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Similar blocks of code found in 2 locations. Consider refactoring.
Open

    def _get_hazard_rate(self, start):  # aka get_short_rate

        if start < min(self.domain):
            return self.get_hazard_rate(min(self.domain))
        if max(self.domain) <= start:
Severity: Major
Found in dcf/curves/creditcurve.py and 1 other location - About 1 day to fix
dcf/curves/interestratecurve.py on lines 145..159

Duplicated Code

Duplicated code can lead to software that is hard to understand and difficult to change. The Don't Repeat Yourself (DRY) principle states:

Every piece of knowledge must have a single, unambiguous, authoritative representation within a system.

When you violate DRY, bugs and maintenance problems are sure to follow. Duplicated code has a tendency to both continue to replicate and also to diverge (leaving bugs as two similar implementations differ in subtle ways).

Tuning

This issue has a mass of 196.

We set useful threshold defaults for the languages we support but you may want to adjust these settings based on your project guidelines.

The threshold configuration represents the minimum mass a code block must have to be analyzed for duplication. The lower the threshold, the more fine-grained the comparison.

If the engine is too easily reporting duplication, try raising the threshold. If you suspect that the engine isn't catching enough duplication, try lowering the threshold. The best setting tends to differ from language to language.

See codeclimate-duplication's documentation for more information about tuning the mass threshold in your .codeclimate.yml.

Refactorings

Further Reading

Similar blocks of code found in 2 locations. Consider refactoring.
Open

    def _get_short_rate(self, start):
        if start < min(self.domain):
            return self.get_short_rate(min(self.domain))
        if max(self.domain) <= start:
            return self.get_short_rate(
Severity: Major
Found in dcf/curves/interestratecurve.py and 1 other location - About 1 day to fix
dcf/curves/creditcurve.py on lines 121..135

Duplicated Code

Duplicated code can lead to software that is hard to understand and difficult to change. The Don't Repeat Yourself (DRY) principle states:

Every piece of knowledge must have a single, unambiguous, authoritative representation within a system.

When you violate DRY, bugs and maintenance problems are sure to follow. Duplicated code has a tendency to both continue to replicate and also to diverge (leaving bugs as two similar implementations differ in subtle ways).

Tuning

This issue has a mass of 196.

We set useful threshold defaults for the languages we support but you may want to adjust these settings based on your project guidelines.

The threshold configuration represents the minimum mass a code block must have to be analyzed for duplication. The lower the threshold, the more fine-grained the comparison.

If the engine is too easily reporting duplication, try raising the threshold. If you suspect that the engine isn't catching enough duplication, try lowering the threshold. The best setting tends to differ from language to language.

See codeclimate-duplication's documentation for more information about tuning the mass threshold in your .codeclimate.yml.

Refactorings

Further Reading

Similar blocks of code found in 2 locations. Consider refactoring.
Open

class ZeroRateCurve(InterestRateCurve):
    r"""Interest rate curve storing and interpolating data as zero rates

    $$z(t)=y_t$$
Severity: Major
Found in dcf/curves/interestratecurve.py and 1 other location - About 1 day to fix
dcf/curves/creditcurve.py on lines 215..239

Duplicated Code

Duplicated code can lead to software that is hard to understand and difficult to change. The Don't Repeat Yourself (DRY) principle states:

Every piece of knowledge must have a single, unambiguous, authoritative representation within a system.

When you violate DRY, bugs and maintenance problems are sure to follow. Duplicated code has a tendency to both continue to replicate and also to diverge (leaving bugs as two similar implementations differ in subtle ways).

Tuning

This issue has a mass of 188.

We set useful threshold defaults for the languages we support but you may want to adjust these settings based on your project guidelines.

The threshold configuration represents the minimum mass a code block must have to be analyzed for duplication. The lower the threshold, the more fine-grained the comparison.

If the engine is too easily reporting duplication, try raising the threshold. If you suspect that the engine isn't catching enough duplication, try lowering the threshold. The best setting tends to differ from language to language.

See codeclimate-duplication's documentation for more information about tuning the mass threshold in your .codeclimate.yml.

