More bonds fixups

quantlib/instrument.pyx

@@ -1,5 +1,4 @@
 """Abstract instrument class"""
-from cython.operator cimport dereference as deref
 from quantlib.time.date cimport date_from_qldate
 from quantlib.pricingengines.engine cimport PricingEngine
 from quantlib.handle cimport static_pointer_cast

quantlib/models/calibration_helper.pyx

@@ -7,12 +7,9 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 """
 
-include '../types.pxi'
-
+from quantlib.types cimport Real, Size, Volatility
 from quantlib.handle cimport shared_ptr
-from cython.operator cimport dereference as deref
 
-cimport quantlib.pricingengines._pricing_engine as _pe
 from quantlib.pricingengines.engine cimport PricingEngine
 
 

quantlib/pricingengines/_pricing_engine.pxd

@@ -1,4 +1,4 @@
-cdef extern from 'ql/pricingengine.hpp' namespace 'QuantLib':
+cdef extern from 'ql/pricingengine.hpp' namespace 'QuantLib' nogil:
 
     cdef cppclass PricingEngine:
         pass

quantlib/pricingengines/bond/__init__.py

@@ -0,0 +1 @@
+from .discountingbondengine import DiscountingBondEngine

quantlib/pricingengines/_bondfunctions.pxd → quantlib/pricingengines/bond/_bondfunctions.pxd

@@ -1,4 +1,4 @@
-include '../types.pxi'
+from quantlib.types cimport Rate, Real, Spread, Size, Time
 
 from quantlib.instruments._bond cimport Bond
 from quantlib.handle cimport shared_ptr

quantlib/pricingengines/_bond.pxd → quantlib/pricingengines/bond/_discountingbondengine.pxd

@@ -13,11 +13,9 @@ from quantlib.handle cimport Handle, optional
 from quantlib.termstructures._yield_term_structure cimport YieldTermStructure
 
 cdef extern from 'ql/pricingengines/bond/discountingbondengine.hpp' namespace \
-    'QuantLib':
+    'QuantLib' nogil:
 
     cdef cppclass DiscountingBondEngine(PricingEngine):
-
-        DiscountingBondEngine()
         DiscountingBondEngine(Handle[YieldTermStructure]& discountCurve)
         DiscountingBondEngine(Handle[YieldTermStructure]& discountCurve,
                 optional[bool] includeSettlementDateFlows)

quantlib/pricingengines/bondfunctions.pyx → quantlib/pricingengines/bond/bondfunctions.pyx

@@ -1,9 +1,8 @@
-include '../types.pxi'
-
+from quantlib.types cimport Rate, Real, Size
 from quantlib.time._date cimport Day, Month, Year, Date as QLDate
 from quantlib.time._period cimport Frequency
 from quantlib.time._daycounter cimport DayCounter as _DayCounter
-cimport quantlib.pricingengines._bondfunctions as _bf
+from . cimport _bondfunctions as _bf
 
 from quantlib.handle cimport shared_ptr, Handle
 from cython.operator cimport dereference as deref
@@ -46,10 +45,10 @@ def bond_yield(Bond bond not None,
                DayCounter dayCounter not None,
                Compounding compounding,
                Frequency frequency,
-               Date settlementDate not None,
-               Real accuracy,
-               Size maxIterations,
-               Rate guess):
+               Date settlementDate=Date(),
+               Real accuracy=1e-10,
+               Size maxIterations=100,
+               Rate guess=0.05):
 
         return _bf.bf_yield(
             deref(bond.as_ptr()),
@@ -68,7 +67,7 @@ def basisPointValue(Bond bond not None,
                     DayCounter dayCounter not None,
                     Compounding compounding,
                     Frequency frequency,
-                    Date settlementDate not None):
+                    Date settlementDate=Date()):
         return _bf.basisPointValue(
             deref(bond.as_ptr()),
             yld,
@@ -83,10 +82,10 @@ def zSpread(Bond bond, Real cleanPrice,
             DayCounter dayCounter not None,
             Compounding compounding,
             Frequency frequency,
-            Date settlementDate not None,
-            Real accuracy,
-            Size maxIterations,
-            Rate guess):
+            Date settlementDate=Date(),
+            Real accuracy=1e-10,
+            Size maxIterations=100,
+            Rate guess=0):
 
     return _bf.zSpread(
         deref(bond.as_ptr()),

quantlib/pricingengines/bond.pyx → quantlib/pricingengines/bond/discountingbondengine.pyx

