Interpolated yield curve

app/api/cointegration.py

@@ -30,7 +30,7 @@ async def cointegration(
     fmp: FMPDep,
     redis: RedisDep,
     frequency: FMP.freq = Query(
-        FMP.freq.daily,
+        FMP.freq.DAILY,
         description="Price sampling frequency.",
     ),
 ) -> CointegrationResponse:

docs/examples/heston_volatility_pricer.py

@@ -17,7 +17,7 @@
 
 # Price an ATM call option at time to maturity 1.0
 price = pricer.price(
-    option_type=OptionType.call,
+    option_type=OptionType.CALL,
     strike=100.0,
     forward=100.0,
     ttm=1.0,

docs/examples/wiener_volatility_pricer.py

@@ -8,7 +8,7 @@
 
 # Price an ATM call option at time to maturity 1.0
 price = pricer.price(
-    option_type=OptionType.call,
+    option_type=OptionType.CALL,
     strike=100.0,
     forward=100.0,
     ttm=1.0,

quantflow/data/deribit.py

@@ -31,11 +31,11 @@ def parse_maturity(v: str) -> datetime:
 class InstrumentKind(enum.StrEnum):
     """Instrument kind for Deribit API."""
 
-    future = enum.auto()
-    option = enum.auto()
-    spot = enum.auto()
-    future_combo = enum.auto()
-    option_combo = enum.auto()
+    FUTURE = enum.auto()
+    OPTION = enum.auto()
+    SPOT = enum.auto()
+    FUTURE_COMBO = enum.auto()
+    OPTION_COMBO = enum.auto()
 
 
 @dataclass
@@ -158,18 +158,18 @@ async def volatility_surface_loader(
         )
         if inverse:
             futures = await self.get_book_summary_by_currency(
-                currency=currency, kind=InstrumentKind.future
+                currency=currency, kind=InstrumentKind.FUTURE
             )
             options = await self.get_book_summary_by_currency(
-                currency=currency, kind=InstrumentKind.option
+                currency=currency, kind=InstrumentKind.OPTION
             )
             instruments = await self.get_instruments(currency=currency)
         else:
             futures = await self.get_book_summary_by_currency(
-                currency="usdc", kind=InstrumentKind.future, base=currency
+                currency="usdc", kind=InstrumentKind.FUTURE, base=currency
             )
             options = await self.get_book_summary_by_currency(
-                currency="usdc", kind=InstrumentKind.option, base=currency
+                currency="usdc", kind=InstrumentKind.OPTION, base=currency
             )
             instruments = await self.get_instruments(currency="usdc", base=currency)
         instrument_map = {i["instrument_name"]: i for i in instruments}
@@ -226,9 +226,9 @@ async def volatility_surface_loader(
                         utc=True,
                     ).to_pydatetime(),
                     option_type=(
-                        OptionType.call
+                        OptionType.CALL
                         if meta["option_type"] == "call"
-                        else OptionType.put
+                        else OptionType.PUT
                     ),
                     bid=round_to_step(bid_, tick_size),
                     ask=round_to_step(ask_, tick_size),

quantflow/data/fmp.py

@@ -25,22 +25,22 @@ class FMP(AioHttpClient):
     class freq(StrEnum):
         """FMP historical frequencies"""
 
-        one_min = "1min"
-        five_min = "5min"
-        fifteen_min = "15min"
-        thirty_min = "30min"
-        one_hour = "1hour"
-        four_hour = "4hour"
-        daily = "daily"
+        ONE_MIN = "1min"
+        FIVE_MIN = "5min"
+        FIFTEEN_MIN = "15min"
+        THIRTY_MIN = "30min"
+        ONE_HOUR = "1hour"
+        FOUR_HOUR = "4hour"
+        DAILY = "daily"
 
         @classmethod
         def crate(cls, s: str | None) -> Self:
             if s is None:
-                return cls.daily
+                return cls.DAILY
             try:
                 return cls(s)
             except ValueError:
-                return cls.daily
+                return cls.DAILY
 
     async def market_risk_premium(self) -> list[dict]:
         """Market risk premium"""
@@ -204,7 +204,7 @@ async def prices(
         freq = self.freq.crate(frequency)
         path = (
             "historical-price-eod/full"
-            if freq is self.freq.daily
+            if freq is self.freq.DAILY
             else f"historical-chart/{freq}"
         )
         data = await self.get_path(

quantflow/data/fred.py

@@ -22,13 +22,13 @@ class Fred(AioHttpClient):
     class freq(StrEnum):
         """Fred historical frequencies"""
 