Refactorings

Further Reading

Similar blocks of code found in 2 locations. Consider refactoring.
Open

class FlatIntensityCurve(CreditCurve):
    r"""Credit curve storing and interpolating data as intensities

    $$\lambda(t)=y_t$$
Severity: Major
Found in dcf/curves/creditcurve.py and 1 other location - About 1 day to fix
dcf/curves/interestratecurve.py on lines 326..350

Duplicated Code

Duplicated code can lead to software that is hard to understand and difficult to change. The Don't Repeat Yourself (DRY) principle states:

Every piece of knowledge must have a single, unambiguous, authoritative representation within a system.

When you violate DRY, bugs and maintenance problems are sure to follow. Duplicated code has a tendency to both continue to replicate and also to diverge (leaving bugs as two similar implementations differ in subtle ways).

Tuning

This issue has a mass of 188.

We set useful threshold defaults for the languages we support but you may want to adjust these settings based on your project guidelines.

The threshold configuration represents the minimum mass a code block must have to be analyzed for duplication. The lower the threshold, the more fine-grained the comparison.

If the engine is too easily reporting duplication, try raising the threshold. If you suspect that the engine isn't catching enough duplication, try lowering the threshold. The best setting tends to differ from language to language.

See codeclimate-duplication's documentation for more information about tuning the mass threshold in your .codeclimate.yml.

Refactorings

Further Reading

Similar blocks of code found in 2 locations. Consider refactoring.
Open

class ShortRateCurve(InterestRateCurve):
    r"""Interest rate curve storing and interpolating data as short rate

    $$r(t)=y_t$$
Severity: Major
Found in dcf/curves/interestratecurve.py and 1 other location - About 1 day to fix
dcf/curves/creditcurve.py on lines 242..270

Duplicated Code

Duplicated code can lead to software that is hard to understand and difficult to change. The Don't Repeat Yourself (DRY) principle states:

Every piece of knowledge must have a single, unambiguous, authoritative representation within a system.

When you violate DRY, bugs and maintenance problems are sure to follow. Duplicated code has a tendency to both continue to replicate and also to diverge (leaving bugs as two similar implementations differ in subtle ways).

Tuning

This issue has a mass of 179.

We set useful threshold defaults for the languages we support but you may want to adjust these settings based on your project guidelines.

The threshold configuration represents the minimum mass a code block must have to be analyzed for duplication. The lower the threshold, the more fine-grained the comparison.

If the engine is too easily reporting duplication, try raising the threshold. If you suspect that the engine isn't catching enough duplication, try lowering the threshold. The best setting tends to differ from language to language.

See codeclimate-duplication's documentation for more information about tuning the mass threshold in your .codeclimate.yml.

Refactorings

Further Reading

Similar blocks of code found in 2 locations. Consider refactoring.
Open

class HazardRateCurve(CreditCurve):
    r"""Credit curve storing and interpolating data as hazard rate

    $$hz(t)=y_t$$
Severity: Major
Found in dcf/curves/creditcurve.py and 1 other location - About 1 day to fix
dcf/curves/interestratecurve.py on lines 353..381

Duplicated Code

Duplicated code can lead to software that is hard to understand and difficult to change. The Don't Repeat Yourself (DRY) principle states:

Every piece of knowledge must have a single, unambiguous, authoritative representation within a system.

When you violate DRY, bugs and maintenance problems are sure to follow. Duplicated code has a tendency to both continue to replicate and also to diverge (leaving bugs as two similar implementations differ in subtle ways).

Tuning

This issue has a mass of 179.

We set useful threshold defaults for the languages we support but you may want to adjust these settings based on your project guidelines.

The threshold configuration represents the minimum mass a code block must have to be analyzed for duplication. The lower the threshold, the more fine-grained the comparison.

If the engine is too easily reporting duplication, try raising the threshold. If you suspect that the engine isn't catching enough duplication, try lowering the threshold. The best setting tends to differ from language to language.

See codeclimate-duplication's documentation for more information about tuning the mass threshold in your .codeclimate.yml.

Refactorings

Further Reading

Identical blocks of code found in 2 locations. Consider refactoring.
Open

        if x is None:
            if curve.domain[-1] < today + '1y':
                x = BusinessRange(today - '3m', curve.domain[-1] + '3m',
                                  step='1d')
            elif curve.domain[-1] < today + '2y':
Severity: Major
Found in dev2.py and 1 other location - About 1 day to fix
dev2.py on lines 265..273

Duplicated Code

Duplicated code can lead to software that is hard to understand and difficult to change. The Don't Repeat Yourself (DRY) principle states:

Every piece of knowledge must have a single, unambiguous, authoritative representation within a system.

