Merge pull request #326 from thrasibule/deprecated

Deprecated

.github/workflows/main.yml

@@ -6,10 +6,10 @@ on: [push, pull_request]
 jobs:
   build:
     name: Build and test
-    runs-on: ubuntu-22.04 # required for latest QuantLib
+    runs-on: ubuntu-24.04 # required for latest QuantLib
     strategy:
       matrix:
-        python-version: ['3.8', '3.9', '3.10']
+        python-version: ['3.9', '3.10', '3.11']
 
     steps:
       - name: install dependencies
@@ -22,7 +22,7 @@ jobs:
       - uses: actions/checkout@v4
 
       - name: Set up Python ${{ matrix.python-version }}
-        uses: actions/setup-python@v4
+        uses: actions/setup-python@v5
         with:
           python-version: ${{ matrix.python-version }}
 
@@ -48,28 +48,28 @@ jobs:
 
       # Publish built docs to gh-pages branch.
       - name: Checkout documentation branch
-        if: matrix.python-version == '3.10'
-        uses: actions/checkout@v2
+        if: matrix.python-version == '3.11'
+        uses: actions/checkout@v4
         with:
           ref: gh-pages
           path: gh-pages
           persist-credentials: false
 
       - name: Build docs
-        if: matrix.python-version == '3.10'
+        if: matrix.python-version == '3.11'
         run: |
           pip install sphinx nbsphinx scikit-learn ipython
           sudo apt-get install pandoc texlive texlive-latex-extra dvipng
           make docs
 
       - uses: actions/upload-artifact@v2
-        if: (matrix.python-version == '3.10') && (github.event_name == 'pull_request')
+        if: (matrix.python-version == '3.11') && (github.event_name == 'pull_request')
         with:
           name: "doc_${{ github.event.pull_request.number }}"
           path: docs/build/html
 
       - name: Move docs over
-        if: (matrix.python-version == '3.10') && (github.event_name == 'push')
+        if: (matrix.python-version == '3.11') && (github.event_name == 'push')
         run: |
           ls
           cp -r docs/build/html/* gh-pages/
@@ -82,7 +82,7 @@ jobs:
           # that.
 
       - name: Push changes
-        if: (matrix.python-version == '3.10') && (github.event_name== 'push')
+        if: (matrix.python-version == '3.11') && (github.event_name== 'push')
         uses: ad-m/github-push-action@master
         with:
           branch: gh-pages

quantlib/indexes/_inflation_index.pxd

@@ -16,10 +16,11 @@ from quantlib.currency._currency cimport Currency
 from quantlib.indexes._region cimport Region
 from quantlib.handle cimport shared_ptr, Handle
 from quantlib.time._period cimport Period, Frequency
+from quantlib.time._date cimport Date
 
 cimport quantlib.termstructures._inflation_term_structure as _its
 
-cdef extern from 'ql/indexes/inflationindex.hpp' namespace 'QuantLib':
+cdef extern from 'ql/indexes/inflationindex.hpp' namespace 'QuantLib' nogil:
 
     cdef cppclass CPI:
         enum InterpolationType:
@@ -28,40 +29,35 @@ cdef extern from 'ql/indexes/inflationindex.hpp' namespace 'QuantLib':
             Linear
 
     cdef cppclass InflationIndex(Index):
-        InflationIndex()
         InflationIndex(string& familyName,
                   Region& region,
                   bool revised,
-                  bool interpolated,
                   Frequency frequency,
                   Period& availabilitiyLag,
                   Currency& currency) except +
         string familyName()
         Region region()
         bool revised()
-        bool interpolated()
         Frequency frequency()
         Period availabilityLag()
         Currency currency()
 
 
     cdef cppclass ZeroInflationIndex(Index):
-        ZeroInflationIndex()
         ZeroInflationIndex(string& familyName,
                   Region& region,
                   bool revised,
-                  bool interpolated,
                   Frequency frequency,
                   Period& availabilitiyLag,
                   Currency& currency,
                   Handle[_its.ZeroInflationTermStructure]& h) except +
         Handle[_its.ZeroInflationTermStructure] zeroInflationTermStructure()
+        Date lastFixingDate()
 
