DEPR: IndexCurve depr updates (#561)

Co-authored-by: JHM Darbyshire (win11) <[email protected]>

docs/source/c_curves.rst

@@ -13,34 +13,32 @@
 Curves
 ***********
 
-The ``rateslib.curves`` module allows the fundamental :class:`~rateslib.curves.Curve`,
-:class:`~rateslib.curves.LineCurve`, or :class:`~rateslib.curves.IndexCurve` class
-to be defined with parameters (for the purpose of the user guide an *IndexCurve*
-can be considered a *Curve* with minor enhancements).
+The ``rateslib.curves`` module allows the fundamental :class:`~rateslib.curves.Curve` or
+:class:`~rateslib.curves.LineCurve` class
+to be defined with parameters.
 These curve objects are slightly different in what they
 represent and how they operate.
 
 This module relies on the ultility modules :ref:`splines<splines-doc>`
 and :ref:`dual<dual-doc>`.
 
-.. inheritance-diagram:: rateslib.curves.Curve rateslib.curves.LineCurve rateslib.curves.IndexCurve rateslib.curves.CompositeCurve rateslib.curves.MultiCsaCurve rateslib.curves.ProxyCurve
+.. inheritance-diagram:: rateslib.curves.Curve rateslib.curves.LineCurve rateslib.curves.CompositeCurve rateslib.curves.MultiCsaCurve rateslib.curves.ProxyCurve
    :private-bases:
    :top-classes: rateslib.curves.Curve
    :parts: 1
 
 .. autosummary::
    rateslib.curves.Curve
    rateslib.curves.LineCurve
-   rateslib.curves.IndexCurve
    rateslib.curves.CompositeCurve
    rateslib.curves.ProxyCurve
    rateslib.curves.MultiCsaCurve
    rateslib.curves.interpolate
    rateslib.curves.index_left
 
 Each fundamental curve type has ``rate()``, ``plot()``, ``shift()``, ``roll()`` and
-``translate()`` methods. :class:`~rateslib.curves.IndexCurve` can also calculate
-future ``index_value()``.
+``translate()`` methods. A :class:`~rateslib.curves.Curve` with included ``index_base`` and
+``index_lag`` can also calculate future ``index_value()`` and ``plot_index()``.
 
 .. autosummary::
    rateslib.curves.Curve.rate
@@ -53,23 +51,23 @@ future ``index_value()``.
    rateslib.curves.LineCurve.shift
    rateslib.curves.LineCurve.roll
    rateslib.curves.LineCurve.translate
-   rateslib.curves.IndexCurve.index_value
+   rateslib.curves.Curve.index_value
+   rateslib.curves.Curve.plot_index
 
 The main parameter that must be supplied to either type of curve is its ``nodes``. This
 provides the curve with its degrees of freedom and represents a dict indexed by
 datetimes, each with a given value. In the case of a :class:`~rateslib.curves.Curve`
-these
-values are discount factors (DFs), and in the case of
-a :class:`~rateslib.curves.LineCurve`
+these values are discount factors (DFs) or, for credit purposes, survival probabilities,
+and in the case of a :class:`~rateslib.curves.LineCurve`
 these are specific values, usually rates associated with that curve.
 
 Curve
 *******
 
-A :class:`~rateslib.curves.Curve` can only be used for **interest rates**.
-It is a more specialised
-object because of the way it is **defined by discount factors (DFs)**. These DFs
-maintain an inherent interpolation technique, which is often log-linear or log-cubic
+A :class:`~rateslib.curves.Curve` can only be used for **interest rates** (or credit
+**hazard rates**). It is a more specialised
+object because of the way it is **defined by discount factors (DFs)** (or survival probabilities).
+These DFs maintain an inherent interpolation technique, which is often log-linear or log-cubic
 spline. These are generally the most efficient
 type of curve, and most easily parametrised, when working with compounded RFR rates.
 The initial node on a :class:`~rateslib.curves.Curve` should always have value 1.0,
@@ -103,7 +101,7 @@ required.
    from rateslib import dt
    curve = Curve(
        nodes={
-           dt(2022,1,1): 1.0,  # <- initial DF should always be 1.0
+           dt(2022,1,1): 1.0,  # <- initial DF (/survival probability) should always be 1.0
            dt(2023,1,1): 0.99,
            dt(2024,1,1): 0.979,
            dt(2025,1,1): 0.967,
@@ -135,13 +133,18 @@ Initial Node Date
 -----------------
 
