Merge branch 'main' into add_examples

# Conflicts: # docs/source/i_whatsnew.rst
attack68 · Feb 3, 2024 · c22533e · c22533e
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diff --git a/.gitignore b/.gitignore
@@ -26,6 +26,7 @@ share/python-wheels/
 *.egg-info/
 .installed.cfg
 *.egg
+.pypirc
 MANIFEST
 
 # PyInstaller

diff --git a/docs/source/_static/badges.json b/docs/source/_static/badges.json
@@ -1,9 +1,9 @@
 {
   "coverage": "99%",
   "licence": "CC-BY-NC-ND-4.0",
-  "pypi": "v0.7.0",
-  "conda": "v0.7.0",
+  "pypi": "v1.0.0",
+  "conda": "v1.0.0",
   "python": "3.9 | 3.10 | 3.11",
   "style": "black",
-  "status": "beta"
+  "status": "stable"
 }
diff --git a/docs/source/_static/switcher.json b/docs/source/_static/switcher.json
@@ -35,8 +35,13 @@
         "url": "https://rateslib.readthedocs.io/en/0.6.x/"
     },
     {
-        "name": "stable",
+        "name": "0.7.x",
         "version": "0.7.x",
+        "url": "https://rateslib.readthedocs.io/en/0.7.x/"
+    },
+    {
+        "name": "stable",
+        "version": "1.0.0",
         "url": "https://rateslib.readthedocs.io/en/stable/"
     }
 ]
diff --git a/docs/source/_static/thumb_coding_3.png b/docs/source/_static/thumb_coding_3.png
diff --git a/docs/source/_static/thumb_ptirds4.png b/docs/source/_static/thumb_ptirds4.png
diff --git a/docs/source/f_fxf.rst b/docs/source/f_fxf.rst
@@ -181,7 +181,7 @@ not provided at initialisation, nor is the "eurgbp" curve.
 
 In these circumstances the :meth:`~rateslib.fx.FXForwards.curve` method will derive the
 combination of existing curves that can be combined to yield required DFs on-the-fly.
-This creates a :class:`~rateslib.fx.ProxyCurve`.
+This creates a :class:`~rateslib.curves.ProxyCurve`.
 
 In the above framework GBP is the cheapest to deliver collateral, and USD is the
 most expensive. We can observe this

diff --git a/docs/source/f_fxr.rst b/docs/source/f_fxr.rst
@@ -11,7 +11,7 @@ FX Spot Rates
 ***********************
 
 This documentation page discusses the methods of the
-:class:`~rateslib.fx.FXRates` class which are summarised below,
+:class:`~rateslib.fx.FXRates` class which are summarised below:
 
 .. autosummary::
    rateslib.fx.FXRates

diff --git a/docs/source/i_about.rst b/docs/source/i_about.rst
@@ -17,22 +17,35 @@ The History and Context of Rateslib
 The foundations of *rateslib* is really the code library
 `Book IRDS3 <https://github.com/attack68/book_irds3>`_, which laid down
 basic principles and was a sandbox code environment for the
-publication *Pricing and Trading Interest Rate Derivatives: A Practical Guide to Swaps
-(2022, 3rd Edition)*. Some of the code and algorithms also date back to the author's
-time trading IRSs as a market-maker between 2006 and 2017.
-
-.. image:: _static/thumb_ptirds3.png
-  :alt: Pricing and Trading Interest Rate Derivatives
-  :target: https://www.amazon.com/Pricing-Trading-Interest-Rate-Derivatives/dp/0995455538
-  :width: 92
-
-The algorithms and mathematical work of *rateslib* is expected to be released in
-early 2024 under the working title of *Coding Interest Rates: FX, Swaps and Bonds*
-
-.. image:: _static/thumb_coding_2.png
-  :alt: Coding Interest Rates: FX, Swaps and Bonds
-  :target: https://www.amazon.com/Pricing-Trading-Interest-Rate-Derivatives/dp/0995455538
-  :width: 92
+publication `Pricing and Trading Interest Rate Derivatives: A Practical Guide to Swaps <https://www.amazon.com/Pricing-Trading-Interest-Rate-Derivatives/dp/0995455538>`_.
+Some of the code and algorithms also date back to the author's
+time trading IRSs as a market-maker between 2006 and 2017. The algorithms and mathematical
+code developments of *rateslib*
+are all characterised and explained in
+`Coding Interest Rates: FX, Swaps and Bonds <https://www.amazon.com/dp/0995455554>`_.
+
+.. container:: twocol
+
+   .. container:: leftside40
+
+      .. image:: _static/thumb_coding_3.png
+         :alt: Coding Interest Rates: FX, Swaps and Bonds
+         :target: https://www.amazon.com/dp/0995455554
+         :width: 145
+         :align: center
+
+   .. container:: rightside60
+
+      .. image:: _static/thumb_ptirds3.png
+         :alt: Pricing and Trading Interest Rate Derivatives
+         :target: https://www.amazon.com/Pricing-Trading-Interest-Rate-Derivatives/dp/0995455538
+         :width: 145
+         :align: center
+
+.. raw:: html
+
+   <div class="clear"></div>
+
 