     cdef cppclass YoYInflationIndex(InflationIndex):
         YoYInflationIndex(const string& familyName,
                           const Region& region,
                           bool revised,
-                          bool interpolated,
                           bool ratio, # is this one a genuine index or a ratio?
                           Frequency frequency,
                           const Period& availabilityLag,

quantlib/indexes/inflation/_aucpi.pxd

@@ -0,0 +1,17 @@
+from libcpp cimport bool
+from .._inflation_index cimport ZeroInflationIndex, YoYInflationIndex
+from quantlib.handle cimport Handle
+from quantlib.termstructures._inflation_term_structure cimport ZeroInflationTermStructure, YoYInflationTermStructure
+from quantlib.time.frequency cimport Frequency
+
+
+cdef extern from 'ql/indexes/inflation/aucpi.hpp' namespace 'QuantLib' nogil:
+    cdef cppclass AUCPI(ZeroInflationIndex):
+        AUCPI(Frequency frequency,
+              bool revised,
+              const Handle[ZeroInflationTermStructure]& ts)
+
+        YYAUCPI(Frequency frequency,
+                bool revised,
+                bool interpolated,
+                const Handle[YoYInflationTermStructure]& ts)

quantlib/indexes/inflation/_euhicp.pxd

@@ -0,0 +1,19 @@
+from libcpp cimport bool
+from .._inflation_index cimport ZeroInflationIndex, YoYInflationIndex
+from quantlib.handle cimport Handle
+from quantlib.termstructures._inflation_term_structure cimport ZeroInflationTermStructure, YoYInflationTermStructure
+
+cdef extern from 'ql/indexes/inflation/euhicp.hpp' namespace 'QuantLib' nogil:
+    cdef cppclass EUHICP(ZeroInflationIndex):
+        EUHICP(const Handle[ZeroInflationTermStructure]& ts)
+
+    cdef cppclass EUHICPXT(ZeroInflationIndex):
+        EUHICPXT(const Handle[ZeroInflationTermStructure]& ts)
+
+    cdef cppclass YYEUHICP(YoYInflationIndex):
+        YYEUHICP(bool interpolated,
+                 const Handle[YoYInflationTermStructure]& ts)
+
+    cdef cppclass YYEUHICPXT(YoYInflationIndex):
+        YYEUHICPXT(bool interpolated,
+                   const Handle[YoYInflationTermStructure]& ts)

quantlib/indexes/inflation/_ukrpi.pxd

@@ -0,0 +1,7 @@
+from .._inflation_index cimport ZeroInflationIndex
+from quantlib.handle cimport Handle
+from quantlib.termstructures._inflation_term_structure cimport ZeroInflationTermStructure
+
+cdef extern from 'ql/indexes/inflation/ukrpi.hpp' namespace 'QuantLib' nogil:
+    cdef cppclass UKRPI(ZeroInflationIndex):
+        UKRPI(const Handle[ZeroInflationTermStructure]& ts)

quantlib/indexes/inflation/aucpi.pxd

@@ -0,0 +1,7 @@
+from quantlib.indexes.inflation_index cimport ZeroInflationIndex, YoYInflationIndex
+
+cdef class AUCPI(ZeroInflationIndex):
+    pass
+
+cdef class YYAUCPI(YoYInflationIndex):
+    pass

quantlib/indexes/inflation/aucpi.pyx

@@ -0,0 +1,11 @@
+from libcpp cimport bool
+from . cimport _aucpi
+from quantlib.time.frequency cimport Frequency
+from quantlib.termstructures.inflation_term_structure cimport ZeroInflationTermStructure
+
+cdef class AUCPI(ZeroInflationIndex):
+    def __init__(self,
+                 Frequency frequency,
+                 bool revised,
+                 ZeroInflationTermStructure ts=ZeroInflationTermStructure()):
+        self._thisptr.reset(new _aucpi.AUCPI(frequency, revised, ts._handle))

quantlib/indexes/inflation/euhicp.pxd

@@ -0,0 +1,13 @@
+from quantlib.indexes.inflation_index cimport ZeroInflationIndex, YoYInflationIndex
+
+cdef class EUHICP(ZeroInflationIndex):
+    pass
+
+cdef class EUHICPXT(ZeroInflationIndex):
+    pass
+
+cdef class YYEUHICP(YoYInflationIndex):
+    pass
+
+cdef class YYEUHICPXT(YoYInflationIndex):
+    pass

