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Showing 245 of 1,119 total issues

Function test_sabr_implied_vol_hagan has 32 lines of code (exceeds 25 allowed). Consider refactoring.
Open

    def test_sabr_implied_vol_hagan(
            self, underlying, strike, maturity, alpha, beta, rho, nu):
        one_minus_beta = 1.0 - beta
        one_minus_beta2 = one_minus_beta ** 2
        one_minus_beta4 = one_minus_beta ** 4
Severity: Minor
Found in mafipy/function/tests/test_sabr.py - About 1 hr to fix

    Function parse_setuppy_commands has a Cognitive Complexity of 11 (exceeds 5 allowed). Consider refactoring.
    Open

    def parse_setuppy_commands(args):
    """Check the commands and respond appropriately.  Disable broken commands.
    Return a boolean value for whether or not to run the build or not (avoid
    parsing Cython and template files if False).
    """
    Severity: Minor
    Found in setup.py - About 1 hr to fix

    Cognitive Complexity

    Cognitive Complexity is a measure of how difficult a unit of code is to intuitively understand. Unlike Cyclomatic Complexity, which determines how difficult your code will be to test, Cognitive Complexity tells you how difficult your code will be to read and comprehend.

    A method's cognitive complexity is based on a few simple rules:

    • Code is not considered more complex when it uses shorthand that the language provides for collapsing multiple statements into one
    • Code is considered more complex for each "break in the linear flow of the code"
    • Code is considered more complex when "flow breaking structures are nested"

    Further reading

    Function test_replication_bull_spread has 29 lines of code (exceeds 25 allowed). Consider refactoring.
    Open

        def test_replication_bull_spread(self):
        data = util.get_real(1)
        min_put_range = 1e-10
        init_swap_rate = data[0]
        max_call_range = 10.0
    Severity: Minor
    Found in mafipy/replication/tests/test_replication_method.py - About 1 hr to fix

      Function sabr_caibration_simple has 9 arguments (exceeds 4 allowed). Consider refactoring.
      Open

      def sabr_caibration_simple(market_vols,
      Severity: Major
      Found in mafipy/calibrator/sabr.py - About 1 hr to fix

        Function sabr_implied_vol_hagan has 27 lines of code (exceeds 25 allowed). Consider refactoring.
        Open

        def sabr_implied_vol_hagan(
        underlying, strike, maturity, alpha, beta, rho, nu):
    """sabr_implied_vol_hagan
    calculate implied volatility under SABR model.
        Severity: Minor
        Found in mafipy/function/sabr.py - About 1 hr to fix

          Function black_scholes_implied_vol has 8 arguments (exceeds 4 allowed). Consider refactoring.
          Open

          def black_scholes_implied_vol(underlying,
          Severity: Major
          Found in mafipy/calibrator/implied_vol.py - About 1 hr to fix

            Function _forward_fx_diffusion_fprime has 8 arguments (exceeds 4 allowed). Consider refactoring.
            Open

            def _forward_fx_diffusion_fprime(
            Severity: Major
            Found in mafipy/replication/_quanto_cms_forward_fx.py - About 1 hr to fix

              Function test_sabr_payers_swaption_value has 8 arguments (exceeds 4 allowed). Consider refactoring.
              Open

                  def test_sabr_payers_swaption_value(
              Severity: Major
              Found in mafipy/function/tests/test_sabr.py - About 1 hr to fix

                Function test_sabr_receivers_swaption_value has 8 arguments (exceeds 4 allowed). Consider refactoring.
                Open

                    def test_sabr_receivers_swaption_value(
                Severity: Major
                Found in mafipy/function/tests/test_sabr.py - About 1 hr to fix

                  Function sabr_payers_swaption_value has 8 arguments (exceeds 4 allowed). Consider refactoring.
                  Open

                  def sabr_payers_swaption_value(
                  Severity: Major
                  Found in mafipy/function/sabr.py - About 1 hr to fix

                    Function black_swaption_implied_vol has 8 arguments (exceeds 4 allowed). Consider refactoring.
                    Open

                    def black_swaption_implied_vol(init_swap_rate,
                    Severity: Major
                    Found in mafipy/calibrator/implied_vol.py - About 1 hr to fix

                      Function _forward_fx_diffusion_fhess has 8 arguments (exceeds 4 allowed). Consider refactoring.
                      Open

                      def _forward_fx_diffusion_fhess(
                      Severity: Major
                      Found in mafipy/replication/_quanto_cms_forward_fx.py - About 1 hr to fix