When you violate DRY, bugs and maintenance problems are sure to follow. Duplicated code has a tendency to both continue to replicate and also to diverge (leaving bugs as two similar implementations differ in subtle ways).

Tuning

This issue has a mass of 162.

We set useful threshold defaults for the languages we support but you may want to adjust these settings based on your project guidelines.

The threshold configuration represents the minimum mass a code block must have to be analyzed for duplication. The lower the threshold, the more fine-grained the comparison.

If the engine is too easily reporting duplication, try raising the threshold. If you suspect that the engine isn't catching enough duplication, try lowering the threshold. The best setting tends to differ from language to language.

See codeclimate-duplication's documentation for more information about tuning the mass threshold in your .codeclimate.yml.

Refactorings

Further Reading

Identical blocks of code found in 2 locations. Consider refactoring.
Open

            if x is None:
                if curve.domain[-1] < today + '1y':
                    x = BusinessRange(today - '3m', curve.domain[-1] + '3m',
                                      step='1d')
                elif curve.domain[-1] < today + '2y':
Severity: Major
Found in dev2.py and 1 other location - About 1 day to fix
dev2.py on lines 320..328

Duplicated Code

Duplicated code can lead to software that is hard to understand and difficult to change. The Don't Repeat Yourself (DRY) principle states:

Every piece of knowledge must have a single, unambiguous, authoritative representation within a system.

When you violate DRY, bugs and maintenance problems are sure to follow. Duplicated code has a tendency to both continue to replicate and also to diverge (leaving bugs as two similar implementations differ in subtle ways).

Tuning

This issue has a mass of 162.

We set useful threshold defaults for the languages we support but you may want to adjust these settings based on your project guidelines.

The threshold configuration represents the minimum mass a code block must have to be analyzed for duplication. The lower the threshold, the more fine-grained the comparison.

If the engine is too easily reporting duplication, try raising the threshold. If you suspect that the engine isn't catching enough duplication, try lowering the threshold. The best setting tends to differ from language to language.

See codeclimate-duplication's documentation for more information about tuning the mass threshold in your .codeclimate.yml.

Refactorings

Further Reading

File curve.py has 612 lines of code (exceeds 250 allowed). Consider refactoring.
Open

# -*- coding: utf-8 -*-

# dcf
# ---
# A Python library for generating discounted cashflows.
Severity: Major
Found in dcf/curves/curve.py - About 1 day to fix

    Similar blocks of code found in 2 locations. Consider refactoring.
    Open

        def __init__(self, domain=(), data=(), interpolation=None, origin=None,
                 day_count=None, forward_tenor=None):
        # if argument is a curve add extra curve points
        # to domain for better approximation
        if isinstance(domain, RateCurve):
    Severity: Major
    Found in dcf/curves/volatilitycurve.py and 1 other location - About 1 day to fix
    dcf/curves/interestratecurve.py on lines 294..309

    Duplicated Code

    Duplicated code can lead to software that is hard to understand and difficult to change. The Don't Repeat Yourself (DRY) principle states:

    Every piece of knowledge must have a single, unambiguous, authoritative representation within a system.

    When you violate DRY, bugs and maintenance problems are sure to follow. Duplicated code has a tendency to both continue to replicate and also to diverge (leaving bugs as two similar implementations differ in subtle ways).

    Tuning

    This issue has a mass of 138.

    We set useful threshold defaults for the languages we support but you may want to adjust these settings based on your project guidelines.

    The threshold configuration represents the minimum mass a code block must have to be analyzed for duplication. The lower the threshold, the more fine-grained the comparison.

    If the engine is too easily reporting duplication, try raising the threshold. If you suspect that the engine isn't catching enough duplication, try lowering the threshold. The best setting tends to differ from language to language.

    See codeclimate-duplication's documentation for more information about tuning the mass threshold in your .codeclimate.yml.