 .. _pillars-doc:
 

diff --git a/docs/source/i_get_started.rst b/docs/source/i_get_started.rst
@@ -166,9 +166,9 @@ Does *rateslib* ``solve`` curves relative to market prices?
 
 **Yes**, when a :class:`~rateslib.solver.Solver` is configured along with all the intended
 *Instruments* and their relevant *prices*.
-Multiple algorithms (*gradient descent, Gauss-Newton, Leveberg-Marquardt*) and stopping criteria
+Multiple algorithms (*gradient descent, Gauss-Newton, Levenberg-Marquardt*) and stopping criteria
 can be used within the optimization routine
-to simultaneously solve multiple *Curve* parameter.
+to simultaneously solve multiple *Curve* parameters.
 
 The *Solver* can even construct dependency chains, like sequentially building curves
 with dependencies to other desks on an investment bank trading floor, and internally manage all of

diff --git a/docs/source/i_guide.rst b/docs/source/i_guide.rst
@@ -160,7 +160,7 @@ parameters that are used to build up the instruments.
 Multi-currency instruments
 --------------------------
 
-Lets take a quick look at a multi-currency instrument: the
+Let's take a quick look at a multi-currency instrument: the
 :class:`~rateslib.instruments.FXSwap`. All instruments have a mid-market pricing
 function :meth:`rate()<rateslib.instruments.BaseDerivative.rate>`. Keeping a
 consistent function name across all *Instruments* allows any of them to be used within a
@@ -262,7 +262,7 @@ a set of instrument prices, ``s``.
        id="us_rates"
    )
 
-Solving was a success! Observe the DFs on the *Curve* have been updated:
+Solving was a success! Observe that the DFs on the *Curve* have been updated:
 
 .. ipython:: python
 
@@ -324,7 +324,7 @@ detailed instructions of the way in which the associations can be constructed in
     g_mechanisms.rst
 
 The **key takeway** is that when you initialise and create an *Instrument* you can do one
-of three things;
+of three things:
 
 1) Not provide any *Curves* for pricing upfront (``curves=NoInput(0)``).
 2) Create an explicit association to pre-existing Python objects, e.g. ``curves=my_curve``.
@@ -398,4 +398,4 @@ into any one category. See the :ref:`Cookbook index <cookbook-doc>`.
 .. toctree::
     :hidden:
 
-    g_coverage.rst
+    g_coverage.rst
diff --git a/docs/source/i_whatsnew.rst b/docs/source/i_whatsnew.rst
@@ -22,14 +22,6 @@ email contact through **[email protected]**.
      - Description
      - Consideration
      - Timeframe
-   * - Coding Interest Rates
-     - Officially document this library's algorithms and release the book.
-     - Planned
-     - End 2023
-   * - Version 1.0
-     - Release the official first non-beta version of this library.
-     - Planned
-     - End 2023
    * - Vanilla FX options and volatility products
      - Adding option instruments and benchmark trades such as risk-reversals.
      - Highly likely (v2.0?)
@@ -53,8 +45,8 @@ email contact through **[email protected]**.
      - no ETA
 
 
-1.0.0 (Not released)
-**********************
+1.1.0 (not released)
+*********************
 
 .. list-table::
    :widths: 25 75
@@ -73,6 +65,23 @@ email contact through **[email protected]**.
        settled payment date.
 
