rename to DateGeneration

enthought · Nov 21, 2023 · 8b9d0ba · 8b9d0ba
1 parent a59ca89
commit 8b9d0ba
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Showing 30 changed files with 90 additions and 91 deletions.
diff --git a/quantlib/instruments/_bonds.pxd b/quantlib/instruments/_bonds.pxd
@@ -13,7 +13,7 @@ from quantlib.time._schedule cimport Schedule
 from quantlib._cashflow cimport Leg
 from quantlib.indexes._ibor_index cimport IborIndex
 from quantlib.indexes._inflation_index cimport ZeroInflationIndex
-from quantlib.time._schedule cimport Rule
+from quantlib.time._schedule cimport DateGeneration
 from quantlib._compounding cimport Compounding
 
 cdef extern from 'ql/instruments/bond.hpp' namespace 'QuantLib':
@@ -110,7 +110,7 @@ cdef extern from 'ql/instruments/bonds/floatingratebond.hpp' namespace 'QuantLib
                         Real redemption,
                         Date& issueDate,
                         Date& stubDate,
-                        Rule rule) except +
+                        DateGeneration rule) except +
 
 cdef extern from 'ql/cashflows/cpicoupon.hpp' namespace 'QuantLib::CPI':
     cdef enum InterpolationType:

diff --git a/quantlib/instruments/_credit_default_swap.pxd b/quantlib/instruments/_credit_default_swap.pxd
@@ -8,7 +8,7 @@ from quantlib._cashflow cimport CashFlow, Leg
 from quantlib.time._calendar cimport BusinessDayConvention
 from quantlib.time._date cimport Date, Period
 from quantlib.time._daycounter cimport DayCounter
-from quantlib.time._schedule cimport Schedule, Rule
+from quantlib.time._schedule cimport Schedule, DateGeneration
 
 cdef extern from 'ql/default.hpp' namespace 'QuantLib::Protection':
     enum Side:
@@ -95,4 +95,4 @@ cdef extern from 'ql/instruments/creditdefaultswap.hpp' namespace 'QuantLib':
                                Real accuracy, # = 1.0e-8
                                PricingModel model # = Midpoint
         ) except +
-    Date cdsMaturity(const Date& tradeDate, const Period& tenor, Rule rule) except +ValueError
+    Date cdsMaturity(const Date& tradeDate, const Period& tenor, DateGeneration rule) except +ValueError
diff --git a/quantlib/instruments/_make_cds.pxd b/quantlib/instruments/_make_cds.pxd
@@ -6,7 +6,7 @@ from quantlib.time._calendar cimport Calendar
 from quantlib.time._daycounter cimport DayCounter
 from quantlib.time._date cimport Date
 from quantlib.time._period cimport Period
-from quantlib.time._schedule cimport Rule
+from quantlib.time.dategeneration cimport DateGeneration
 from ._credit_default_swap cimport Side, CreditDefaultSwap
 
 cdef extern from 'ql/instruments/makecds.hpp' namespace 'QuantLib':
@@ -28,7 +28,7 @@ cdef extern from 'ql/instruments/makecds.hpp' namespace 'QuantLib':
         MakeCreditDefaultSwap& withCouponTenor(Period)
         MakeCreditDefaultSwap& withDayCounter(DayCounter&)
         MakeCreditDefaultSwap& withLastPeriodDayCounter(DayCounter&)
-        MakeCreditDefaultSwap& withDateGenerationRule(Rule rule)
+        MakeCreditDefaultSwap& withDateGenerationRule(DateGeneration rule)
         MakeCreditDefaultSwap& withCashSettlementDays(Natural cashSettlementDays)
 
         MakeCreditDefaultSwap& withPricingEngine(const shared_ptr[PricingEngine]&)

diff --git a/quantlib/instruments/_make_cms.pxd b/quantlib/instruments/_make_cms.pxd
@@ -10,7 +10,7 @@ from quantlib.time._calendar cimport Calendar
 from quantlib.time._daycounter cimport DayCounter
 from quantlib.time._date cimport Date
 from quantlib.time._period cimport Period
-from quantlib.time._schedule cimport Rule
+from quantlib.time.dategeneration cimport DateGeneration
 from quantlib.handle cimport Handle
 from quantlib.termstructures._yield_term_structure cimport YieldTermStructure
 