    Refactorings

    Further Reading

    Similar blocks of code found in 2 locations. Consider refactoring.
    Open

        def __init__(self, domain=(), data=(), interpolation=None, origin=None,
                 day_count=None, forward_tenor=None):
        if isinstance(domain, RateCurve):
            # if argument is a curve add extra curve points to domain
            # for better approximation
    Severity: Major
    Found in dcf/curves/interestratecurve.py and 1 other location - About 1 day to fix
    dcf/curves/volatilitycurve.py on lines 80..95

    Duplicated Code

    Duplicated code can lead to software that is hard to understand and difficult to change. The Don't Repeat Yourself (DRY) principle states:

    Every piece of knowledge must have a single, unambiguous, authoritative representation within a system.

    When you violate DRY, bugs and maintenance problems are sure to follow. Duplicated code has a tendency to both continue to replicate and also to diverge (leaving bugs as two similar implementations differ in subtle ways).

    Tuning

    This issue has a mass of 138.

    We set useful threshold defaults for the languages we support but you may want to adjust these settings based on your project guidelines.

    The threshold configuration represents the minimum mass a code block must have to be analyzed for duplication. The lower the threshold, the more fine-grained the comparison.

    If the engine is too easily reporting duplication, try raising the threshold. If you suspect that the engine isn't catching enough duplication, try lowering the threshold. The best setting tends to differ from language to language.

    See codeclimate-duplication's documentation for more information about tuning the mass threshold in your .codeclimate.yml.

    Refactorings

    Further Reading

    File pricer.py has 535 lines of code (exceeds 250 allowed). Consider refactoring.
    Open

    # -*- coding: utf-8 -*-

# dcf
# ---
# A Python library for generating discounted cashflows.
    Severity: Major
    Found in dcf/pricer.py - About 1 day to fix

      File interpolation.py has 461 lines of code (exceeds 250 allowed). Consider refactoring.
      Open

      # -*- coding: utf-8 -*-

# dcf
# ---
# A Python library for generating discounted cashflows.
      Severity: Minor
      Found in dcf/interpolation.py - About 7 hrs to fix

        Function __iter__ has a Cognitive Complexity of 34 (exceeds 5 allowed). Consider refactoring.
        Open

            def __iter__(self):
        if self._masterscale:
            value = round(float(self), 7)
            value_list = [round(x, 7) for x in list(self.masterscale.values())]
        Severity: Minor
        Found in dcf/ratingclass.py - About 5 hrs 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

        File optionpricing.py has 369 lines of code (exceeds 250 allowed). Consider refactoring.
        Open

        # -*- coding: utf-8 -*-

# dcf
# ---
# A Python library for generating discounted cashflows.
        Severity: Minor
        Found in dcf/models/optionpricing.py - About 4 hrs to fix

          Identical blocks of code found in 2 locations. Consider refactoring.
          Open

                  ret = 1.0 - ONE_OVER_SQRT_OF_TWO_PI * exp(-0.5 * x * x) * (
            result * (0.31938153 +
                      result * (-0.356563782 +
                                result * (1.781477937 +
                                          result * (-1.821255978 +
          Severity: Major
          Found in dcf/models/distibutions.py and 1 other location - About 4 hrs to fix
          dcf/models/distibutions.py on lines 48..53

          Duplicated Code

          Duplicated code can lead to software that is hard to understand and difficult to change. The Don't Repeat Yourself (DRY) principle states:

          Every piece of knowledge must have a single, unambiguous, authoritative representation within a system.

          When you violate DRY, bugs and maintenance problems are sure to follow. Duplicated code has a tendency to both continue to replicate and also to diverge (leaving bugs as two similar implementations differ in subtle ways).

          Tuning

          This issue has a mass of 83.

          We set useful threshold defaults for the languages we support but you may want to adjust these settings based on your project guidelines.

          The threshold configuration represents the minimum mass a code block must have to be analyzed for duplication. The lower the threshold, the more fine-grained the comparison.

          If the engine is too easily reporting duplication, try raising the threshold. If you suspect that the engine isn't catching enough duplication, try lowering the threshold. The best setting tends to differ from language to language.

          See codeclimate-duplication's documentation for more information about tuning the mass threshold in your .codeclimate.yml.

          Refactorings

          Further Reading

          Identical blocks of code found in 2 locations. Consider refactoring.
          Open

                  ret = ONE_OVER_SQRT_OF_TWO_PI * exp(-0.5 * x * x) * (
            result * (0.31938153 +
                      result * (-0.356563782 +
                                result * (1.781477937 +
                                          result * (-1.821255978 +
          Severity: Major
          Found in dcf/models/distibutions.py and 1 other location - About 4 hrs to fix
          dcf/models/distibutions.py on lines 36..41

          Duplicated Code

          Duplicated code can lead to software that is hard to understand and difficult to change. The Don't Repeat Yourself (DRY) principle states:

          Every piece of knowledge must have a single, unambiguous, authoritative representation within a system.