@@ -5,15 +5,10 @@
  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 """
-from cython.operator cimport dereference as deref
+from . cimport _discountingbondengine as _dbe
 
-from quantlib.handle cimport Handle, shared_ptr
-from .cimport _pricing_engine as _pe
-from . cimport _bond
+from ..engine cimport PricingEngine
 
-from .engine cimport PricingEngine
-
-cimport quantlib.termstructures._yield_term_structure as _yts
 from quantlib.termstructures.yield_term_structure cimport YieldTermStructure
 
 cdef class DiscountingBondEngine(PricingEngine):
@@ -22,4 +17,4 @@ cdef class DiscountingBondEngine(PricingEngine):
         """
         """
 
-        self._thisptr.reset(new _bond.DiscountingBondEngine(discount_curve._thisptr))
+        self._thisptr.reset(new _dbe.DiscountingBondEngine(discount_curve._thisptr))

quantlib/pricingengines/credit/isda_cds_engine.pyx

@@ -57,9 +57,8 @@ cdef class IsdaCdsEngine(PricingEngine):
                                    <_ice.ForwardsInCouponPeriod>forwards_in_coupon_period)
         )
 
-    cdef _ice.IsdaCdsEngine* _get_cds_engine(self):
-        cdef _ice.IsdaCdsEngine* ref = <_ice.IsdaCdsEngine*>(self._thisptr.get())
-        return ref
+    cdef inline _ice.IsdaCdsEngine* _get_cds_engine(self) nogil:
+        return <_ice.IsdaCdsEngine*>(self._thisptr.get())
 
     @property
     def isda_rate_curve(self):

quantlib/pricingengines/credit/midpoint_cds_engine.pyx

@@ -9,7 +9,6 @@ from cython.operator cimport dereference as deref
 from libcpp cimport bool
 
 from quantlib.handle cimport Handle, shared_ptr, optional
-cimport quantlib.pricingengines._pricing_engine as _pe
 from . cimport _midpoint_cds_engine as _mce
 
 from quantlib.pricingengines.engine cimport PricingEngine

quantlib/pricingengines/engine.pxd

@@ -3,5 +3,3 @@ cimport quantlib.pricingengines._pricing_engine as _pe
 
 cdef class PricingEngine:
     cdef shared_ptr[_pe.PricingEngine] _thisptr
-
-

quantlib/pricingengines/swap.pyx

@@ -6,7 +6,6 @@ from quantlib.pricingengines.vanilla.vanilla cimport PricingEngine
 from quantlib.termstructures.yield_term_structure cimport YieldTermStructure
 
 cimport quantlib.pricingengines._swap as _swap
-cimport quantlib.pricingengines._pricing_engine as _pe
 cimport quantlib.termstructures._yield_term_structure as _yts
 from quantlib.time.date cimport Date
 

quantlib/pricingengines/vanilla/mceuropeanhestonengine.pyx

@@ -1,9 +1,7 @@
 from quantlib.types cimport BigNatural, Integer, Real, Size
 from libcpp cimport bool
-from cython.operator cimport dereference as deref
 from quantlib.handle cimport shared_ptr, static_pointer_cast
 from quantlib.utilities.null cimport Null
-cimport quantlib.pricingengines._pricing_engine as _pe
 from quantlib.processes.heston_process cimport HestonProcess
 cimport quantlib.processes._heston_process as _hp
 from .mcvanillaengine cimport MCVanillaEngine

test/test_bondfunctions.py

@@ -34,7 +34,7 @@
 from quantlib.math.interpolation import LogLinear
 from quantlib.quotes import SimpleQuote
 
-import quantlib.pricingengines.bondfunctions as bf
+import quantlib.pricingengines.bond.bondfunctions as bf
 
 
 class BondFunctionTestCase(unittest.TestCase):

test/test_sensitivity_analysis.py

@@ -33,7 +33,7 @@
     AnalyticEuropeanEngine
 )
 from quantlib.instruments.payoffs import PlainVanillaPayoff
-import quantlib.pricingengines.bondfunctions as bf
+import quantlib.pricingengines.bond.bondfunctions as bf
 from quantlib.experimental.risk.sensitivityanalysis import (
     bucket_analysis, parallel_analysis, Centered)
 from numpy.testing import assert_allclose