 +16,7 @@ jobs:
       FMP_API_KEY: ${{ secrets.FMP_API_KEY }}
     strategy:
       matrix:
-        python-version: ["3.10", "3.11"]
+        python-version: ["3.10", "3.11", "3.12"]
 
     steps:
       - uses: actions/checkout@v3

.gitignore

@@ -27,6 +27,7 @@ dist
 .venv
 .mypy_cache
 .pytest_cache
+.python-version
 
 # Jupyter
 *.ipynb

LICENSE

@@ -1,4 +1,4 @@
-Copyright (c) 2023 Quantmind
+Copyright (c) 2024 Quantmind
 
 Redistribution and use in source and binary forms, with or without modification,
 are permitted provided that the following conditions are met:

dev/lint

@@ -9,6 +9,11 @@ if [ "$1" = "fix" ] ; then
     RUFF_ARG="--fix"
 fi
 
-black quantflow tests ${BLACK_ARG}
-ruff quantflow tests ${RUFF_ARG}
-mypy quantflow tests
+echo black
+black quantflow quantflow_tests ${BLACK_ARG}
+echo ruff
+ruff quantflow quantflow_tests ${RUFF_ARG}
+echo mypy
+mypy quantflow
+echo mypy tests
+mypy quantflow_tests --explicit-package-bases

pyproject.toml

@@ -12,20 +12,21 @@ Repository = "https://github.com/quantmind/quantflow"
 Documentation = "https://quantmind.github.io/quantflow/"
 
 [tool.poetry.dependencies]
-python = ">=3.10,<3.12"
+python = ">=3.10,<3.13"
 numpy = "^1.22.3"
 scipy = "^1.10.1"
 pandas = "^2.0.1"
 aiohttp = {version = "^3.8.1", optional = true}
 pydantic = "^2.0.2"
+pyarrow = "^15.0.0"
 
 [tool.poetry.group.dev.dependencies]
-black = "^23.3.0"
+black = "^24.1.1"
 pytest-cov = "^4.0.0"
 mypy = "^1.4.0"
 ghp-import = "^2.0.2"
-ruff = "^0.0.285"
-pytest-asyncio = "^0.21.1"
+ruff = "^0.1.14"
+pytest-asyncio = "^0.23.3"
 
 
 [tool.poetry.extras]
@@ -53,7 +54,10 @@ formats = "ipynb,myst"
 [tool.pytest.ini_options]
 asyncio_mode = "auto"
 testpaths = [
-    "tests"
+    "quantflow_tests"
+]
+filterwarnings = [
+    "ignore::DeprecationWarning:dateutil.*:"
 ]
 
 [tool.isort]
@@ -74,7 +78,7 @@ disallow_untyped_defs = true
 warn_no_return = true
 
 [[tool.mypy.overrides]]
-module = "tests.*"
+module = "quantflow_tests.*"
 disallow_untyped_defs = false
 
 [[tool.mypy.overrides]]

quantflow/__init__.py

@@ -1,2 +1,3 @@
 """Quantitative analysis and pricing"""
-__version__ = "0.2.4"
+
+__version__ = "0.2.5"

quantflow/options/surface.py

@@ -30,8 +30,7 @@
 
 
 class VolSurfaceSecurity(Protocol):
-    def vol_surface_type(self) -> VolSecurityType:
-        ...
+    def vol_surface_type(self) -> VolSecurityType: ...
 
 
 S = TypeVar("S", bound=VolSurfaceSecurity)

quantflow/sp/cir.py

@@ -37,6 +37,7 @@ class CIR(IntensityProcess):
     :param sigma: Volatility parameter :math:`\sigma`
     :param theta: Long term mean rate :math:`\theta`
     """
+
     sigma: float = Field(default=1.0, gt=0, description="Volatility")
     theta: float = Field(default=1.0, gt=0, description="Mean rate")
     sample_algo: SamplingAlgorithm = Field(

quantflow/sp/copula.py

@@ -73,6 +73,7 @@ class FrankCopula(Copula):
         u\right)-1\right)\left(\exp\left(-\kappa
         v\right)-1\right)}{\exp\left(-\kappa\right)-1}\right]
     """
+
     kappa: Decimal = Field(default=ZERO, description="Frank copula parameter")
 
     def __call__(self, u: FloatArrayLike, v: FloatArrayLike) -> FloatArrayLike:

quantflow/sp/dsp.py

@@ -19,6 +19,7 @@ class DSP(PoissonBase):
 