 The initial node date for either curve type is important because it is implied
-to be the date of the
-construction of the curve (i.e. today's date). Any net present
-values (NPVs) may assume other features
-from this initial node, e.g. the regular settlement date of securities or the value of
-cashflows on derivatives. This is the reason the initial discount factor should also
+to be the date of the construction of the curve (i.e. today's date).
+When a :class:`~rateslib.curves.Curve` acts as a discount curve any net present
+values (NPVs) might assume other features
+from this initial node, e.g. the regular settlement date of securities.
+This is the also the reason the initial discount factor should also
 be exactly 1.0 on a :class:`~rateslib.curves.Curve`.
 
+The only exception to this is when building a *Curve* used to forecast index vales, such
+as inflation forecasts, it may be practical to start the curve using the most recent
+inflation print which is usually assigned to the start of the month,
+thus this may be before *today*.
+
 Get Item
 --------
 

docs/source/g_curves.rst

@@ -13,17 +13,16 @@
 Constructing Curves
 ********************
 
-*Rateslib* has six different interest rate *Curve* classes. Three of these are fundamental base
+*Rateslib* has five different interest rate *Curve* classes. Two of these are fundamental base
 *Curves* of different types and for different purposes. Three are objects which are
 constructed via references to other curves to allow certain combinations. *Rateslib* also
 has one type of *Smile* for *FX volatility*.
 
-The three fundamental curve classes are:
+The two fundamental curve classes are:
 
 .. autosummary::
    rateslib.curves.Curve
    rateslib.curves.LineCurve
-   rateslib.curves.IndexCurve
 
 The remaining, more complex, combination classes are:
 

docs/source/i_api.rst

@@ -45,6 +45,10 @@ Defaults
    :skip: Enum
    :skip: read_csv
    :skip: get_named_calendar
+   :skip: Cal
+   :skip: NamedCal
+   :skip: Series
+   :skip: UnionCal
 
 Calendars
 ==========
@@ -59,8 +63,6 @@ Scheduling
 .. automodapi:: rateslib.scheduling
    :no-heading:
    :no-inheritance-diagram:
-   :skip: Any
-   :skip: CustomBusinessDay
    :skip: DataFrame
    :skip: Iterator
    :skip: datetime
@@ -174,7 +176,6 @@ FX Volatility
    :skip: NoInput
    :skip: newton_1dim
    :skip: uuid4
-   :skip: Union
    :skip: datetime
    :skip: dt
    :skip: timedelta

docs/source/i_get_started.rst

@@ -171,10 +171,10 @@ Can ``Curves`` be constructed and plotted in *rateslib*?
 ===========================================================
 
 **Of course**. Building curves is a necessity for pricing fixed income instruments.
-*Rateslib* has three primitive curve structures; :class:`~rateslib.curves.Curve` (which
-is **discount factor based**), :class:`~rateslib.curves.LineCurve` (which is **purely value
-based**), and :class:`~rateslib.curves.IndexCurve` (which is based on a *Curve* but also
-calculates index values which is useful for inflation, for example). All *Curve* types offer
+*Rateslib* has two primitive curve structures; :class:`~rateslib.curves.Curve`, which
+is **discount factor, or survival probability based** and which can also calculate index values
+for use with inflation products, for example, and :class:`~rateslib.curves.LineCurve`
+(which is **purely value based**). All *Curve* types offer
 various interpolation methods, such as log-linear or log-cubic spline and can even splice certain
 interpolation types together.
 

docs/source/i_guide.rst

@@ -34,7 +34,7 @@ Let's start with some fundamental *Curve* and *Instrument* constructors.
 Trivial derivatives examples
 ----------------------------
 
-*Rateslib* has three fundamental :ref:`Curve types<c-curves-doc>`. All can be constructed
+*Rateslib* has two fundamental :ref:`Curve types<c-curves-doc>`. Both can be constructed
 independently by providing basic inputs.
 
