py 3.12

quantmind · Jan 28, 2024 · efe9a17 · efe9a17
1 parent e01871e
commit efe9a17
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Showing 28 changed files with 1,628 additions and 1,559 deletions.
diff --git a/.github/workflows/build.yml b/.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

diff --git a/.gitignore b/.gitignore
@@ -27,6 +27,7 @@ dist
 .venv
 .mypy_cache
 .pytest_cache
+.python-version
 
 # Jupyter
 *.ipynb

diff --git a/LICENSE b/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:

diff --git a/dev/lint b/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
diff --git a/poetry.lock b/poetry.lock
diff --git a/pyproject.toml b/pyproject.toml
@@ -12,20 +12,20 @@ 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"
 
 [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 +53,7 @@ formats = "ipynb,myst"
 [tool.pytest.ini_options]
 asyncio_mode = "auto"
 testpaths = [
-    "tests"
+    "quantflow_tests"
 ]
 
 [tool.isort]
@@ -74,7 +74,7 @@ disallow_untyped_defs = true
 warn_no_return = true
 
 [[tool.mypy.overrides]]
-module = "tests.*"
+module = "quantflow_tests.*"
 disallow_untyped_defs = false
 
 [[tool.mypy.overrides]]

diff --git a/quantflow/__init__.py b/quantflow/__init__.py
@@ -1,2 +1,3 @@
 """Quantitative analysis and pricing"""
+
 __version__ = "0.2.4"
diff --git a/quantflow/options/surface.py b/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)

diff --git a/quantflow/sp/cir.py b/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(

diff --git a/quantflow/sp/copula.py b/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:

diff --git a/quantflow/sp/dsp.py b/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"
     )

diff --git a/quantflow/sp/heston.py b/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")
 

diff --git a/quantflow/sp/jump_diffusion.py b/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"
     )

diff --git a/tests/test_cir.py → quantflow_tests/test_cir.py b/tests/test_cir.py → quantflow_tests/test_cir.py
diff --git a/tests/test_copula.py → quantflow_tests/test_copula.py b/tests/test_copula.py → quantflow_tests/test_copula.py
diff --git a/tests/test_data.py → quantflow_tests/test_data.py b/tests/test_data.py → quantflow_tests/test_data.py
diff --git a/tests/test_distributions.py → quantflow_tests/test_distributions.py b/tests/test_distributions.py → quantflow_tests/test_distributions.py
diff --git a/tests/test_frft.py → quantflow_tests/test_frft.py b/tests/test_frft.py → quantflow_tests/test_frft.py
diff --git a/tests/test_heston.py → quantflow_tests/test_heston.py b/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

diff --git a/tests/test_jump_diffusion.py → quantflow_tests/test_jump_diffusion.py b/tests/test_jump_diffusion.py → quantflow_tests/test_jump_diffusion.py
diff --git a/tests/test_options.py → quantflow_tests/test_options.py b/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)))
 
 

diff --git a/tests/test_options_pricer.py → quantflow_tests/test_options_pricer.py b/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

diff --git a/tests/test_ou.py → quantflow_tests/test_ou.py b/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

diff --git a/tests/test_poisson.py → quantflow_tests/test_poisson.py b/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

diff --git a/tests/test_weiner.py → quantflow_tests/test_weiner.py b/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

diff --git a/tests/utils.py → quantflow_tests/utils.py b/tests/utils.py → quantflow_tests/utils.py
diff --git a/tests/volsurface.json → quantflow_tests/volsurface.json b/tests/volsurface.json → quantflow_tests/volsurface.json
diff --git a/tests/__init__.py b/tests/__init__.py