@@ -34,7 +34,7 @@ cdef extern from 'ql/instruments/makecms.hpp' namespace 'QuantLib':
         MakeCms& withCmsLegCalendar(const Calendar& cal)
         MakeCms& withCmsLegConvention(BusinessDayConvention bdc)
         MakeCms& withCmsLegTerminationDateConvention(BusinessDayConvention)
-        MakeCms& withCmsLegRule(Rule r)
+        MakeCms& withCmsLegRule(DateGeneration r)
         MakeCms& withCmsLegEndOfMonth(bool flag = True)
         MakeCms& withCmsLegFirstDate(const Date& d)
         MakeCms& withCmsLegNextToLastDate(const Date& d)
@@ -45,7 +45,7 @@ cdef extern from 'ql/instruments/makecms.hpp' namespace 'QuantLib':
         MakeCms& withFloatingLegConvention(BusinessDayConvention bdc)
         MakeCms& withFloatingLegTerminationDateConvention(
                                                     BusinessDayConvention bdc)
-        MakeCms& withFloatingLegRule(Rule r)
+        MakeCms& withFloatingLegRule(DateGeneration r)
         MakeCms& withFloatingLegEndOfMonth(bool flag = True)
         MakeCms& withFloatingLegFirstDate(const Date& d)
         MakeCms& withFloatingLegNextToLastDate(const Date& d)

diff --git a/quantlib/instruments/_make_ois.pxd b/quantlib/instruments/_make_ois.pxd
@@ -2,7 +2,7 @@ from quantlib.types cimport Natural, Real, Rate, Spread
 from quantlib.handle cimport shared_ptr, Handle
 from libcpp cimport bool
 from quantlib.time.businessdayconvention cimport BusinessDayConvention
-from quantlib.time._schedule cimport Rule
+from quantlib.time._schedule cimport DateGeneration
 from quantlib.time._date cimport Date
 from quantlib.time._period cimport Period, Frequency
 from quantlib.time._daycounter cimport DayCounter
@@ -30,7 +30,7 @@ cdef extern from 'ql/instruments/makeois.hpp' namespace 'QuantLib':
         MakeOIS& withSettlementDays(Natural settlementDays)
         MakeOIS& withEffectiveDate(const Date&)
         MakeOIS& withTerminationDate(const Date&)
-        MakeOIS& withRule(Rule r)
+        MakeOIS& withRule(DateGeneration r)
 
         MakeOIS& withPaymentFrequency(Frequency f)
         MakeOIS& withPaymentAdjustment(BusinessDayConvention convention)

diff --git a/quantlib/instruments/_make_vanilla_swap.pxd b/quantlib/instruments/_make_vanilla_swap.pxd
@@ -6,7 +6,7 @@ from quantlib.time._date cimport Date
 from quantlib.time._period cimport Period
 from quantlib.time._calendar cimport Calendar
 from quantlib.time.businessdayconvention cimport BusinessDayConvention
-from quantlib.time._schedule cimport Rule
+from quantlib.time._schedule cimport DateGeneration
 from quantlib.time._daycounter cimport DayCounter
 from quantlib.indexes._ibor_index cimport IborIndex
 from quantlib.instruments._vanillaswap cimport VanillaSwap
@@ -30,14 +30,14 @@ cdef extern from 'ql/instruments/makevanillaswap.hpp' namespace 'QuantLib':
         MakeVanillaSwap& withSettlementDays(Natural settlementDays)
         MakeVanillaSwap& withEffectiveDate(const Date&)
         MakeVanillaSwap& withTerminationDate(const Date&)
-        MakeVanillaSwap& withRule(Rule r)
+        MakeVanillaSwap& withRule(DateGeneration r)
 
         MakeVanillaSwap& withFixedLegTenor(const Period& t)
         MakeVanillaSwap& withFixedLegCalendar(const Calendar& cal)
         MakeVanillaSwap& withFixedLegConvention(BusinessDayConvention bdc)
         MakeVanillaSwap& withFixedLegTerminationDateConvention(
                                                    BusinessDayConvention bdc)
-        MakeVanillaSwap& withFixedLegRule(Rule r)
+        MakeVanillaSwap& withFixedLegRule(DateGeneration r)
         MakeVanillaSwap& withFixedLegEndOfMonth(bool flag) # = true)
         MakeVanillaSwap& withFixedLegFirstDate(const Date& d)
         MakeVanillaSwap& withFixedLegNextToLastDate(const Date& d)
@@ -48,7 +48,7 @@ cdef extern from 'ql/instruments/makevanillaswap.hpp' namespace 'QuantLib':
         MakeVanillaSwap& withFloatingLegConvention(BusinessDayConvention bdc)
         MakeVanillaSwap& withFloatingLegTerminationDateConvention(
                                                    BusinessDayConvention bdc)
-        MakeVanillaSwap& withFloatingLegRule(Rule r)
+        MakeVanillaSwap& withFloatingLegRule(DateGeneration r)
         MakeVanillaSwap& withFloatingLegEndOfMonth(bool flag)# = true)
         MakeVanillaSwap& withFloatingLegFirstDate(const Date& d)
         MakeVanillaSwap& withFloatingLegNextToLastDate(const Date& d)