quantlib/indexes/inflation/euhicp.pyx

@@ -1,44 +1,21 @@
+from . cimport _euhicp
 from libcpp cimport bool
-
-from quantlib.currency.api import EURCurrency
-from quantlib.indexes.regions import EURegion
-from quantlib.indexes.inflation_index cimport (
-    ZeroInflationIndex, YoYInflationIndex)
-from quantlib.time.frequency cimport Monthly
-from quantlib.time._period cimport Months
-from quantlib.time.date cimport Period
 from quantlib.termstructures.inflation_term_structure cimport (
     ZeroInflationTermStructure, YoYInflationTermStructure)
 
 cdef class EUHICP(ZeroInflationIndex):
-    def __init__(self, bool interpolated,
-                 ZeroInflationTermStructure ts=ZeroInflationTermStructure()):
-
-        super().__init__("HICP", EURegion(), False,
-                         interpolated, Monthly, Period(1, Months),
-                         EURCurrency(), ts)
+    def __init__(self, ZeroInflationTermStructure ts=ZeroInflationTermStructure()):
+        self._thisptr.reset(new _euhicp.EUHICP(ts._handle))
 
 
 cdef class EUHICPXT(ZeroInflationIndex):
-    def __init__(self, bool interpolated,
-                 ZeroInflationTermStructure ts=ZeroInflationTermStructure()):
-
-        super().__init__("HICPXT", EURegion(), False,
-                         interpolated, Monthly, Period(1, Months),
-                         EURCurrency(), ts)
+    def __init__(self, ZeroInflationTermStructure ts=ZeroInflationTermStructure()):
+        self._thisptr.reset(new _euhicp.EUHICPXT(ts._handle))
 
 cdef class YYEUHICP(YoYInflationIndex):
-    def __init__(self, bool interpolated,
-                 YoYInflationTermStructure ts=YoYInflationTermStructure()):
-
-        super().__init__("YY_HICP", EURegion(), False,
-                         interpolated, Monthly, Period(1, Months),
-                         EURCurrency(), ts)
+    def __init__(self, bool interpolated, YoYInflationTermStructure ts=YoYInflationTermStructure()):
+        self._thisptr.reset(new _euhicp.YYEUHICP(interpolated, ts._handle))
 
 cdef class YYEUHICPXT(YoYInflationIndex):
-    def __init__(self, bool interpolated,
-                 YoYInflationTermStructure ts=YoYInflationTermStructure()):
-
-        super().__init__("YY_HICPXT", EURegion(), False,
-                         interpolated, Monthly, Period(1, Months),
-                         EURCurrency(), ts)
+    def __init__(self, bool interpolated, YoYInflationTermStructure ts=YoYInflationTermStructure()):
+        self._thisptr.reset(new _euhicp.YYEUHICPXT(interpolated, ts._handle))

quantlib/indexes/inflation/ukrpi.pxd

@@ -0,0 +1,4 @@
+from quantlib.indexes.inflation_index cimport ZeroInflationIndex
+
+cdef class UKRPI(ZeroInflationIndex):
+    pass

quantlib/indexes/inflation/ukrpi.pyx

@@ -1,18 +1,9 @@
-from libcpp cimport bool
+from . cimport _ukrpi
 
-from quantlib.currency.api import GBPCurrency
-from quantlib.indexes.regions import UKRegion
-from quantlib.time.date cimport Period
-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
 
 cdef class UKRPI(ZeroInflationIndex):
-    def __init__(self, bool interpolated,
-                 ZeroInflationTermStructure ts=ZeroInflationTermStructure()):
-
-        super().__init__("RPI", UKRegion(), False,
-                         interpolated, Monthly, Period(1, Months),
-                         GBPCurrency(), ts)
+    def __init__(self, ZeroInflationTermStructure ts=ZeroInflationTermStructure()):
+        self._thisptr.reset(new _ukrpi.UKRPI(ts._handle))

quantlib/indexes/inflation_index.pyx

@@ -16,7 +16,7 @@ from libcpp cimport bool
 from libcpp.string cimport string
 
 from quantlib.index cimport Index
-from quantlib.time.date cimport Period, period_from_qlperiod
+from quantlib.time.date cimport Period, period_from_qlperiod, date_from_qldate
 from quantlib.time.frequency cimport Frequency
 from quantlib.indexes.region cimport Region
 