 
+1.0.0 (1st Feb 2024)
+**********************
+
+.. list-table::
+   :widths: 25 75
+   :header-rows: 1
+
+   * - Feature
+     - Description
+   * - Bug
+     - FRA :meth:`~rateslib.instruments.FRA.cashflows` now correctly identifies the DF at cash
+       settled payment date.
+   * - Bug
+     - :meth:`~rateslib.legs.FloatLeg.fixings_table` now generates exact results (not in approximate mode) when RFR
+       fixings are included in any period.
+
+
 0.7.0 (29th Nov 2023)
 **********************
 

diff --git a/docs/source/index.rst b/docs/source/index.rst
@@ -11,7 +11,7 @@
       <img src="https://img.shields.io/badge/dynamic/json?url=https%3A%2F%2Frateslib.readthedocs.io%2Fen%2Flatest%2F_static%2Fbadges.json&query=%24.pypi&label=PyPi&color=blue" alt="PyPi">
       <img src="https://img.shields.io/badge/dynamic/json?url=https%3A%2F%2Frateslib.readthedocs.io%2Fen%2Flatest%2F_static%2Fbadges.json&query=%24.conda&label=Conda&color=blue" alt="Conda">
       <img src="https://img.shields.io/badge/dynamic/json?url=https%3A%2F%2Frateslib.readthedocs.io%2Fen%2Flatest%2F_static%2Fbadges.json&query=%24.licence&label=Licence&color=orange" alt="Licence">
-      <img src="https://img.shields.io/badge/dynamic/json?url=https%3A%2F%2Frateslib.readthedocs.io%2Fen%2Flatest%2F_static%2Fbadges.json&query=%24.status&label=Status&color=orange" alt="Status">
+      <img src="https://img.shields.io/badge/dynamic/json?url=https%3A%2F%2Frateslib.readthedocs.io%2Fen%2Flatest%2F_static%2Fbadges.json&query=%24.status&label=Status&color=green" alt="Status">
       <img src="https://img.shields.io/badge/dynamic/json?url=https%3A%2F%2Frateslib.readthedocs.io%2Fen%2Flatest%2F_static%2Fbadges.json&query=%24.coverage&label=Coverage&color=green" alt="Coverage">
       <img src="https://img.shields.io/badge/dynamic/json?url=https%3A%2F%2Frateslib.readthedocs.io%2Fen%2Flatest%2F_static%2Fbadges.json&query=%24.style&label=Code%20Style&color=black" alt="Code Style">
    </div>

diff --git a/pyproject.toml b/pyproject.toml
@@ -6,7 +6,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "rateslib"
-version = "0.7.0"
+version = "1.0.0"
 description = "A fixed income library for trading interest rates"
 readme = "README.md"
 authors = [{ name = "J H M Darbyshire"}]

diff --git a/rateslib/default.py b/rateslib/default.py
@@ -15,7 +15,7 @@ class NoInput(Enum):
     """
     Enumerable type to handle setting default values.
 
-    See :ref:`<default values <defaults-doc>`.
+    See :ref:`default values <defaults-doc>`.
     """
     blank = 0
     inherit = 1

diff --git a/rateslib/fx.py b/rateslib/fx.py
@@ -125,6 +125,7 @@ def _convert_dual(k, v):
 
         # find currencies
         self.pairs = [k for k in self.fx_rates.keys()]
+        self.pairs_settlement = {pair: settlement for pair in self.pairs}
         self.variables = tuple(f"fx_{pair}" for pair in self.pairs)
         self.currencies = {
             k: i
@@ -838,6 +839,9 @@ def update(
                         fx_rates=fx_rates_obj,
                         fx_curves=sub_curves,
                     )
+                    settlement_pairs = {
+                        pair: fx_rates_obj.settlement for pair in fx_rates_obj.pairs
+                    }
                 else:
                     # calculate additional FX rates from previous objects
                     # in the same settlement frame.
@@ -860,6 +864,9 @@ def update(
                         self.fx_curves, fx_rates_obj.currencies_list + pre_currencies
                     )
                     acyclic_fxf = FXForwards(fx_rates=combined_fx_rates, fx_curves=sub_curves)
+                    settlement_pairs.update(
+                        {pair: fx_rates_obj.settlement for pair in fx_rates_obj.pairs}
+                    )
 
             if base is not NoInput.blank:
                 acyclic_fxf.base = base.lower()
@@ -874,6 +881,7 @@ def update(
                 "pairs",
             ]:
                 setattr(self, attr, getattr(acyclic_fxf, attr))
+            self.pairs_settlement = settlement_pairs
         else:
             self.currencies = self.fx_rates.currencies
             self.q = len(self.currencies.keys())
@@ -885,6 +893,7 @@ def update(
             self.pairs = self.fx_rates.pairs
             self.variables = tuple(f"fx_{pair}" for pair in self.pairs)
             self.fx_rates_immediate = self._update_fx_rates_immediate()
+            self.pairs_settlement = self.fx_rates.pairs_settlement
 
     def __init__(
         self,