File sabr.py has 1413 lines of code (exceeds 250 allowed). Consider refactoring.

Open

#!/bin/python
# -*- coding: utf-8 -*-

from __future__ import division, print_function, absolute_import
import math

File pricer_quanto_cms.py has 911 lines of code (exceeds 250 allowed). Consider refactoring.

Open

#!/bin/python
# -*- coding: utf-8 -*-

from __future__ import division, print_function, absolute_import
import numpy as np

File test_pricer_quanto_cms.py has 756 lines of code (exceeds 250 allowed). Consider refactoring.

Open

#!/bin/python
# -*- coding: utf-8 -*-

from __future__ import division, print_function, absolute_import
from pytest import approx

File black_scholes.py has 643 lines of code (exceeds 250 allowed). Consider refactoring.

Open

from __future__ import division, print_function, absolute_import
import math
import numpy as np
import scipy.special

File test_black.py has 494 lines of code (exceeds 250 allowed). Consider refactoring.

Open

#!/bin/python
# -*- coding: utf-8 -*-

from __future__ import absolute_import
from __future__ import division

File test_black_scholes.py has 483 lines of code (exceeds 250 allowed). Consider refactoring.

Open

#!/bin/python
# -*- coding: utf-8 -*-

from __future__ import absolute_import
from __future__ import division

File test_sabr.py has 479 lines of code (exceeds 250 allowed). Consider refactoring.

Open

#!/bin/python
# -*- coding: utf-8 -*-

from __future__ import division, print_function, absolute_import
from pytest import approx

File test__quanto_cms_forward_fx.py has 426 lines of code (exceeds 250 allowed). Consider refactoring.

Open

#!/bin/python
# -*- coding: utf-8 -*-

from __future__ import division, print_function, absolute_import
from pytest import approx

TestSabr has 31 functions (exceeds 20 allowed). Consider refactoring.

Open

class TestSabr(object):

    # before all tests starts
    @classmethod
    def setup_class(cls):

File black.py has 323 lines of code (exceeds 250 allowed). Consider refactoring.

Open

#!/bin/python
# -*- coding: utf-8 -*-

from __future__ import division, print_function, absolute_import
import numpy as np

File _quanto_cms_forward_fx.py has 312 lines of code (exceeds 250 allowed). Consider refactoring.

Open

#!/bin/python
# -*- coding: utf-8 -*-

from __future__ import division, print_function, absolute_import
import math

File setup.py has 311 lines of code (exceeds 250 allowed). Consider refactoring.

Open

#!/usr/bin/env python
# -*- coding: utf-8 -*-

from setuptools import Command
from setuptools.command.test import test as TestCommand

TestBlackScholes has 24 functions (exceeds 20 allowed). Consider refactoring.

Open

class TestBlackScholes(object):

    # before all tests starts
    @classmethod
    def setup_class(cls):

Test_SimpleQuantoCmsLinearBullSpreadHelper has 24 functions (exceeds 20 allowed). Consider refactoring.

Open

class Test_SimpleQuantoCmsLinearBullSpreadHelper(object):

    # before all tests starts
    @classmethod
    def setup_class(cls):

Function test_black_scholes_call_value has a Cognitive Complexity of 14 (exceeds 5 allowed). Consider refactoring.

Open

    def test_black_scholes_call_value(
            self, underlying, strike, rate, maturity, vol, today):
        time = maturity - today
        if vol <= 0.0:
            with pytest.raises(AssertionError):

• Read up
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Function sabr_implied_vol_hagan has a Cognitive Complexity of 14 (exceeds 5 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.

• Read up
  Read up

Function __init__ has 12 arguments (exceeds 4 allowed). Consider refactoring.

Open

    def __init__(self,

Function sabr_implied_vol_hagan_fhess_by_strike has 35 lines of code (exceeds 25 allowed). Consider refactoring.

Open

def sabr_implied_vol_hagan_fhess_by_strike(
        underlying, strike, maturity, alpha, beta, rho, nu):
    """sabr_implied_vol_hagan_fhess_by_strike
    second derivative of Hagan's SABR implied volatility formula
    with respect to strike.

Function sabr_implied_vol_hagan_fhess_by_underlying has 35 lines of code (exceeds 25 allowed). Consider refactoring.

Open

def sabr_implied_vol_hagan_fhess_by_underlying(
        underlying, strike, maturity, alpha, beta, rho, nu):
    """sabr_implied_vol_hagan_fhess_by_underlying
    second derivative of Hagan's SABR implied volatility formula
    with respect to underlying.

Function __init__ has 11 arguments (exceeds 4 allowed). Consider refactoring.

Open

    def __init__(self,