Merge pull request #65 from tyrneh/create-actions-pipeline

Add CI pipeline

Author: jaewon0225

.github/workflows/ci.yml

@@ -0,0 +1,55 @@
+name: CI
+
+on:
+  push:
+    branches: ["main"]
+  pull_request:
+    branches: ["**"]
+
+env:
+  PYTHON_VERSION: "3.12"
+
+jobs:
+  lint:
+    runs-on: ubuntu-latest
+
+    steps:
+      - name: Checkout code
+        uses: actions/checkout@v4
+
+      - name: Set up Python
+        uses: actions/setup-python@v5
+        with:
+          python-version: ${{ env.PYTHON_VERSION }}
+
+      - name: Install dependencies
+        run: |
+          python -m pip install --upgrade pip
+          pip install -r requirements.txt
+
+      - name: Run formatter
+        run: black --check .
+
+      # - name: Run linter
+      #   run: flake8 .
+      
+  test:
+    runs-on: ubuntu-latest
+    needs: lint   # only run tests if lint passes
+
+    steps:
+      - name: Checkout code
+        uses: actions/checkout@v4
+
+      - name: Set up Python
+        uses: actions/setup-python@v5
+        with:
+          python-version: ${{ env.PYTHON_VERSION }}
+
+      - name: Install dependencies
+        run: |
+          python -m pip install --upgrade pip
+          pip install -r requirements.txt
+
+      - name: Run tests
+        run: pytest

oipd/__init__.py

@@ -16,8 +16,11 @@
 
 from oipd.estimator import RND, ModelParams, RNDResult
 from oipd.market_inputs import (
-    MarketInputs, VendorSnapshot, ResolvedMarket, 
-    FillMode, resolve_market
+    MarketInputs,
+    VendorSnapshot,
+    ResolvedMarket,
+    FillMode,
+    resolve_market,
 )
 
 __version__ = "0.1.0"

oipd/core/parity.py

@@ -63,7 +63,9 @@ def infer_forward_from_atm(
                         "strike": row["strike"],
                         "call_price": row["call_price"],
                         "put_price": row["put_price"],
-                        "distance_from_underlying": abs(row["strike"] - underlying_price),
+                        "distance_from_underlying": abs(
+                            row["strike"] - underlying_price
+                        ),
                     }
                 )
 
@@ -185,7 +187,12 @@ def apply_put_call_parity(
             put_data = row if pd.notna(put_price) and put_price > 0 else None
 
             _process_strike_prices(
-                results, strike, call_data, put_data, forward_price, discount_factor
+                results,
+                strike,
+                call_data,
+                put_data,
+                forward_price,
+                discount_factor,
             )
 
     elif "last_price" in options_df.columns and "option_type" in options_df.columns:
@@ -204,7 +211,12 @@ def apply_put_call_parity(
             put_row = put_data.iloc[0] if len(put_data) > 0 else None
 
             _process_strike_prices(
-                results, strike, call_row, put_row, forward_price, discount_factor
+                results,
+                strike,
+                call_row,
+                put_row,
+                forward_price,
+                discount_factor,
             )
     else:
         raise ValueError(
@@ -343,7 +355,10 @@ def _process_strike_prices(
 
 
 def _convert_put_to_call(
-    put_price: float, strike: float, forward_price: float, discount_factor: float
+    put_price: float,
+    strike: float,
+    forward_price: float,
+    discount_factor: float,
 ) -> float:
     """
     Convert put price to synthetic call price using put-call parity.
@@ -489,7 +504,9 @@ def preprocess_with_parity(
 
     try:
         # Apply parity preprocessing
-        forward_price = infer_forward_from_atm(options_df, underlying_price, discount_factor)
+        forward_price = infer_forward_from_atm(
+            options_df, underlying_price, discount_factor
+        )
         cleaned_df = apply_put_call_parity(options_df, forward_price, discount_factor)
         return cleaned_df
 

oipd/core/pdf.py

@@ -330,13 +330,20 @@ def _calculate_IV(
         elif solver_method == "brent":
             iv_solver_scalar = _bs_iv_brent_method
         else:
-            raise ValueError("Invalid solver_method. Choose either 'newton' or 'brent'.")
+            raise ValueError(
+                "Invalid solver_method. Choose either 'newton' or 'brent'."
+            )
 
