Fixing tests.

.gitignore

@@ -32,6 +32,7 @@ Cargo.lock
 
 ## PYTHON
 .venv/
+.env/
 venv/
 env/
 ./Bindings/.venv

Cargo.toml

@@ -55,7 +55,7 @@ rustdoc-args = ["--html-in-header", "katex_header.html", "--cfg", "docsrs"]
 [dependencies]
 derive_builder = "0.20.0"   # https://docs.rs/derive_builder/latest/derive_builder/
 errorfunctions = "0.2.0"    # https://docs.rs/errorfunctions/latest/errorfunctions/
-nalgebra = "0.32.0"         # https://docs.rs/nalgebra/latest/nalgebra/
+nalgebra = "0.33.0"         # https://docs.rs/nalgebra/latest/nalgebra/
 ndarray = "0.15.0"          # https://docs.rs/ndarray/latest/ndarray/
 ndrustfft = "0.4.0"         # https://docs.rs/ndrustfft/latest/ndrustfft/
 ndarray-rand = "0.14.0"     # https://docs.rs/ndarray-rand/latest/ndarray_rand/
@@ -76,7 +76,7 @@ num = { version = "0.4.1", features = ["rand"] }
 time = { version = "0.3.34", features = ["macros"] }
 
 # https://docs.rs/polars/latest/polars/
-polars = { version = "0.39.2", features = ["docs-selection"] }
+polars = { version = "0.41.1", features = ["docs-selection"] }
 
 
 [dev-dependencies]
@@ -92,5 +92,6 @@ finitediff = "0.1.4" # https://docs.rs/finitediff/latest/finitediff/
 # crate-type = ["cdylib"]
 
 # [dependencies.pyo3]
-# version = "0.19.0"
+# version = "0.22.0"
+# features = ["extension-module"]
 # features = ["abi3-py37", "extension-module"]

pyproject.toml

@@ -0,0 +1,16 @@
+[build-system]
+requires = ["maturin>=1.6,<2.0"]
+build-backend = "maturin"
+
+[tool.maturin]
+features = ["pyo3/extension-module"]
+
+[project]
+name = "RustQuant"
+requires-python = ">=3.8"
+dynamic = ["version"]
+classifiers = [
+    "Programming Language :: Rust",
+    "Programming Language :: Python :: Implementation :: CPython",
+    "Programming Language :: Python :: Implementation :: PyPy",
+]

src/data/io.rs

@@ -80,7 +80,12 @@ impl DataReader for Data {
     fn read(&mut self) -> Result<(), RustQuantError> {
         match self.format {
             DataFormat::CSV => {
-                let df = CsvReader::from_path(&self.path)?.finish()?;
+                // let df = CsvReader::from_path(&self.path)?.finish()?;
+
+                let df = CsvReadOptions::default()
+                    .try_into_reader_with_file_path(Some(self.path.clone().into()))?
+                    .finish()?;
+
                 self.data = df;
 
                 Ok(())

src/data/yahoo.rs

@@ -182,7 +182,7 @@ impl YahooFinanceData {
 
 impl YahooFinanceReader for YahooFinanceData {
     fn get_price_history(&mut self) -> Result<(), RustQuantError> {
-        let provider = yahoo::YahooConnector::new();
+        let provider = yahoo::YahooConnector::new()?;
 
         let response = tokio_test::block_on(provider.get_quote_history(
             self.ticker.as_ref().ok_or(RustQuantError::MissingInput(
@@ -224,7 +224,7 @@ impl YahooFinanceReader for YahooFinanceData {
     }
 
     fn get_options_chain(&mut self) -> Result<(), RustQuantError> {
-        let provider = yahoo::YahooConnector::new();
+        let provider = yahoo::YahooConnector::new()?;
         let response = tokio_test::block_on(provider.search_options(self.ticker.as_ref().ok_or(
             RustQuantError::MissingInput("No ticker provided.".to_string()),
         )?))?;
@@ -288,7 +288,7 @@ impl YahooFinanceReader for YahooFinanceData {
     }
 
     fn get_latest_quote(&mut self) -> Result<(), RustQuantError> {
-        let provider = yahoo::YahooConnector::new();
+        let provider = yahoo::YahooConnector::new()?;
         let response = tokio_test::block_on(
             provider.get_latest_quotes(
                 self.ticker

src/instruments/bonds/mod.rs

@@ -12,12 +12,3 @@ pub mod zero_coupon_bond;
 