diff --git a/quantlib/instruments/credit_default_swap.pyx b/quantlib/instruments/credit_default_swap.pyx
@@ -17,7 +17,7 @@ cimport quantlib.instruments._credit_default_swap as _cds
 cimport quantlib._instrument as _instrument
 cimport quantlib.pricingengines._pricing_engine as _pe
 cimport quantlib.time._calendar as _calendar
-cimport quantlib.time._schedule as _schedule
+from quantlib.time.dategeneration cimport DateGeneration
 
 from quantlib.termstructures.yield_term_structure cimport YieldTermStructure
 from quantlib.pricingengines.engine cimport PricingEngine
@@ -328,14 +328,14 @@ cdef class CreditDefaultSwap(Instrument):
                                                 <_cds.PricingModel>model)
 
 
-def cds_maturity(Date trade_date, Period tenor, _schedule.Rule rule):
+def cds_maturity(Date trade_date, Period tenor, DateGeneration rule):
     """Computes a CDS maturity date.
 
     Parameters
     ----------
     trade_date : Date
     tenor : Period
-    rule : Rule
+    rule : DateGeneration
 
     Returns
     -------

diff --git a/quantlib/instruments/make_cds.pyx b/quantlib/instruments/make_cds.pyx
@@ -5,7 +5,7 @@ from quantlib.handle cimport static_pointer_cast, shared_ptr
 from quantlib.time.date cimport Date, Period
 from quantlib.time.daycounter cimport DayCounter
 from quantlib.time._date cimport Date as QlDate, Period as QlPeriod
-from quantlib.time._schedule cimport Rule
+from quantlib.time.dategeneration cimport DateGeneration
 from quantlib.pricingengines.engine cimport PricingEngine
 from . cimport _credit_default_swap as _cds
 from .. cimport _instrument as _in
@@ -51,7 +51,7 @@ cdef class MakeCreditDefaultSwap:
         self._thisptr.withLastPeriodDayCounter(deref(dc._thisptr))
         return self
 
-    def with_date_generation_rule(self, Rule rule):
+    def with_date_generation_rule(self, DateGeneration rule):
         self._thisptr.withDateGenerationRule(rule)
         return self
 

diff --git a/quantlib/instruments/make_ois.pyx b/quantlib/instruments/make_ois.pyx
@@ -9,7 +9,7 @@ from quantlib.time._period cimport Days, Frequency
 from quantlib.time.businessdayconvention cimport BusinessDayConvention
 from quantlib.time.calendar cimport Calendar
 from quantlib.time.daycounter cimport DayCounter
-from quantlib.time._schedule cimport Rule
+from quantlib.time.dategeneration cimport DateGeneration
 from quantlib.termstructures.yield_term_structure cimport YieldTermStructure
 from quantlib.pricingengines.engine cimport PricingEngine
 cimport quantlib.indexes._ibor_index as _ii
@@ -65,7 +65,7 @@ cdef class MakeOIS:
         self._thisptr.withTerminationDate(deref(d._thisptr))
         return self
 
-    def with_rule(self, Rule r):
+    def with_rule(self, DateGeneration r):
         self._thisptr.withRule(r)
         return self
 

diff --git a/quantlib/instruments/make_vanilla_swap.pyx b/quantlib/instruments/make_vanilla_swap.pyx
@@ -8,7 +8,7 @@ from quantlib.time.date cimport Period, Date
 from quantlib.time.businessdayconvention cimport BusinessDayConvention
 from quantlib.time.daycounter cimport DayCounter
 from quantlib.time._period cimport Days
-from quantlib.time._schedule cimport Rule
+from quantlib.time.dategeneration cimport DateGeneration
 from quantlib.termstructures.yield_term_structure cimport YieldTermStructure
 from quantlib.pricingengines.engine cimport PricingEngine
 cimport quantlib.indexes._ibor_index as _ii
@@ -62,7 +62,7 @@ cdef class MakeVanillaSwap:
         self._thisptr.withTerminationDate(deref(termination_date._thisptr))
         return self
 
