Fixtures located in examples directory

docs/examples/_utils.py

@@ -5,6 +5,7 @@
 from pydantic import BaseModel
 
 EXAMPLE_DIR = Path(__file__).parent
+FIXTURES = EXAMPLE_DIR / "fixtures"
 OUT_DIR = EXAMPLE_DIR / "output"
 ASSET_DIR = EXAMPLE_DIR.parent / "assets" / "examples"
 

docs/examples/pricing_method_comparison.py

@@ -86,7 +86,7 @@ def _iv_error(
     def run_ttm(self) -> None:
         for ttm in self.ttms:
             ms = self.model.marginal(ttm)
-            max_log_strike = self.max_moneyness * np.sqrt(ttm)
+            max_log_strike = self.max_moneyness * ms.std_validated()
             log_strikes = ms.option_support(
                 self.ref_n + 1, max_log_strike=max_log_strike
             )

docs/examples/spx_vol_surface.py

@@ -1,22 +1,14 @@
 import gzip
 import json
-from pathlib import Path
 
-from docs.examples._utils import assets_path, print_model
+from docs.examples._utils import FIXTURES, assets_path, print_model
 from quantflow.data.yahoo import Yahoo
 from quantflow.options.calibration import BNS2Calibration
 from quantflow.options.calibration.base import ResidualKind
 from quantflow.options.pricer import OptionPricer, OptionPricingMethod
 from quantflow.sp.bns import BNS, BNS2
 
-FIXTURE = (
-    Path(__file__).resolve().parents[2]
-    / "quantflow_tests"
-    / "fixtures"
-    / "yahoo_spx.json.gz"
-)
-
-chain = json.loads(gzip.decompress(FIXTURE.read_bytes()))
+chain = json.loads(gzip.decompress((FIXTURES / "yahoo_spx.json.gz").read_bytes()))
 loader = Yahoo.loader_from_chain(chain, exclude_volume=1)
 surface = loader.surface()
 surface.bs()

docs/examples/vol_surface_bns2_calibration.py

@@ -1,14 +1,14 @@
 import json
 
-from docs.examples._utils import assets_path, print_model
+from docs.examples._utils import FIXTURES, assets_path, print_model
 from quantflow.options.calibration import BNS2Calibration
 from quantflow.options.calibration.base import ResidualKind
 from quantflow.options.pricer import OptionPricer, OptionPricingMethod
 from quantflow.options.surface import VolSurface, VolSurfaceInputs, surface_from_inputs
 from quantflow.sp.bns import BNS, BNS2
 
 # Load a saved volatility surface snapshot and build the surface
-with open("docs/examples/volsurface.json") as fp:
+with open(FIXTURES / "volsurface_btc.json") as fp:
     surface: VolSurface = surface_from_inputs(VolSurfaceInputs(**json.load(fp)))
 
 surface.bs()

docs/examples/vol_surface_bns_calibration.py

@@ -1,13 +1,13 @@
 import json
 
-from docs.examples._utils import assets_path, print_model
+from docs.examples._utils import FIXTURES, assets_path, print_model
 from quantflow.options.calibration import BNSCalibration
 from quantflow.options.pricer import OptionPricer, OptionPricingMethod
 from quantflow.options.surface import VolSurface, VolSurfaceInputs, surface_from_inputs
 from quantflow.sp.bns import BNS
 
 # Load a saved volatility surface snapshot and build the surface
-with open("docs/examples/volsurface.json") as fp:
+with open(FIXTURES / "volsurface_btc.json") as fp:
     surface: VolSurface = surface_from_inputs(VolSurfaceInputs(**json.load(fp)))
 
 surface.bs()

docs/examples/vol_surface_heston_calibration.py

@@ -1,13 +1,13 @@
 import json
 
-from docs.examples._utils import assets_path, print_model
+from docs.examples._utils import FIXTURES, assets_path, print_model
 from quantflow.options.calibration import HestonCalibration
 from quantflow.options.pricer import OptionPricer, OptionPricingMethod
 from quantflow.options.surface import VolSurfaceInputs, surface_from_inputs
 from quantflow.sp.heston import Heston
 