 /// Coupon bond struct.
 pub mod coupon_bond;
-
-// /// Cox-Ingersoll-Ross bond pricing model.
-// pub mod cox_ingersoll_ross;
-
-// /// One-factor Hull-White bond pricing model.
-// pub mod hull_white;
-
-// /// Vasicek bond pricing model.
-// pub mod vasicek;

src/time/countries/custom_calendar.rs

@@ -0,0 +1,51 @@
+// ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
+// RustQuant: A Rust library for quantitative finance tools.
+// Copyright (C) 2022-2024 https://github.com/avhz
+// Dual licensed under Apache 2.0 and MIT.
+// See:
+//      - LICENSE-APACHE.md
+//      - LICENSE-MIT.md
+// ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
+
+//! This module defines a custom calendar type.
+
+use std::collections::BTreeMap;
+
+use crate::time::{CalendarMetadata, DateRollingConvention, DayCountConvention, Holiday};
+use time::Date;
+
+/// Custom calendar type.
+pub struct CustomCalendar {
+    /// Start date of the calendar.
+    pub start: Date,
+    /// End date of the calendar.
+    pub end: Date,
+    /// Metadata of the calendar.
+    pub metadata: CalendarMetadata,
+
+    /// Holidays in the calendar.
+    pub holidays: BTreeMap<Date, Holiday>,
+
+    /// Day count convention.
+    pub day_count_convention: DayCountConvention,
+    /// Date rolling convention.
+    pub date_rolling_convention: DateRollingConvention,
+}
+
+impl CustomCalendar {
+    // / Create a new custom calendar.
+    // pub fn new(start: Date, end: Date, metadata: CalendarMetadata) -> Self {
+    //     Self {
+    //         start,
+    //         end,
+    //         metadata,
+    //     }
+    // }
+
+    /// Add a vector of holidays to the calendar.
+    pub fn add_holidays(&mut self, holidays: Vec<Holiday>) {
+        for holiday in holidays {
+            self.holidays.insert(holiday.date, holiday);
+        }
+    }
+}

src/time/countries/mod.rs

@@ -9,6 +9,9 @@
 
 //! This module defines calendars and holidays for different countries.
 
+/// This module defines a custom calendar type.
+pub mod custom_calendar;
+
 /// Calendars implemented for African countries.
 pub mod africa {
     /// This module defines Botswana holidays and calendars.

src/time/date_generation/mod.rs

@@ -0,0 +1,20 @@
+// ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
+// RustQuant: A Rust library for quantitative finance tools.
+// Copyright (C) 2022-2024 https://github.com/avhz
+// Dual licensed under Apache 2.0 and MIT.
+// See:
+//      - LICENSE-APACHE.md
+//      - LICENSE-MIT.md
+// ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
+
+/// Date generation conventions.
+pub enum DateGenerationConvention {
+    /// Forward from the issue date.
+    Forward,
+
+    /// Backward from the maturity date.
+    Backward,
+
+    /// Zero date generation.
+    Zero,
+}

src/time/frequency.rs

@@ -18,7 +18,7 @@ use crate::time::constants::{
 /// This is important in finance, as it determines the number of times
 /// a cash flow is paid in a year, and thus affects the present value
 /// of the cash flows.
-#[derive(Debug, Clone, Copy)]
+#[derive(Debug, Clone, Copy, PartialEq, Eq)]
 pub enum Frequency {
     /// Daily (252 per year).
     Daily = DAILY,
@@ -49,6 +49,9 @@ pub enum Frequency {
 
     /// Annually.
     Annually = ANNUALLY,
+
+    /// Zero frequency.
+    Zero = 0,
 }
 
 impl Frequency {
@@ -100,6 +103,7 @@ impl Frequency {
             Frequency::TriAnnually => TRI_ANNUALLY,
             Frequency::SemiAnnually => SEMI_ANNUALLY,
             Frequency::Annually => ANNUALLY,
+            Frequency::Zero => 0,
         }
     }
 }

src/time/holiday.rs

@@ -14,9 +14,12 @@ use time::Date;
 /// Holiday type.
 #[derive(Debug, Clone)]
 pub struct Holiday {
-    name: &'static str,
-    date: Date,
-    description: Option<&'static str>,
+    /// Name of the holiday.
+    pub name: &'static str,
+    /// Date of the holiday.
+    pub date: Date,
+    /// Description of the holiday (optional).
+    pub description: Option<&'static str>,
 }
 
 impl Eq for Holiday {}

src/time/mod.rs

@@ -46,3 +46,7 @@ pub use utilities::*;
 /// The `Schedule` type.
 pub mod schedule;
 pub use schedule::*;
+
+/// Date generation rules.
+pub mod date_generation;
+pub use date_generation::*;

src/time/utilities.rs

@@ -129,6 +129,16 @@ pub fn leap_year_count(start: Date, end: Date) -> i64 {
         .len() as i64
 }
 
+/// Function to check if Date is first day of the month.
+pub fn is_first_day_of_month(date: Date) -> bool {
+    date.day() == 1
+}
+
+/// Function to check if Date is last day of the month.
+pub fn is_last_day_of_month(date: Date) -> bool {
+    date.day() == days_in_year_month(date.year(), date.month())
+}
+
 /// Function to check if date is the last day of February.
 pub fn is_last_day_of_february(date: Date) -> bool {
     let last_day_of_feb_non_leap =