clean up frequency

enthought · Feb 19, 2024 · cdded9f · cdded9f
1 parent 69b658b
commit cdded9f
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Showing 15 changed files with 87 additions and 93 deletions.
diff --git a/quantlib/indexes/inflation/ukrpi.pyx b/quantlib/indexes/inflation/ukrpi.pyx
@@ -3,8 +3,8 @@ from libcpp cimport bool
 from quantlib.currency.api import GBPCurrency
 from quantlib.indexes.regions import UKRegion
 from quantlib.time.date cimport Period
-from quantlib.time.date import Monthly, Months
-
+from quantlib.time.date import Months
+from quantlib.time.frequency cimport Monthly
 from quantlib.indexes.inflation_index cimport ZeroInflationIndex
 from quantlib.termstructures.inflation_term_structure \
     cimport ZeroInflationTermStructure

diff --git a/quantlib/indexes/inflation_index.pyx b/quantlib/indexes/inflation_index.pyx
@@ -17,7 +17,7 @@ from libcpp.string cimport string
 
 from quantlib.index cimport Index
 from quantlib.time.date cimport Period, period_from_qlperiod
-from quantlib.time._period cimport Frequency
+from quantlib.time.frequency cimport Frequency
 from quantlib.indexes.region cimport Region
 
 from quantlib.currency.currency cimport Currency

diff --git a/quantlib/mlab/fixed_income.py b/quantlib/mlab/fixed_income.py
@@ -21,7 +21,7 @@
 from quantlib.time.calendars.null_calendar import NullCalendar
 from quantlib.time.calendars.target import TARGET
 from quantlib.time.date import (
-    Date, Days, Period, Years, str_to_frequency)
+    Date, Days, Period, Years)
 
 from quantlib.time.schedule import Schedule
 from quantlib.time.dategeneration import DateGeneration
@@ -88,8 +88,6 @@ def _bndprice(bond_yield, coupon_rate, pricing_date, maturity_date,
     Clean price and accrued interest of a bond
     """
 
-    _period = str_to_frequency(period)
-
     evaluation_date = pydate_to_qldate(pricing_date)
 
     settings = Settings()
@@ -115,7 +113,7 @@ def _bndprice(bond_yield, coupon_rate, pricing_date, maturity_date,
     fixed_bond_schedule = Schedule.from_rule(
         effective_date,
         termination_date,
-        Period(_period),
+        Period(period),
         calendar,
         ModifiedFollowing,
         ModifiedFollowing,
@@ -147,7 +145,7 @@ def _bndprice(bond_yield, coupon_rate, pricing_date, maturity_date,
         calendar=NullCalendar(),
         daycounter=cnt_yield,
         compounding=Compounded,
-        frequency=_period)
+        frequency=period)
 
     discounting_term_structure.link_to(flat_term_structure)
 
@@ -201,8 +199,6 @@ def _cfamounts(coupon_rate, pricing_date, maturity_date,
     cash flow schedule
     """
 
-    _period = str_to_frequency(period)
-
     evaluation_date = pydate_to_qldate(pricing_date)
 
     settings = Settings()
@@ -225,7 +221,7 @@ def _cfamounts(coupon_rate, pricing_date, maturity_date,
     fixed_bond_schedule = Schedule.from_rule(
         effective_date,
         termination_date,
-        Period(_period),
+        Period(period),
         calendar,
         ModifiedFollowing,
         ModifiedFollowing,

diff --git a/quantlib/termstructures/yield_term_structure.pyx b/quantlib/termstructures/yield_term_structure.pyx
@@ -4,13 +4,12 @@ from cython.operator cimport dereference as deref
 from libcpp cimport bool
 from libcpp.vector cimport vector
 