 .. tabs::
@@ -77,21 +77,23 @@ independently by providing basic inputs.
              id="us_ibor_3m",
          )
 
-   .. tab:: IndexCurve
+   .. tab:: *(IndexCurve)*
 
-      An :class:`~rateslib.curves.IndexCurve` extends a *Curve* class by allowing
-      an ``index_base`` argument and the calculation of index values. It is DF based.
-      It is required for the pricing of index-linked *Instruments*.
+      An *Index Curve* is required by certain products, e.g.
+      inflation linked bonds (:class:`~rateslib.instruments.IndexFixedRateBond`) or
+      zero coupon inflation swaps (:class:`~rateslib.instruments.ZCIS`). Adding ``index_base``
+      and ``index_lag`` argument inputs extends a DF based *Curve* to work in these cases.
 
       .. ipython:: python
 
-         usd_cpi = IndexCurve(
+         usd_cpi = Curve(
              nodes={
                  dt(2022, 1, 1): 1.00,
                  dt(2022, 7, 1): 0.97,
                  dt(2023, 1, 1): 0.955,
              },
              index_base=308.95,
+             index_lag=3,
              id="us_cpi",
          )
 
@@ -532,9 +534,8 @@ Calibrating curves with a solver
 =================================
 
 The guide for :ref:`Constructing Curves<curves-doc>` introduces the main
-curve classes,
-:class:`~rateslib.curves.Curve`, :class:`~rateslib.curves.LineCurve`, and
-:class:`~rateslib.curves.IndexCurve`. It also touches on some of the more
+curve classes, :class:`~rateslib.curves.Curve` and :class:`~rateslib.curves.LineCurve`.
+It also touches on some of the more
 advanced curves :class:`~rateslib.curves.CompositeCurve`,
 :class:`~rateslib.curves.ProxyCurve`, and :class:`~rateslib.curves.MultiCsaCurve`.
 

docs/source/i_whatsnew.rst

@@ -53,7 +53,7 @@ email contact, see `rateslib <https://rateslib.com>`_.
    * - Dependencies
      - Drop support for Python 3.9, only versions 3.10 - 3.13 now supported.
    * - Refactor
-       :class:`~rateslib.curves.CompositeCurve` no longer requires all curves to have the same ``index_base``
+     - :class:`~rateslib.curves.CompositeCurve` no longer requires all curves to have the same ``index_base``
        or ``index_lag``. Those values will be sampled from the first provided composited *Curve*.
    * - Refactor
      - :red:`Minor Breaking Change!` :meth:`~rateslib.calendars.get_calendar` has dropped the

docs/source/z_amortization.rst

@@ -120,7 +120,7 @@ will also be indexed by the index.
 
 .. ipython:: python
 
-   icurve = IndexCurve({dt(2000, 1, 1): 1.0, dt(2010, 1, 1): 0.75}, index_base=100.0)
+   icurve = Curve({dt(2000, 1, 1): 1.0, dt(2010, 1, 1): 0.75}, index_base=100.0)
    il = IndexFixedLeg(
        effective=dt(2000, 1, 1),
        termination="1y",

python/rateslib/curves/curves.py

@@ -2037,7 +2037,7 @@ def __init__(  # type: ignore[no-untyped-def]
     ) -> None:
         warnings.warn(
             "`IndexCurve` is deprecated: use a `Curve` instead and the same arguments.",
-            DeprecationWarning
+            DeprecationWarning,
         )
         super().__init__(*args, **{"interpolation": "linear_index", **kwargs})
         if isinstance(self.index_base, NoInput):