-        d = "d"
-        w = "w"
-        bw = "bw"
-        m = "m"
-        q = "q"
-        sa = "sa"
-        a = "a"
+        D = "d"
+        W = "w"
+        BW = "bw"
+        M = "m"
+        Q = "q"
+        SA = "sa"
+        A = "a"
 
     async def categiories(self, **kw: Any) -> dict:
         """Get categories"""

quantflow/data/yahoo.py

@@ -62,17 +62,17 @@ class Yahoo(HttpxClient):
     class freq(StrEnum):
         """Yahoo Finance chart intervals"""
 
-        one_min = "1m"
-        two_min = "2m"
-        five_min = "5m"
-        fifteen_min = "15m"
-        thirty_min = "30m"
-        one_hour = "1h"
-        one_day = "1d"
-        five_day = "5d"
-        one_week = "1wk"
-        one_month = "1mo"
-        three_month = "3mo"
+        ONE_MIN = "1m"
+        TWO_MIN = "2m"
+        FIVE_MIN = "5m"
+        FIFTEEN_MIN = "15m"
+        THIRTY_MIN = "30m"
+        ONE_HOUR = "1h"
+        ONE_DAY = "1d"
+        FIVE_DAY = "5d"
+        ONE_WEEK = "1wk"
+        ONE_MONTH = "1mo"
+        THREE_MONTH = "3mo"
 
     async def option_chain(
         self,
@@ -160,8 +160,8 @@ def loader_from_chain(
                 .replace(hour=20, tzinfo=timezone.utc)
             )
             for option_type, contracts in (
-                (OptionType.call, expiry.get("calls", [])),
-                (OptionType.put, expiry.get("puts", [])),
+                (OptionType.CALL, expiry.get("calls", [])),
+                (OptionType.PUT, expiry.get("puts", [])),
             ):
                 for c in contracts:
                     bid_ = c.get("bid")
@@ -187,7 +187,7 @@ async def prices(
         *,
         interval: Annotated[
             str | freq, Doc("Bar interval — use Yahoo.freq members or a raw string")
-        ] = freq.one_day,
+        ] = freq.ONE_DAY,
         from_date: Annotated[date | None, Doc("Start date (inclusive)")] = None,
         to_date: Annotated[date | None, Doc("End date (inclusive)")] = None,
         range: Annotated[

quantflow/options/inputs.py

@@ -18,25 +18,25 @@
 class Side(enum.StrEnum):
     """Side of the market"""
 
-    bid = enum.auto()
-    ask = enum.auto()
+    BID = enum.auto()
+    ASK = enum.auto()
 
 
 class OptionType(enum.StrEnum):
     """Type of option"""
 
-    call = enum.auto()
-    put = enum.auto()
+    CALL = enum.auto()
+    PUT = enum.auto()
 
     def is_call(self) -> bool:
-        return self is OptionType.call
+        return self is OptionType.CALL
 
     def is_put(self) -> bool:
-        return self is OptionType.put
+        return self is OptionType.PUT
 
     def call_put(self) -> int:
         """Return 1 for call options and -1 for put options"""
-        return 1 if self is OptionType.call else -1
+        return 1 if self is OptionType.CALL else -1
 
 
 class OptionMetadata(BaseModel):
@@ -65,9 +65,9 @@ def is_in_the_money(self, forward: Decimal) -> bool:
 class VolSecurityType(enum.StrEnum):
     """Type of security for the volatility surface"""
 
-    spot = enum.auto()
-    forward = enum.auto()
-    option = enum.auto()
+    SPOT = enum.auto()
+    FORWARD = enum.auto()
+    OPTION = enum.auto()
 
 
 class VolSurfaceSecurity(BaseModel):
@@ -84,7 +84,7 @@ def forward(cls) -> Self:
 
 class DefaultVolSecurity(VolSurfaceSecurity):
     security_type: VolSecurityType = Field(
-        default=VolSecurityType.spot,
+        default=VolSecurityType.SPOT,
         description="Type of security for the volatility surface",
     )
 
@@ -93,22 +93,22 @@ def vol_surface_type(self) -> VolSecurityType:
 
     @classmethod
     def spot(cls) -> Self:
-        return cls(security_type=VolSecurityType.spot)
+        return cls(security_type=VolSecurityType.SPOT)
 
     @classmethod
     def forward(cls) -> Self:
-        return cls(security_type=VolSecurityType.forward)
+        return cls(security_type=VolSecurityType.FORWARD)
 
     @classmethod
     def option(cls) -> Self:
-        return cls(security_type=VolSecurityType.option)
+        return cls(security_type=VolSecurityType.OPTION)
 
 
 class SpotInput(PriceVolume):
     """Input data for a spot contract in the volatility surface"""
 
     security_type: VolSecurityType = Field(
-        default=VolSecurityType.spot,
+        default=VolSecurityType.SPOT,
         description="Type of security for the volatility surface",
     )
 
