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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 not isinstance(data, RateCurve):
            data = [1. - d for d in data]
        super(DefaultProbabilityCurve, self).__init__(domain, data,
Severity: Major
Found in dcf/curves/creditcurve.py and 1 other location - About 3 hrs to fix
dcf/curves/creditcurve.py on lines 335..340

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 70.

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 not isinstance(data, RateCurve):
            data = [1. - d for d in data]
        super(MarginalDefaultProbabilityCurve, self).__init__(
Severity: Major
Found in dcf/curves/creditcurve.py and 1 other location - About 3 hrs to fix
dcf/curves/creditcurve.py on lines 206..212

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 70.

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 interestratecurve.py has 315 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/curves/interestratecurve.py - About 3 hrs to fix

    File dev2.py has 314 lines of code (exceeds 250 allowed). Consider refactoring.
    Open

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

# dcf
# ---
# A Python library for generating discounted cashflows.
    Severity: Minor
    Found in dev2.py - About 3 hrs to fix

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

          def _get_compounding_rate(self, start, stop):
        if start == stop == self.origin:
            # zero rate proxy at origin
            stop = min(d for d in self.domain if self.origin < d)
            # todo:
      Severity: Major
      Found in dcf/curves/interestratecurve.py and 1 other location - About 3 hrs to fix
      dcf/curves/creditcurve.py on lines 184..191

      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 66.

      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_compounding_rate(self, start, stop):
        if start == stop == self.origin:
            # intensity proxi at origin
            stop = min(d for d in self.domain if self.origin < d)
            # todo:
      Severity: Major
      Found in dcf/curves/creditcurve.py and 1 other location - About 3 hrs to fix
      dcf/curves/interestratecurve.py on lines 316..323

      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 66.

      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

                  if hasattr(self.forward_curve, 'get_forward_price'):
                forward = self.forward_curve.get_forward_price(date)
            elif hasattr(self.forward_curve, 'get_cash_rate'):
                forward = self.forward_curve.get_cash_rate(date)
            elif isinstance(self.forward_curve, (int, float)):
      Severity: Major
      Found in dcf/models/optionpricing.py and 1 other location - About 3 hrs to fix
      dcf/models/optionpricing.py on lines 225..230

      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 62.

      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

                  if hasattr(self.volatility_curve, 'get_terminal_vol'):
                volatility = self.volatility_curve.get_terminal_vol(date)
            elif isinstance(self.volatility_curve, (int, float)):
                volatility = float(self.volatility_curve)
            else:
      Severity: Major
      Found in dcf/models/optionpricing.py and 1 other location - About 3 hrs to fix
      dcf/models/optionpricing.py on lines 205..212

      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 62.

      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 cashflow.py has 283 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/cashflow.py - About 2 hrs to fix

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

            def _call_vega(self, time, strike, forward, volatility):
        vol = volatility * sqrt(time)
        d = (forward - strike) / vol
        return sqrt(time) * normal_pdf(d)
        Severity: Major
        Found in dcf/models/bachelier.py and 1 other location - About 2 hrs to fix
        dcf/models/bachelier.py on lines 64..67

        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 59.

        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

            def _call_vega(self, time, strike, forward, volatility):
        vol = volatility * sqrt(time)
        d = (forward - strike) / vol
        return sqrt(time) * normal_pdf(d)
        Severity: Major
        Found in dcf/models/bachelier.py and 1 other location - About 2 hrs to fix
        dcf/models/bachelier.py on lines 112..115

        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 59.

        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

        Function details has a Cognitive Complexity of 18 (exceeds 5 allowed). Consider refactoring.
        Open

            def details(self, date, strike=None):
        """model parameter details

        :param date: option expiry date (also fixing date)
        :param strike: option strike value
        Severity: Minor
        Found in dcf/models/optionpricing.py - About 2 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

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

            def _call_gamma(self, time, strike, forward, volatility):
        vol = volatility * sqrt(time)
        d = (forward - strike) / vol
        return normal_pdf(d) / vol
        Severity: Major
        Found in dcf/models/bachelier.py and 1 other location - About 2 hrs to fix
        dcf/models/bachelier.py on lines 102..105

        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 55.

        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 = (forward - strike) / vol
        return normal_pdf(d) / vol
        Severity: Major
        Found in dcf/models/bachelier.py and 1 other location - About 2 hrs to fix
        dcf/models/bachelier.py on lines 59..62

        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 55.

        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

        zeros_term = 1 * y, 2 * y, 5 * y, 10 * y, 15 * y, 20 * y, 30 * y
        Severity: Major
        Found in data.py and 1 other location - About 2 hrs to fix
        data.py on lines 39..39

        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 55.

        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

        fwd_term = 2 * b, 3 * m, 6 * m, 1 * y, 2 * y, 5 * y, 10 * y
        Severity: Major
        Found in data.py and 1 other location - About 2 hrs to fix
        data.py on lines 38..38

        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 55.

        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

        Function rate_table has a Cognitive Complexity of 17 (exceeds 5 allowed). Consider refactoring.
        Open

        def rate_table(curve, x_grid=None, y_grid=None):
    if x_grid is None:
        if curve.origin in curve.domain:
            x_grid = curve.domain
        else:
        Severity: Minor
        Found in dcf/curves/plot.py - About 2 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

        Function plot_curve has a Cognitive Complexity of 15 (exceeds 5 allowed). Consider refactoring.
        Open

            def plot_curve(curves, x=None):
        if not isinstance(curves, (tuple, list)):
            curves = (curves,)

        fig, axs = plt.subplots(1, len(curves))
        Severity: Minor
        Found in dev2.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

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

            def _call_price(self, time, strike, forward, volatility):
        vol = volatility * sqrt(time)
        d = (forward - strike) / vol
        return normal_cdf(d)
        Severity: Major
        Found in dcf/models/bachelier.py and 1 other location - About 1 hr to fix
        dcf/models/bachelier.py on lines 54..57

        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 49.

        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

        Function plot_vol has a Cognitive Complexity of 15 (exceeds 5 allowed). Consider refactoring.
        Open

            def plot_vol(curves, x=None):
        if not isinstance(curves, (tuple, list)):
            curves = curves,

        fig, axs = plt.subplots(1, len(curves))
        Severity: Minor
        Found in dev2.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

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