-    def with_rule(self, Rule rule):
+    def with_rule(self, DateGeneration rule):
         self._thisptr.withRule(rule)
         return self
 

diff --git a/quantlib/market/market.py b/quantlib/market/market.py
@@ -13,7 +13,7 @@
 from quantlib.time.api import (
     Date, Period, Years, Days, JointCalendar, UnitedStates, UnitedKingdom,
     pydate_from_qldate, qldate_from_pydate, DayCounter,
-    BusinessDayConvention, Rule, Following, calendar_from_name,
+    BusinessDayConvention, DateGeneration, Following, calendar_from_name,
     Schedule, Frequency
 
 )
@@ -121,7 +121,7 @@ def make_eurobond_helper(
         index.fixing_calendar,
         index.business_day_convention,
         index.business_day_convention,
-        Rule.Backward,  # Date generation rule
+        DateGeneration.Backward,  # Date generation rule
         index.end_of_month,
         )
 
@@ -374,13 +374,13 @@ def create_fixed_float_swap(self, settlement_date, length, fixed_rate,
         fixed_schedule = Schedule.from_rule(settlement_date, maturity,
                                   fixed_frequency, calendar,
                                   fixed_convention, fixed_convention,
-                                  Rule.Forward, False)
+                                  DateGeneration.Forward, False)
 
         float_schedule = Schedule.from_rule(settlement_date, maturity,
                                   floating_frequency,
                                   calendar, floating_convention,
                                   floating_convention,
-                                  Rule.Forward, False)
+                                  DateGeneration.Forward, False)
 
         swap = VanillaSwap(swap_type, nominal, fixed_schedule, fixed_rate,
                            fixed_daycount, float_schedule, index,

diff --git a/quantlib/mlab/fixed_income.py b/quantlib/mlab/fixed_income.py
@@ -24,7 +24,7 @@
     Date, Days, Period, Years, str_to_frequency)
 
 from quantlib.time.schedule import Schedule
-from quantlib.time.dategeneration import Rule
+from quantlib.time.dategeneration import DateGeneration
 from quantlib.settings import Settings
 from quantlib.termstructures.yields.api import (
     FlatForward, YieldTermStructure
@@ -119,7 +119,7 @@ def _bndprice(bond_yield, coupon_rate, pricing_date, maturity_date,
         calendar,
         ModifiedFollowing,
         ModifiedFollowing,
-        Rule.Backward
+        DateGeneration.Backward
     )
 
     issue_date = effective_date
@@ -229,7 +229,7 @@ def _cfamounts(coupon_rate, pricing_date, maturity_date,
         calendar,
         ModifiedFollowing,
         ModifiedFollowing,
-        Rule.Backward
+        DateGeneration.Backward
     )
 
     issue_date = effective_date

diff --git a/quantlib/termstructures/credit/_credit_helpers.pxd b/quantlib/termstructures/credit/_credit_helpers.pxd
@@ -18,7 +18,7 @@ from quantlib.time._date cimport Date
 from quantlib.time._daycounter cimport DayCounter
 from quantlib.time._period cimport Period, Frequency
 from quantlib.termstructures.yields._flat_forward cimport YieldTermStructure
-from quantlib.time._schedule cimport Rule
+from quantlib.time._schedule cimport DateGeneration
 
 from quantlib.termstructures._default_term_structure cimport DefaultProbabilityTermStructure
 from quantlib.termstructures._helpers cimport BootstrapHelper, \
@@ -38,7 +38,7 @@ cdef extern from 'ql/termstructures/credit/defaultprobabilityhelpers.hpp' namesp
                   Calendar& calendar,
                   Frequency frequency,
                   BusinessDayConvention paymentConvention,
-                  Rule rule,
+                  DateGeneration rule,
                   DayCounter& dayCounter,
                   Real recoveryRate,
                   Handle[YieldTermStructure]& discountCurve,
@@ -57,7 +57,7 @@ cdef extern from 'ql/termstructures/credit/defaultprobabilityhelpers.hpp' namesp
                         const Calendar& calendar,
                         Frequency frequency,
                         BusinessDayConvention paymentConvention,
-                        Rule rule,
+                        DateGeneration rule,
                         const DayCounter& dayCounter,
                         Real recoveryRate,
                         const Handle[YieldTermStructure]& discountCurve,
@@ -74,7 +74,7 @@ cdef extern from 'ql/termstructures/credit/defaultprobabilityhelpers.hpp' namesp
                         const Calendar& calendar,
                         Frequency frequency,
                         BusinessDayConvention paymentConvention,
-                        Rule rule,
+                        DateGeneration rule,
                         const DayCounter& dayCounter,
                         Real recoveryRate,
                         const Handle[YieldTermStructure]& discountCurve,
@@ -93,7 +93,7 @@ cdef extern from 'ql/termstructures/credit/defaultprobabilityhelpers.hpp' namesp
                          const Calendar& calendar,
                          Frequency frequency,
                          BusinessDayConvention paymentConvention,
-                         Rule rule,
+                         DateGeneration rule,
                          const DayCounter& dayCounter,
                          Real recoveryRate,
                          const Handle[YieldTermStructure]& discountCurve,
@@ -112,7 +112,7 @@ cdef extern from 'ql/termstructures/credit/defaultprobabilityhelpers.hpp' namesp
                          const Calendar& calendar,
                          Frequency frequency,
                          BusinessDayConvention paymentConvention,
-                         Rule rule,
+                         DateGeneration rule,
                          const DayCounter& dayCounter,
                          Real recoveryRate,
                          const Handle[YieldTermStructure]& discountCurve,