-from quantlib.time._period cimport Frequency
+from quantlib.time.frequency cimport Frequency, Annual
 from quantlib.time.calendar cimport Calendar
 from quantlib.time.daycounter cimport DayCounter
 from quantlib.time.date cimport Date, date_from_qldate, Period
 
 from quantlib.compounding cimport Compounding
-from quantlib.time.date import Annual
 
 cimport quantlib.termstructures._yield_term_structure as _yts
 cimport quantlib._quote as _qt
@@ -56,7 +55,7 @@ cdef class YieldTermStructure(Observable):
                 self.as_ptr().disableExtrapolation()
 
     def zero_rate(self, d, DayCounter day_counter=None,
-                  Compounding compounding=Compounding.Continuous, int frequency=Annual,
+                  Compounding compounding=Compounding.Continuous, Frequency frequency=Annual,
                   bool extrapolate=False):
         """ Returns the implied zero-yield rate for the given date.
 

diff --git a/quantlib/termstructures/yields/flat_forward.pyx b/quantlib/termstructures/yields/flat_forward.pyx
@@ -9,13 +9,12 @@
 include '../../types.pxi'
 from cython.operator cimport dereference as deref
 
-from quantlib.time._period cimport Frequency
+from quantlib.time.frequency cimport Frequency, Annual
 from quantlib.time.calendar cimport Calendar
 from quantlib.time.daycounter cimport DayCounter
 from quantlib.time.date cimport Date, date_from_qldate
 
 from quantlib.compounding cimport Compounding
-from quantlib.time.date import Annual
 
 from quantlib.handle cimport shared_ptr, RelinkableHandle, Handle
 from . cimport _flat_forward as ffwd
@@ -52,7 +51,7 @@ cdef class FlatForward(YieldTermStructure):
                  DayCounter daycounter=None,
                  int settlement_days=0, Calendar calendar=None,
                  Compounding compounding=Compounding.Continuous,
-                 frequency=Annual):
+                 Frequency frequency=Annual):
 
         #local cdef's
         cdef shared_ptr[ffwd.YieldTermStructure] _forward
@@ -70,15 +69,15 @@ cdef class FlatForward(YieldTermStructure):
                     (<Quote>forward).handle(),
                     deref(daycounter._thisptr),
                     compounding,
-                    <Frequency>frequency
+                    frequency
                 ))
             else:
                 _forward = shared_ptr[ffwd.YieldTermStructure](new ffwd.FlatForward(
                         deref(reference_date._thisptr),
                         <ffwd.Rate>forward,
                         deref(daycounter._thisptr),
                         compounding,
-                        <Frequency>frequency
+                        frequency
                 ))
         elif settlement_days is not None and \
             calendar is not None:
@@ -90,7 +89,7 @@ cdef class FlatForward(YieldTermStructure):
                         (<Quote>forward).handle(),
                         deref(daycounter._thisptr),
                         compounding,
-                        <Frequency>frequency
+                        frequency
                 ))
             else:
                 _forward = shared_ptr[ffwd.YieldTermStructure](new ffwd.FlatForward(
@@ -99,7 +98,7 @@ cdef class FlatForward(YieldTermStructure):
                         <Real>forward,
                         deref(daycounter._thisptr),
                         compounding,
-                        <Frequency>frequency
+                        frequency
                 ))
         else:
             raise ValueError('Invalid constructor')

diff --git a/quantlib/time/api.py b/quantlib/time/api.py
@@ -33,16 +33,16 @@
 
 
 from .date import (
-    Date, Months, Period, today, Years, Days, Annual, Semiannual, Weeks,
-    Quarterly, Frequency,
+    Date, Months, Period, today, Years, Days, Weeks,
     January, February, March, April, May, June, July, August,
     September, November, December,
     Jan, Feb, Mar, Apr, Jun, Jul, Aug, Sep, Oct, Nov, Dec,
-    Daily, Monthly, Annual, NoFrequency, Once,
     pydate_from_qldate, qldate_from_pydate,
     local_date_time, universal_date_time
 
 )
-
+from .frequency import (
+    Frequency, Daily, Monthly, Quarterly, Semiannual, Annual, NoFrequency, Once
+)
 from .schedule import Schedule
 from .dategeneration import DateGeneration
diff --git a/quantlib/time/date.pyx b/quantlib/time/date.pyx
@@ -62,30 +62,6 @@ cpdef enum Weekday:
     Fri = _date.Fri
     Sat = _date.Sat
 