@@ -61,11 +61,6 @@ cdef class InflationIndex(Index):
             c._thisptr = new _cu.Currency(ref.currency())
             return c
 
-    @property
-    def interpolated(self):
-         cdef _ii.InflationIndex* ref = <_ii.InflationIndex*>self._thisptr.get()
-         return ref.interpolated()
-
     @property
     def region(self):
         cdef _ii.InflationIndex* ref = <_ii.InflationIndex*>self._thisptr.get()
@@ -77,7 +72,6 @@ cdef class ZeroInflationIndex(InflationIndex):
     def __init__(self, str family_name,
                  Region region,
                  bool revised,
-                 bool interpolated,
                  Frequency frequency,
                  Period availabilityLag,
                  Currency currency,
@@ -91,7 +85,6 @@ cdef class ZeroInflationIndex(InflationIndex):
                 c_family_name,
                 deref(region._thisptr),
                 revised,
-                interpolated,
                 frequency,
                 deref(availabilityLag._thisptr),
                 deref(currency._thisptr),
@@ -104,9 +97,16 @@ cdef class ZeroInflationIndex(InflationIndex):
             (<_ii.ZeroInflationIndex*>(self._thisptr.get())).
             zeroInflationTermStructure().currentLink())
 
+    @property
+    def last_fixing_date(self):
+        return date_from_qldate(
+            (<_ii.ZeroInflationIndex*>(self._thisptr.get())).lastFixingDate()
+        )
+
+
 cdef class YoYInflationIndex(ZeroInflationIndex):
     def __init__(self, family_name, Region region, bool revised,
-                 bool interpolated, bool ratio, Frequency frequency,
+                 bool ratio, Frequency frequency,
                  Period availability_lag, Currency currency,
                  YoYInflationTermStructure ts=YoYInflationTermStructure()):
 
@@ -115,6 +115,6 @@ cdef class YoYInflationIndex(ZeroInflationIndex):
         self._thisptr = shared_ptr[_in.Index](
             new _ii.YoYInflationIndex(
                 c_family_name, deref(region._thisptr), revised,
-                interpolated, ratio, frequency,
+                ratio, frequency,
                 deref(availability_lag._thisptr),
                 deref(currency._thisptr), ts._handle))

quantlib/termstructures/_inflation_term_structure.pxd

@@ -20,7 +20,7 @@ from quantlib.termstructures._yield_term_structure cimport YieldTermStructure
 from quantlib.termstructures.inflation._seasonality cimport Seasonality
 
 
-cdef extern from 'ql/termstructures/inflationtermstructure.hpp' namespace 'QuantLib':
+cdef extern from 'ql/termstructures/inflationtermstructure.hpp' namespace 'QuantLib' nogil:
 
     cdef cppclass InflationTermStructure:
 

quantlib/termstructures/inflation/_interpolated_zero_inflation_curve.pxd

@@ -9,17 +9,17 @@ from quantlib.time._date cimport Date
 from quantlib.time._daycounter cimport DayCounter
 from quantlib.time._calendar cimport Calendar
 from quantlib.time._period cimport Frequency, Period
-from quantlib.handle cimport Handle
+from quantlib.handle cimport Handle, shared_ptr
+from ._seasonality cimport Seasonality
 
-cdef extern from 'ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp' namespace 'QuantLib':
+cdef extern from 'ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp' namespace 'QuantLib' nogil:
     cdef cppclass InterpolatedZeroInflationCurve[T](ZeroInflationTermStructure):
         InterpolatedZeroInflationCurve(const Date& referenceDate,
-                                       const Calendar& calendar,
-                                       const DayCounter& dayCounter,
-                                       const Period& lag,
+                                       vector[Date]& dates,
+                                       vector[Rate]& rates,
                                        Frequency frequency,
-                                       const vector[Date]& dates,
-                                       vector[Rate]& rates) #should be const here
+                                       DayCounter dayCounter,
+                                       shared_ptr[Seasonality] seasonality)
         vector[Date]& dates()
         vector[Real]& data()
         vector[Rate]& rates()