                        Function test_model_sabr_payers_swaption_delta has 8 arguments (exceeds 4 allowed). Consider refactoring.
                        Open

                            def test_model_sabr_payers_swaption_delta(
                        Severity: Major
                        Found in mafipy/function/tests/test_sabr.py - About 1 hr to fix

                          Function _forward_fx_diffusion has 8 arguments (exceeds 4 allowed). Consider refactoring.
                          Open

                          def _forward_fx_diffusion(
                          Severity: Major
                          Found in mafipy/replication/_quanto_cms_forward_fx.py - About 1 hr to fix

                            Function sabr_receivers_swaption_value has 8 arguments (exceeds 4 allowed). Consider refactoring.
                            Open

                            def sabr_receivers_swaption_value(
                            Severity: Major
                            Found in mafipy/function/sabr.py - About 1 hr to fix

                              Consider simplifying this complex logical expression.
                              Open

                                          if maturity < 0 or np.isclose(maturity, 0.0):
                expect = 0.0
                assert expect == approx(actual)
            # never below strike
            elif underlying > 0.0 and strike < 0.0:
                              Severity: Major
                              Found in mafipy/function/tests/test_black_scholes.py - About 1 hr to fix

                                Function sabr_payers_swaption_delta has 8 arguments (exceeds 4 allowed). Consider refactoring.
                                Open

                                def sabr_payers_swaption_delta(
                                Severity: Major
                                Found in mafipy/function/sabr.py - About 1 hr to fix

                                  Function test_black_payers_swaption_value has a Cognitive Complexity of 9 (exceeds 5 allowed). Consider refactoring.
                                  Open

                                      def test_black_payers_swaption_value(self,
                                         init_swap_rate,
                                         option_strike,
                                         swap_annuity,
                                         option_maturity,
                                  Severity: Minor
                                  Found in mafipy/function/tests/test_black.py - About 55 mins to fix

                                  Cognitive Complexity

                                  Cognitive Complexity is a measure of how difficult a unit of code is to intuitively understand. Unlike Cyclomatic Complexity, which determines how difficult your code will be to test, Cognitive Complexity tells you how difficult your code will be to read and comprehend.

                                  A method's cognitive complexity is based on a few simple rules:

                                  • Code is not considered more complex when it uses shorthand that the language provides for collapsing multiple statements into one
                                  • Code is considered more complex for each "break in the linear flow of the code"
                                  • Code is considered more complex when "flow breaking structures are nested"

                                  Further reading

                                  Function test_black_receivers_swaption_value has a Cognitive Complexity of 9 (exceeds 5 allowed). Consider refactoring.
                                  Open

                                      def test_black_receivers_swaption_value(self,
                                            init_swap_rate,
                                            option_strike,
                                            swap_annuity,
                                            option_maturity,
                                  Severity: Minor
                                  Found in mafipy/function/tests/test_black.py - About 55 mins to fix

                                  Cognitive Complexity

                                  Cognitive Complexity is a measure of how difficult a unit of code is to intuitively understand. Unlike Cyclomatic Complexity, which determines how difficult your code will be to test, Cognitive Complexity tells you how difficult your code will be to read and comprehend.

                                  A method's cognitive complexity is based on a few simple rules:

                                  • Code is not considered more complex when it uses shorthand that the language provides for collapsing multiple statements into one
                                  • Code is considered more complex for each "break in the linear flow of the code"
                                  • Code is considered more complex when "flow breaking structures are nested"

                                  Further reading

                                  Function black_scholes_call_value has a Cognitive Complexity of 9 (exceeds 5 allowed). Consider refactoring.
                                  Open

                                  def black_scholes_call_value(
        underlying,
        strike,
        rate,
        maturity,
                                  Severity: Minor
                                  Found in mafipy/function/black_scholes.py - About 55 mins to fix

                                  Cognitive Complexity

                                  Cognitive Complexity is a measure of how difficult a unit of code is to intuitively understand. Unlike Cyclomatic Complexity, which determines how difficult your code will be to test, Cognitive Complexity tells you how difficult your code will be to read and comprehend.

                                  A method's cognitive complexity is based on a few simple rules:

                                  • Code is not considered more complex when it uses shorthand that the language provides for collapsing multiple statements into one
                                  • Code is considered more complex for each "break in the linear flow of the code"
                                  • Code is considered more complex when "flow breaking structures are nested"

                                  Further reading

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