@@ -118,7 +118,7 @@ class ForwardInput(PriceVolume):
 
     maturity: datetime = Field(description="Expiry date of the forward contract")
     security_type: VolSecurityType = Field(
-        default=VolSecurityType.forward,
+        default=VolSecurityType.FORWARD,
         description="Type of security for the volatility surface",
     )
 
@@ -127,7 +127,7 @@ class OptionInput(PriceVolume, OptionMetadata):
     """Input data for an option in the volatility surface"""
 
     security_type: VolSecurityType = Field(
-        default=VolSecurityType.option,
+        default=VolSecurityType.OPTION,
         description="Type of security for the volatility surface",
     )
     iv_bid: DecimalNumber | None = Field(

quantflow/options/pricer.py

@@ -103,7 +103,7 @@ def intrinsic_value(self) -> float:
         For a put option, the intrinsic value is non-negative when the moneyness
         is positive, i.e. when the strike is above the forward price.
         """
-        if self.option_type == OptionType.call:
+        if self.option_type == OptionType.CALL:
             return max(0.0, self.parity)
         else:
             return max(0.0, -self.parity)
@@ -118,7 +118,7 @@ def as_option_type(
         """Convert the option price to the given option type via put-call parity."""
         if self.option_type == option_type:
             return self
-        if self.option_type == OptionType.call:
+        if self.option_type == OptionType.CALL:
             new_price = self.price - self.parity
             new_delta = self.delta - 1.0
         else:
@@ -161,7 +161,7 @@ def price(
         log_strike = float((strike_ / forward_).ln())
         result = self.pricing.call_greeks(log_strike)
         return ModelOptionPrice(
-            option_type=OptionType.call,
+            option_type=OptionType.CALL,
             strike=strike_,
             forward=forward_,
             log_strike=log_strike,

quantflow/options/strategies/butterfly.py

@@ -17,7 +17,7 @@ def _option_type_for_log_strike(mid_log_strike: float) -> OptionType:
 
     Calls for body above ATM, puts for body below ATM, calls at ATM.
     """
-    return OptionType.put if mid_log_strike < 0 else OptionType.call
+    return OptionType.PUT if mid_log_strike < 0 else OptionType.CALL
 
 
 class Butterfly(Strategy, frozen=True):

quantflow/options/strategies/calendar_spread.py

@@ -68,7 +68,7 @@ def call(
         quantity: Number = 1.0,
     ) -> Self:
         return cls.create(
-            strike, near_maturity, far_maturity, OptionType.call, quantity
+            strike, near_maturity, far_maturity, OptionType.CALL, quantity
         )
 
     @classmethod
@@ -79,4 +79,4 @@ def put(
         far_maturity: datetime,
         quantity: Number = 1.0,
     ) -> Self:
-        return cls.create(strike, near_maturity, far_maturity, OptionType.put, quantity)
+        return cls.create(strike, near_maturity, far_maturity, OptionType.PUT, quantity)

quantflow/options/strategies/spread.py

@@ -39,15 +39,15 @@ def call(
             legs=(
                 StrategyLeg(
                     meta=OptionMetadata(
-                        option_type=OptionType.call,
+                        option_type=OptionType.CALL,
                         strike=low,
                         maturity=maturity,
                     ),
                     quantity=q,
                 ),
                 StrategyLeg(
                     meta=OptionMetadata(
-                        option_type=OptionType.call,
+                        option_type=OptionType.CALL,
                         strike=high,
                         maturity=maturity,
                     ),
@@ -74,15 +74,15 @@ def put(
             legs=(
                 StrategyLeg(
                     meta=OptionMetadata(
-                        option_type=OptionType.put,
+                        option_type=OptionType.PUT,
                         strike=high,
                         maturity=maturity,
                     ),
                     quantity=q,
                 ),
                 StrategyLeg(
                     meta=OptionMetadata(
-                        option_type=OptionType.put,
+                        option_type=OptionType.PUT,
                         strike=low,
                         maturity=maturity,
                     ),

quantflow/options/strategies/straddle.py

@@ -28,15 +28,15 @@ def create(cls, strike: Number, maturity: datetime, quantity: Number = 1.0) -> S
             legs=(
                 StrategyLeg(
                     meta=OptionMetadata(
-                        option_type=OptionType.call,
+                        option_type=OptionType.CALL,
                         strike=strike_,
                         maturity=maturity,
                     ),
                     quantity=q,
                 ),
                 StrategyLeg(
                     meta=OptionMetadata(
-                        option_type=OptionType.put,
+                        option_type=OptionType.PUT,
                         strike=strike_,
                         maturity=maturity,
                     ),