Added new FXDoubleDigitalOption product

Author: domokane

.pylintrc

@@ -9,6 +9,7 @@ load-plugins=
 [MESSAGES CONTROL]
 # Start strict and tune over time; add/remove codes as you ratchet quality.
 disable=
+    C0103,  # missing-module-docstring
     C0114,  # missing-module-docstring
     C0115,  # missing-class-docstring
     C0116,  # missing-function-docstring

financepy/market/curves/interpolator.py

@@ -63,17 +63,14 @@ def interpolate(
 
     raise FinError("Unknown input type" + type(t))
 
+########################################################################################
 
 @njit(
     float64(float64, float64[:], float64[:], int64),
     fastmath=True,
     cache=True,
     nogil=True,
 )
-
-########################################################################################
-
-
 def _uinterpolate(t, times, dfs, method):
     """Return the interpolated value of y given x and a vector of x and y.
     The values of x must be monotonic and increasing. The different schemes for
@@ -171,16 +168,14 @@ def _uinterpolate(t, times, dfs, method):
         raise FinError("Invalid interpolation scheme.")
 
 
+########################################################################################
+
 @njit(
     float64[:](float64[:], float64[:], float64[:], int64),
     fastmath=True,
     cache=True,
     nogil=True,
 )
-
-########################################################################################
-
-
 def _vinterpolate(x_values, x_vector, dfs, method):
     """Return the interpolated values of y given x and a vector of x and y.
     The values of x must be monotonic and increasing. The different schemes for

financepy/products/credit/cds.py

@@ -35,6 +35,7 @@
 ########################################################################################
 
 
+
 @njit(
     float64[:](
         float64,
@@ -280,7 +281,7 @@ def __init__(
         self._generate_adjusted_cds_payment_dts()
         self._calc_flows()
 
-    ###########################################################################
+    ####################################################################################
 
     def _generate_adjusted_cds_payment_dts(self):
         """Generate CDS payment dates which have been holiday adjusted."""
@@ -300,13 +301,11 @@ def _generate_adjusted_cds_payment_dts(self):
         if self.dg_type == DateGenRuleTypes.BACKWARD:
 
             # We start at end date and step backwards
-
             next_dt = self.maturity_dt
 
             unadjusted_schedule_dts.append(next_dt)
 
-            # the unadjusted dates start at end date and end at previous
-            # cpn date
+            # the unadjusted dates start at end date and end at previous cpn date
             while next_dt > start_dt:
                 next_dt = next_dt.add_months(-num_months)
                 unadjusted_schedule_dts.append(next_dt)
@@ -350,18 +349,15 @@ def _generate_adjusted_cds_payment_dts(self):
         # Accrual End   = [19-MAY-2009, 19-AUG-2009, 19-NOV-2009, 20-MAR-2010]
 
         else:
-
             raise FinError("Unknown DateGenRuleType:" + str(self.dg_type))
 
         # We only include dates which fall after the CDS start date
         self.payment_dts = adjusted_dts[1:]
 
-        # Accrual start dates run from previous cpn date to penultimate
-        # cpn date
+        # Accrual start dates run from previous cpn date to penultimate cpn date
         self.accrual_start_dts = adjusted_dts[:-1]
 
-        # Accrual end dates are one day before the start of the next
-        # accrual period
+        # Accrual end dates are one day before the start of the next accrual period
         self.accrual_end_dts = [
             date.add_days(-1) for date in self.accrual_start_dts[1:]
         ]

financepy/products/credit/cds_curve.py

@@ -16,6 +16,8 @@
 from ...utils.helpers import label_to_string
 
 
+from numba import njit, float64
+
 ########################################################################################
 
 
@@ -212,15 +214,18 @@ def build_curve(self):
             self._times = np.append(self._times, t_mat)
             self._qs = np.append(self._qs, q)
 
-            optimize.newton(
-                f,
-                x0=q,
-                fprime=None,
-                args=argtuple,
-                tol=1e-7,
-                maxiter=50,
-                fprime2=None,
-            )
+            if 1==1:
+                optimize.newton(
+                    f,
+                    x0=q,
+                    fprime=None,
+                    args=argtuple,
+                    tol=1e-7,
+                    maxiter=50,
+                    fprime2=None,
+                )
+            else:
+                pass
 
     ###########################################################################
 

financepy/products/credit/cds_index_portfolio.py

@@ -192,7 +192,7 @@ def max_spread(self, value_dt, step_in_dt, maturity_dt, issuer_curves):
 
     ####################################################################################
 
-    def spd_adjust_intrinsic(
+    def spread_adjust_intrinsic(
         self,
         value_dt,
         issuer_curves,

financepy/products/equity/equity_compound_option.py

@@ -75,7 +75,7 @@ def __init__(
         self.u_strike_price = float(u_strike_price)
         self.u_opt_type = u_opt_type
 
-    ###########################################################################
+    ####################################################################################
 
     def _preprocess_inputs(
         self,
@@ -157,7 +157,7 @@ def value(
 
         return v
 
-    ###########################################################################
+    ####################################################################################
 
     def value_tree(
         self,
@@ -204,7 +204,7 @@ def __repr__(self):
         s += label_to_string("UND OPTION TYPE", self.u_opt_type)
         return s
 
-    ###########################################################################
+    ####################################################################################
 
     def _print(self):
         """Simple print function for backward compatibility."""

financepy/products/fx/__init__.py

@@ -1,6 +1,7 @@
 from .fx_barrier_option import *
 from .fx_digital_option import *
 from .fx_double_digital_option import *
+from .fx_double_one_touch_option import *
 from .fx_fixed_lookback_option import *
 from .fx_float_lookback_option import *
 from .fx_forward import *

financepy/products/fx/fx_double_digital_option.py

@@ -32,10 +32,14 @@ def __init__(
         prem_currency: str,
         spot_days: int = 0,
     ):
-        """Create the FX Double Digital Option object. Inputs include
-        expiry date, upper strike, lower strike, currency pair,
-        option type notional and the currency of the notional.
-        An adjustment for spot days is enabled. All currency rates
+        """Create the FX Double Digital Option object. The option pays out
+        the notional in the premium currency if the fx rate is between
+        the upper and lower strike at maturity.
+        The valuation is equivalent to the valuation of the difference of
+        the value of two digital puts, one with the upper and the other
+        with the lower strike. Inputs include expiry date, upper strike,
+        lower strike, currency pair, option type notional and currency of
+        notional. An adjustment for spot days is enabled. All currency rates
         must be entered in the price in domestic currency of one unit
         of foreign. And the currency pair should be in the form FORDOM
         where FOR is the foreign currency pair currency code and DOM is the