-cpdef enum Frequency:
-    NoFrequency      = frequency.NoFrequency # null frequency
-    Once             = frequency.Once  # only once, e.g., a zero-coupon
-    Annual           = frequency.Annual  # once a year
-    Semiannual       = frequency.Semiannual  # twice a year
-    EveryFourthMonth = frequency.EveryFourthMonth  # every fourth month
-    Quarterly        = frequency.Quarterly  # every third month
-    Bimonthly        = frequency.Bimonthly  # every second month
-    Monthly          = frequency.Monthly # once a month
-    EveryFourthWeek  = frequency.EveryFourthWeek # every fourth week
-    Biweekly         = frequency.Biweekly # every second week
-    Weekly           = frequency.Weekly # once a week
-    Daily            = frequency.Daily # once a day
-    OtherFrequency   = frequency.OtherFrequency # some other unknown frequency
-
-def frequency_to_str(Frequency f):
-    """ Converts a PyQL Frequency to a human readable string. """
-    cdef frequency.stringstream ss
-    ss << <frequency.Frequency>f
-    return ss.str().decode()
-
-def str_to_frequency(str name):
-    """ Converts a string to a PyQL Frequency. """
-    return Frequency[name]
 
 class TimeUnit(IntEnum):
     Days         = _period.Days #: Days = 0
@@ -141,7 +117,7 @@ cdef class Period:
 
     property frequency:
         def __get__(self):
-            return Frequency(self._thisptr.get().frequency())
+            return self._thisptr.get().frequency()
 
     def normalize(self):
         '''Normalises the units.'''

diff --git a/quantlib/time/frequency.pxd b/quantlib/time/frequency.pxd
@@ -1,7 +1,7 @@
 from libcpp.string cimport string
 
-cdef extern from 'ql/time/frequency.hpp' namespace "QuantLib":
-    cdef enum Frequency:
+cdef extern from 'ql/time/frequency.hpp' namespace "QuantLib" nogil:
+    cpdef enum Frequency:
         NoFrequency      = -1 # null frequency
         Once             = 0  # only once, e.g., a zero-coupon
         Annual           = 1  # once a year

diff --git a/quantlib/time/frequency.pyx b/quantlib/time/frequency.pyx
diff --git a/test/test_bondfunctions.py b/test/test_bondfunctions.py
@@ -13,12 +13,12 @@
 from quantlib.time.calendars.null_calendar import NullCalendar
 from quantlib.compounding import Compounded, Continuous
 from quantlib.time.date import (
-    Date, Days, Semiannual, January, August, Period, March, February, April, May,
-    Jul, Annual, Years
+    Date, Days, January, August, Period, March, February, April, May,
+    Jul, Years
 )
 from quantlib.time.api import (TARGET, Period, Months, Years, Days,September, ISDA, today, Mar,
     ModifiedFollowing, Unadjusted, Actual360, Thirty360, ActualActual, Actual365Fixed,
-    Annual, UnitedStates, Months, Actual365Fixed)
+    Annual, UnitedStates, Months, Actual365Fixed, Annual, Semiannual)
 from quantlib.time.daycounters.actual_actual import Bond, ISMA
 from quantlib.time.schedule import Schedule
 from quantlib.time.dategeneration import DateGeneration

diff --git a/test/test_bonds.py b/test/test_bonds.py
@@ -10,9 +10,10 @@
 from quantlib.time.calendars.null_calendar import NullCalendar
 from quantlib.time.calendars.target import TARGET
 from quantlib.compounding import Compounded, Continuous
+from quantlib.time.frequency import Quarterly, Semiannual, Annual
 from quantlib.time.date import (
-    Date, Days, Semiannual, January, August, Period, March, February,Oct,Nov,
-    Jul, Annual, Years, Quarterly
+    Date, Days, January, August, Period, March, February,Oct,Nov,
+    Jul, Years
 )
 from quantlib.time.daycounters.simple import Actual365Fixed, Actual360
 from quantlib.time.daycounters.actual_actual import ActualActual, Bond, ISMA