Fixing forwards rates

.github/copilot-instructions.md

@@ -28,7 +28,7 @@ applyTo: '/**'
 * The documentation for quantflow is available at `https://quantflow.quantmid.com`
 * Documentation is built using [mkdocs](https://www.mkdocs.org/) and stored in the `docs/` directory. The documentation source files are written in markdown format.
 * Do not use em dashes (—) in documentation files or docstrings. Use colons, parentheses, or restructure the sentence instead.
-* Math in documentation and docstrings uses `$...$` for inline and `$$...$$` or `\begin{equation}...\end{equation}` for block equations. Do not use `.. math::` or `:math:` (RST syntax).
+* Math in documentation and docstrings: always use `\begin{equation}...\end{equation}` for any formula or equation. Use `$...$` only for brief inline references to variables (e.g. $F$, $K$). Do not use `$$...$$`, `` `...` ``, or RST syntax (`.. math::`, `:math:`).
 * Glossary entries in `docs/glossary.md` must be kept in alphabetical order.
 * To rebuild doc examples run `uv run ./dev/build-examples` — runs all scripts in `docs/examples/` and writes their output to `docs/examples_output/`
 

.vscode/launch.json

@@ -14,7 +14,7 @@
             "args": [
                 "-x",
                 "-vvv",
-                "quantflow_tests/test_divfm.py",
+                "quantflow_tests/test_data_deribit.py",
             ]
         },
     ]

app/volatility_surface.py

@@ -42,12 +42,6 @@ def _(mo):
     return
 
 
-@app.cell
-def _():
-    kwargs = dict()
-    return
-
-
 @app.cell
 def _(mo):
     asset = mo.ui.dropdown(["btc", "eth", "sol"], value="btc", label="asset")
@@ -57,7 +51,7 @@ def _(mo):
 
 
 @app.cell
-async def _(asset, inverse):
+async def _(asset, inverse, mo):
     import pandas as pd
     from quantflow.data.deribit import Deribit
 
@@ -74,18 +68,43 @@ async def _(asset, inverse):
     surface.bs()
     # disable outliers
     surface.disable_outliers()
-    surface.plot3d()
-    return pd, surface
+    #
+    def int_or_none(v):
+        try:
+            return int(v)
+        except TypeError:
+            return None
+
+    maturites = [c.maturity for c in surface.maturities]
+    maturity_dropdown = mo.ui.dropdown(
+        options={m.strftime("%Y-%m-%d"): i for i, m in enumerate(maturites)},
+        label="Maturity"
+    )
+    maturity_dropdown
+    return int_or_none, maturity_dropdown, pd, surface
 
 
 @app.cell
-def _(pd, surface):
+def _(int_or_none, maturity_dropdown, surface):
+    index = int_or_none(maturity_dropdown.value)
+    surface.plot3d(index=index)
+    return (index,)
+
+
+@app.cell
+def _(index, pd, surface):
     # display inputs - only options with converged implied volatility
-    surface_inputs = surface.inputs(converged=True)
+    surface_inputs = surface.inputs(converged=True, index=index)
     pd.DataFrame([i.model_dump() for i in surface_inputs.inputs])
     return
 
 
+@app.cell
+def _(surface):
+    surface.term_structure()
+    return
+
+
 @app.cell
 def _():
     return

docs/api/rates/index.md

@@ -0,0 +1 @@
+# Interest Rates

docs/api/rates/interest_rate.md

@@ -0,0 +1,4 @@
+# Interest Rates
+
+
+::: quantflow.rates.interest_rate.Rate

docs/api/rates/yield_curve.md

@@ -0,0 +1,6 @@
+# Yield Curve
+
+
+::: quantflow.rates.yield_curve.YieldCurve
+
+::: quantflow.rates.nelson_siegel.NelsonSiegel

docs/glossary.md

@@ -97,6 +97,24 @@ The [probability density function](https://en.wikipedia.org/wiki/Probability_den
     F_x(x) = \int_{-\infty}^x f_x(s) ds
 \end{equation}
 
+## Put-Call Parity
+
+Put-call parity is a no-arbitrage relationship between the prices of European call
+and put options with the same strike $K$ and maturity. Denoting forward-space prices
+$c = C/F$ and $p = P/F$ (see [Black Pricing](api/options/black.md)), the relationship
+reads:
+
+\begin{equation}
+    c - p = 1 - \frac{K}{F} = 1 - e^k
+\end{equation}
+
+where $k$ is the [log-strike](#log-strike).
+In quoting currency terms, multiplying through by $F$:
+
+\begin{equation}
+    C - P = F - K
+\end{equation}
+
 ## Time To Maturity (TTM)
 
 Time to maturity is the time remaining until an option or forward contract expires,

mkdocs.yml

@@ -91,6 +91,10 @@ nav:
           - OHLC: api/ta/ohlc.md
           - Paths: api/ta/paths.md
           - Supersmoother: api/ta/supersmoother.md
+      - Rates:
+          - api/rates/index.md
+          - Interest Rate: api/rates/interest_rate.md
+          - Yield Curve: api/rates/yield_curve.md
       - Utilities:
           - api/utils/index.md
           - Bins: api/utils/bins.md

pyproject.toml

@@ -119,3 +119,8 @@ module = [
 ]
 ignore_missing_imports = true
 disallow_untyped_defs = false
+
+[dependency-groups]
+dev = [
+    "hypothesis>=6.152.2",
+]

quantflow/options/inputs.py

@@ -47,6 +47,10 @@ class VolSurfaceSecurity(BaseModel):
     def vol_surface_type(self) -> VolSecurityType:
         raise NotImplementedError("vol_surface_type must be implemented by subclasses")
 
+    @classmethod
+    def forward(cls) -> Self:
+        raise NotImplementedError("forward_input must be implemented by subclasses")
+
 
 class DefaultVolSecurity(VolSurfaceSecurity):
     security_type: VolSecurityType = Field(