 # Load a saved volatility surface snapshot and build the surface
-with open("docs/examples/volsurface.json") as fp:
+with open(FIXTURES / "volsurface_btc.json") as fp:
     surface = surface_from_inputs(VolSurfaceInputs(**json.load(fp)))
 
 surface.bs()

docs/examples/vol_surface_hestonj_calibration.py

@@ -1,6 +1,6 @@
 import json
 
-from docs.examples._utils import assets_path, print_model
+from docs.examples._utils import FIXTURES, assets_path, print_model
 from quantflow.options.calibration import HestonJCalibration
 from quantflow.options.calibration.base import ResidualKind
 from quantflow.options.pricer import OptionPricer
@@ -10,7 +10,7 @@
 from quantflow.utils.marginal import OptionPricingMethod
 
 # Load a saved volatility surface snapshot and build the surface
-with open("docs/examples/volsurface.json") as fp:
+with open(FIXTURES / "volsurface_btc.json") as fp:
     surface: VolSurface = surface_from_inputs(VolSurfaceInputs(**json.load(fp)))
 
 surface.bs()

docs/examples/vol_surface_inputs.py

@@ -2,11 +2,12 @@
 
 import pandas as pd
 
+from docs.examples._utils import FIXTURES
 from quantflow.options.inputs import OptionInput
 from quantflow.options.surface import VolSurface, VolSurfaceInputs, surface_from_inputs
 
 # Load a saved volatility surface snapshot from JSON
-with open("docs/examples/volsurface.json") as fp:
+with open(FIXTURES / "volsurface_btc.json") as fp:
     surface_inputs = VolSurfaceInputs(**json.load(fp))
 
 # Build the VolSurface from the inputs and calculate implied volatilities

quantflow_tests/conftest.py

@@ -9,5 +9,5 @@
 
 @pytest.fixture
 def vol_surface():
-    inputs = load_fixture_dict("volsurface.json")
+    inputs = load_fixture_dict("volsurface_eth.json")
     return surface_from_inputs(VolSurfaceInputs(**inputs))

quantflow_tests/test_data_deribit.py

@@ -2,22 +2,15 @@
 
 from __future__ import annotations
 
-import json
 from datetime import date, datetime
-from pathlib import Path
 from typing import Any, AsyncIterator
 from unittest.mock import AsyncMock, patch
 
 import pytest
 
 from quantflow.data.deribit import Deribit
 from quantflow.utils.dates import as_utc
-
-FIXTURES = Path(__file__).parent / "fixtures"
-
-
-def load_fixture(name: str) -> list[dict]:
-    return json.loads((FIXTURES / name).read_text())
+from quantflow_tests.utils import load_fixture
 
 
 @pytest.fixture

quantflow_tests/test_data_yahoo.py

@@ -11,13 +11,12 @@
 import pytest
 
 from quantflow.data.yahoo import Yahoo
-
-FIXTURES = Path(__file__).parent / "fixtures"
+from quantflow_tests.utils import load_fixture_dict
 
 
 @pytest.fixture
 def spx_chain() -> dict:
-    return json.loads(gzip.decompress((FIXTURES / "yahoo_spx.json.gz").read_bytes()))
+    return load_fixture_dict("yahoo_spx.json.gz")
 
 
 @pytest.fixture

quantflow_tests/test_surface_methods.py

@@ -10,7 +10,7 @@
 
 @pytest.fixture
 def vol_surface() -> VolSurface:
-    inputs = load_fixture_dict("volsurface.json")
+    inputs = load_fixture_dict("volsurface_eth.json")
     return surface_from_inputs(VolSurfaceInputs(**inputs))
 
 

quantflow_tests/utils.py

@@ -1,11 +1,12 @@
+import gzip
 import json
-from pathlib import Path
 from typing import cast
 
 import numpy as np
 import pytest
 from aiohttp.client_exceptions import ClientError
 
+from docs.examples._utils import FIXTURES
 from quantflow.sp.base import StochasticProcess1D
 from quantflow.utils.marginal import Marginal1D
 from quantflow.utils.plot import check_plotly
@@ -16,14 +17,14 @@
 except ImportError:
     has_plotly = False
 
-FIXTURES = Path(__file__).parent / "fixtures"
-
 
 def load_fixture(name: str) -> list[dict]:
     return json.loads((FIXTURES / name).read_text())
 
 
 def load_fixture_dict(name: str) -> dict:
+    if name.endswith(".gz"):
+        return json.loads(gzip.decompress((FIXTURES / name).read_bytes()))
     return json.loads((FIXTURES / name).read_text())