         q = dividend_yield
         iv_values = np.fromiter(
             (
                 iv_solver_scalar(
-                    p, underlying_price, k, years_to_expiry, r=risk_free_rate, q=q
+                    p,
+                    underlying_price,
+                    k,
+                    years_to_expiry,
+                    r=risk_free_rate,
+                    q=q,
                 )
                 for p, k in zip(prices_arr, strikes_arr)
             ),

oipd/estimator.py

@@ -18,7 +18,10 @@
 from oipd.core.parity import preprocess_with_parity
 from oipd.io import CSVReader, DataFrameReader
 from oipd.vendor import get_reader
-from oipd.pricing.utils import prepare_dividends, implied_dividend_yield_from_forward
+from oipd.pricing.utils import (
+    prepare_dividends,
+    implied_dividend_yield_from_forward,
+)
 from oipd.market_inputs import (
     MarketInputs,
     VendorSnapshot,
@@ -320,7 +323,8 @@ def __init__(
         # Most readers accept cache flags; if not, Python will ignore unexpected kwargs.
         try:
             self._reader = reader_cls(
-                cache_enabled=cache_enabled, cache_ttl_minutes=cache_ttl_minutes
+                cache_enabled=cache_enabled,
+                cache_ttl_minutes=cache_ttl_minutes,
             )
         except TypeError:
             self._reader = reader_cls()
@@ -363,7 +367,9 @@ def dividend_schedule(self) -> Optional[pd.DataFrame]:
 
 
 def _estimate(
-    options_data: pd.DataFrame, resolved_market: ResolvedMarket, model: ModelParams
+    options_data: pd.DataFrame,
+    resolved_market: ResolvedMarket,
+    model: ModelParams,
 ) -> tuple[np.ndarray, np.ndarray, np.ndarray, Dict[str, Any]]:
     """Run the core RND estimation given fully validated input data."""
 

oipd/graphics/matplot.py

@@ -63,7 +63,11 @@ def generate_pdf_figure(
     if current_price:
         label = f"{current_price:.2f}"
         line = ax.axvline(
-            x=current_price, color="green", linestyle=":", label=label, linewidth=0.75
+            x=current_price,
+            color="green",
+            linestyle=":",
+            label=label,
+            linewidth=0.75,
         )
         # calculate the offset so that it is centered in the current range
         bottom, top = ax.get_ylim()
@@ -135,7 +139,11 @@ def generate_cdf_figure(
     if current_price:
         label = f"{current_price:.2f}"
         line = ax.axvline(
-            x=current_price, color="green", linestyle=":", label=label, linewidth=0.75
+            x=current_price,
+            color="green",
+            linestyle=":",
+            label=label,
+            linewidth=0.75,
         )
         _label_line_no_warnings(line, x=current_price, yoffset=0.35)
     if quartiles:

oipd/graphics/publication.py

@@ -176,7 +176,12 @@ def plot_rnd(
         else:
             # CDF only - no legend for individual plot
             ax1.plot(
-                prices, cdf, color=cdf_color, linewidth=1.5, alpha=0.9, **plot_kwargs
+                prices,
+                cdf,
+                color=cdf_color,
+                linewidth=1.5,
+                alpha=0.9,
+                **plot_kwargs,
             )
             ax1.set_xlabel("Price at expiry", fontsize=11)
             ax1.set_ylabel(

oipd/io/csv_reader.py

@@ -64,9 +64,9 @@ def _transform_data(self, cleaned_data: DataFrame) -> DataFrame:
 
         Returns:
             Transformed DataFrame
-        
+
         Note:
-            Common validation (NaN checks, negative prices, etc.) is handled 
+            Common validation (NaN checks, negative prices, etc.) is handled
             by the base class _validate_data() method.
         """
         # CSV-specific transformations can be added here if needed

oipd/io/dataframe_reader.py

@@ -40,9 +40,9 @@ def _transform_data(self, cleaned_data: DataFrame) -> DataFrame:
 
         Raises:
             ValueError: If insufficient data points
-        
+
         Note:
-            Common validation (NaN checks, negative prices, etc.) is handled 
+            Common validation (NaN checks, negative prices, etc.) is handled
             by the base class _validate_data() method.
         """
         # Ensure we have enough data points

oipd/io/reader.py

@@ -90,7 +90,8 @@ def _clean_data(self, raw_data: DataFrame) -> DataFrame:
 
         if missing_optional:
             warnings.warn(
-                f"Optional columns not present: {missing_optional}.", UserWarning
+                f"Optional columns not present: {missing_optional}.",
+                UserWarning,
             )
 
         # Create a copy to avoid modifying the original data