diff --git a/quantlib/termstructures/credit/default_probability_helpers.pyx b/quantlib/termstructures/credit/default_probability_helpers.pyx
@@ -16,7 +16,7 @@ from quantlib.handle cimport shared_ptr, static_pointer_cast
 cimport quantlib.termstructures.credit._credit_helpers as _ci
 cimport quantlib.termstructures._yield_term_structure as _yts
 from quantlib.time._period cimport Frequency
-from quantlib.time._schedule cimport Rule
+from quantlib.time.dategeneration cimport DateGeneration
 from quantlib.time._calendar cimport BusinessDayConvention
 
 
@@ -112,7 +112,7 @@ cdef class SpreadCdsHelper(CdsHelper):
 
     def __init__(self, running_spread, Period tenor, Integer settlement_days,
                  Calendar calendar not None, int frequency,
-                 int paymentConvention, Rule date_generation_rule,
+                 int paymentConvention, DateGeneration date_generation_rule,
                  DayCounter daycounter, Real recovery_rate,
                  YieldTermStructure discount_curve=YieldTermStructure(),
                  bool settles_accrual=True,
@@ -145,7 +145,7 @@ cdef class SpreadCdsHelper(CdsHelper):
                     (<Quote>running_spread).handle(), deref(tenor._thisptr),
                     settlement_days, deref(calendar._thisptr),
                     <Frequency>frequency,
-                    <BusinessDayConvention>paymentConvention, <Rule>date_generation_rule,
+                    <BusinessDayConvention>paymentConvention, date_generation_rule,
                     deref(daycounter._thisptr),
                     recovery_rate, discount_curve._thisptr, settles_accrual,
                     pays_at_default_time,
@@ -162,7 +162,7 @@ cdef class UpfrontCdsHelper(CdsHelper):
 
     def __init__(self, upfront, Rate running_spread, Period tenor not None,
                  Integer settlement_days, Calendar calendar not None, int frequency,
-                 int paymentConvention, Rule date_generation_rule,
+                 int paymentConvention, DateGeneration rule,
                  DayCounter daycounter not None, Real recovery_rate,
                  YieldTermStructure discount_curve=YieldTermStructure(),
                  Natural upfront_settlement_days=3,
@@ -179,7 +179,7 @@ cdef class UpfrontCdsHelper(CdsHelper):
                 new _ci.UpfrontCdsHelper(
                     <Rate>upfront, running_spread, deref(tenor._thisptr.get()),
                     settlement_days, deref(calendar._thisptr), <Frequency>frequency,
-                    <BusinessDayConvention>paymentConvention, <Rule>date_generation_rule,
+                    <BusinessDayConvention>paymentConvention, rule,
                     deref(daycounter._thisptr),
                     recovery_rate, discount_curve._thisptr, upfront_settlement_days, settles_accrual,
                     pays_at_default_time,
@@ -193,7 +193,7 @@ cdef class UpfrontCdsHelper(CdsHelper):
                 new _ci.UpfrontCdsHelper(
                     (<Quote>upfront).handle(), running_spread, deref(tenor._thisptr),
                     settlement_days, deref(calendar._thisptr), <Frequency>frequency,
-                    <BusinessDayConvention>paymentConvention, date_generation_rule,
+                    <BusinessDayConvention>paymentConvention, rule,
                     deref(daycounter._thisptr),
                     recovery_rate, discount_curve._thisptr, upfront_settlement_days, settles_accrual,
                     pays_at_default_time,