          When you violate DRY, bugs and maintenance problems are sure to follow. Duplicated code has a tendency to both continue to replicate and also to diverge (leaving bugs as two similar implementations differ in subtle ways).

          Tuning

          This issue has a mass of 83.

          We set useful threshold defaults for the languages we support but you may want to adjust these settings based on your project guidelines.

          The threshold configuration represents the minimum mass a code block must have to be analyzed for duplication. The lower the threshold, the more fine-grained the comparison.

          If the engine is too easily reporting duplication, try raising the threshold. If you suspect that the engine isn't catching enough duplication, try lowering the threshold. The best setting tends to differ from language to language.

          See codeclimate-duplication's documentation for more information about tuning the mass threshold in your .codeclimate.yml.

          Refactorings

          Further Reading

          File payoffs.py has 324 lines of code (exceeds 250 allowed). Consider refactoring.
          Open

          # -*- coding: utf-8 -*-

# dcf
# ---
# A Python library for generating discounted cashflows.
          Severity: Minor
          Found in dcf/cashflows/payoffs.py - About 3 hrs to fix

            Similar blocks of code found in 2 locations. Consider refactoring.
            Open

                def _call_price(self, time, strike, forward, volatility):
        vol = volatility * sqrt(time)
        d = (log(forward / strike) + (vol ** 2 / 2)) / vol
        return normal_cdf(d)
            Severity: Major
            Found in dcf/models/black76.py and 1 other location - About 3 hrs to fix
            dcf/models/black76.py on lines 58..61

            Duplicated Code

            Duplicated code can lead to software that is hard to understand and difficult to change. The Don't Repeat Yourself (DRY) principle states:

            Every piece of knowledge must have a single, unambiguous, authoritative representation within a system.

            When you violate DRY, bugs and maintenance problems are sure to follow. Duplicated code has a tendency to both continue to replicate and also to diverge (leaving bugs as two similar implementations differ in subtle ways).

            Tuning

            This issue has a mass of 71.

            We set useful threshold defaults for the languages we support but you may want to adjust these settings based on your project guidelines.

            The threshold configuration represents the minimum mass a code block must have to be analyzed for duplication. The lower the threshold, the more fine-grained the comparison.

            If the engine is too easily reporting duplication, try raising the threshold. If you suspect that the engine isn't catching enough duplication, try lowering the threshold. The best setting tends to differ from language to language.

            See codeclimate-duplication's documentation for more information about tuning the mass threshold in your .codeclimate.yml.

            Refactorings

            Further Reading

            Similar blocks of code found in 2 locations. Consider refactoring.
            Open

                def _call_delta(self, time, strike, forward, volatility):
        vol = volatility * sqrt(time)
        d = (log(forward / strike) + (vol ** 2 / 2)) / vol
        return normal_cdf(d)
            Severity: Major
            Found in dcf/models/black76.py and 1 other location - About 3 hrs to fix
            dcf/models/black76.py on lines 103..106

            Duplicated Code

            Duplicated code can lead to software that is hard to understand and difficult to change. The Don't Repeat Yourself (DRY) principle states:

            Every piece of knowledge must have a single, unambiguous, authoritative representation within a system.

            When you violate DRY, bugs and maintenance problems are sure to follow. Duplicated code has a tendency to both continue to replicate and also to diverge (leaving bugs as two similar implementations differ in subtle ways).

            Tuning

            This issue has a mass of 71.

            We set useful threshold defaults for the languages we support but you may want to adjust these settings based on your project guidelines.

            The threshold configuration represents the minimum mass a code block must have to be analyzed for duplication. The lower the threshold, the more fine-grained the comparison.

            If the engine is too easily reporting duplication, try raising the threshold. If you suspect that the engine isn't catching enough duplication, try lowering the threshold. The best setting tends to differ from language to language.

            See codeclimate-duplication's documentation for more information about tuning the mass threshold in your .codeclimate.yml.

            Refactorings

            Further Reading

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