     :param intensity: the stochastic intensity of the Poisson
     """
+
     intensity: IntensityProcess = Field(  # type ignore
         default_factory=CIR, description="intensity process"
     )

quantflow/sp/heston.py

@@ -24,6 +24,7 @@ class Heston(StochasticProcess1D):
         d v_t = (a - \kappa v_t) dt + \nu \sqrt{v_t} dw^2_t
         \rho dt = \E[dw^1 dw^2]
     """
+
     variance_process: CIR = Field(default_factory=CIR, description="Variance process")
     rho: float = Field(default=0, ge=-1, le=1, description="Correlation")
 

quantflow/sp/jump_diffusion.py

@@ -22,6 +22,7 @@ class JumpDiffusion(StochasticProcess1D, Generic[D]):
         where N_t is a compound poisson process with intensity \lambda
         and jump distribution D
     """
+
     diffusion: WeinerProcess = Field(
         default_factory=WeinerProcess, description="diffusion"
     )

quantflow/sp/poisson.py

@@ -200,7 +200,7 @@ def cdf_from_characteristic(
             )
             f[0] = c[0].real  # type: ignore[index]
             if simpson_rule:
-                result.append(a * simpson(f, frequency))
+                result.append(a * simpson(f, x=frequency))
             else:
                 result.append(a * np.trapz(f, frequency))
         pdf = np.maximum(np.diff(result, prepend=0), 0)

quantflow/utils/dates.py

@@ -2,7 +2,7 @@
 
 
 def utcnow() -> datetime:
-    return datetime.utcnow().replace(tzinfo=timezone.utc)
+    return datetime.now(timezone.utc)
 
 
 def isoformat(date: str | date) -> str:

quantflow/utils/paths.py

@@ -6,7 +6,7 @@
 import pandas as pd
 from numpy.random import normal
 from pydantic import BaseModel, Field
-from scipy.integrate import cumtrapz
+from scipy.integrate import cumulative_trapezoid
 
 from . import plot
 from .bins import pdf as bins_pdf
@@ -68,7 +68,8 @@ def var(self) -> FloatArray:
     def integrate(self) -> Paths:
         """Integrate paths"""
         return self.__class__(
-            t=self.t, data=cumtrapz(self.data, dx=self.dt, axis=0, initial=0)
+            t=self.t,
+            data=cumulative_trapezoid(self.data, dx=self.dt, axis=0, initial=0),
         )
 
     def cross_section(self, t: float | None = None) -> FloatArray:

tests/test_heston.py → quantflow_tests/test_heston.py

@@ -1,7 +1,7 @@
 import pytest
 
 from quantflow.sp.heston import Heston, HestonJ
-from tests.utils import characteristic_tests
+from quantflow_tests.utils import characteristic_tests
 
 
 @pytest.fixture

tests/test_options.py → quantflow_tests/test_options.py

@@ -14,7 +14,7 @@
     surface_from_inputs,
 )
 from quantflow.sp.heston import Heston
-from tests.utils import has_plotly
+from quantflow_tests.utils import has_plotly
 
 a = np.asarray
 CROSS_SECTIONS = 8
@@ -27,7 +27,7 @@ def heston() -> OptionPricer[Heston]:
 
 @pytest.fixture
 def vol_surface() -> VolSurface:
-    with open("tests/volsurface.json") as fp:
+    with open("quantflow_tests/volsurface.json") as fp:
         return surface_from_inputs(VolSurfaceInputs(**json.load(fp)))
 
 

tests/test_options_pricer.py → quantflow_tests/test_options_pricer.py

@@ -2,7 +2,7 @@
 
 from quantflow.options.pricer import OptionPricer
 from quantflow.sp.heston import HestonJ
-from tests.utils import has_plotly
+from quantflow_tests.utils import has_plotly
 
 
 @pytest.fixture

tests/test_ou.py → quantflow_tests/test_ou.py

@@ -2,7 +2,7 @@
 
 from quantflow.sp.bns import BNS
 from quantflow.sp.ou import GammaOU, Vasicek
-from tests.utils import characteristic_tests, analytical_tests
+from quantflow_tests.utils import characteristic_tests, analytical_tests
 
 
 @pytest.fixture

tests/test_poisson.py → quantflow_tests/test_poisson.py

@@ -6,7 +6,7 @@
 from quantflow.sp.dsp import DSP
 from quantflow.sp.poisson import CompoundPoissonProcess, PoissonProcess
 from quantflow.utils.distributions import Exponential
-from tests.utils import analytical_tests, characteristic_tests
+from quantflow_tests.utils import analytical_tests, characteristic_tests
 
 
 @pytest.fixture

tests/test_weiner.py → quantflow_tests/test_weiner.py

@@ -3,7 +3,7 @@
 
 from quantflow.sp.weiner import WeinerProcess
 from quantflow.utils.paths import Paths
-from tests.utils import characteristic_tests
+from quantflow_tests.utils import characteristic_tests
 
 
 @pytest.fixture