python/rateslib/instruments/generics.py

@@ -7,7 +7,7 @@
 
 from rateslib import defaults
 from rateslib.calendars import dcf
-from rateslib.curves import Curve, IndexCurve
+from rateslib.curves import Curve
 from rateslib.default import NoInput
 from rateslib.dual import DualTypes, dual_log
 from rateslib.fx import FXForwards, FXRates
@@ -123,8 +123,6 @@ def rate(
             _ = (dual_log(curves[0][self.effective]) / -dcf_) * 100
             return _
         elif metric == "index_value":
-            if not isinstance(curves[0], IndexCurve):
-                raise TypeError("`curve` used with `metric`='index_value' must be type IndexCurve.")
             _ = curves[0].index_value(self.effective)
             return _
         raise ValueError("`metric`must be in {'curve_value', 'cc_zero_rate', 'index_value'}.")

python/rateslib/instruments/rates_derivatives.py

@@ -1876,7 +1876,7 @@ def rate(
             base,
             self.leg1.currency,
         )
-        if self.leg2_index_base is NoInput.blank:
+        if isinstance(self.leg2_index_base, NoInput):
             # must forecast for the leg
             forecast_value = curves[2].index_value(
                 self.leg2.schedule.effective,

python/rateslib/legs.py

@@ -33,7 +33,7 @@
 
 from rateslib import defaults
 from rateslib.calendars import add_tenor
-from rateslib.curves import Curve, IndexCurve, index_left
+from rateslib.curves import Curve, index_left
 from rateslib.default import NoInput, _drb
 from rateslib.dual import Dual, Dual2, DualTypes, gradient, set_order
 from rateslib.fx import FXForwards, FXRates
@@ -1587,8 +1587,8 @@ def cashflows(
                 defaults.headers["type"]: type(self).__name__,
                 defaults.headers["stub_type"]: None,
                 defaults.headers["currency"]: self.currency.upper(),
-                defaults.headers["a_acc_start"]: self.schedule.effective,
-                defaults.headers["a_acc_end"]: self.schedule.termination,
+                defaults.headers["a_acc_start"]: self.schedule.aschedule[0],
+                defaults.headers["a_acc_end"]: self.schedule.aschedule[-1],
                 defaults.headers["payment"]: self.schedule.pschedule[-1],
                 defaults.headers["convention"]: self.convention,
                 defaults.headers["dcf"]: self.dcf,
@@ -1709,7 +1709,7 @@ class ZeroIndexLeg(BaseLeg, _IndexLegMixin):
     --------
     .. ipython:: python
 
-       index_curve = IndexCurve({dt(2022, 1, 1): 1.0, dt(2027, 1, 1): 0.95}, index_base=100.0)
+       index_curve = Curve({dt(2022, 1, 1): 1.0, dt(2027, 1, 1): 0.95}, index_base=100.0)
        zil = ZeroIndexLeg(
            effective=dt(2022, 1, 15),
            termination="3Y",
@@ -1767,9 +1767,9 @@ def _set_periods(self):
             ),
         ]
 
-    def cashflow(self, curve: IndexCurve | None = None):
-        """Aggregate the cashflows on the *IndexFixedPeriod* and *Cashflow* period using an
-        *IndexCurve*."""
+    def cashflow(self, curve: Curve | None = None):
+        """Aggregate the cashflows on the *IndexFixedPeriod* and *Cashflow* period using a
+        *Curve*."""
         _ = self.periods[0].cashflow(curve) + self.periods[1].cashflow
         return _
 
@@ -2159,7 +2159,7 @@ class IndexFixedLeg(_IndexLegMixin, _FixedLegMixin, BaseLeg):
     .. ipython:: python
 
        curve = Curve({dt(2022, 1, 1): 1.0, dt(2023, 1, 1): 0.98})
-       index_curve = IndexCurve({dt(2022, 1, 1): 1.0, dt(2023, 1, 1): 0.99}, index_base=100.0)
+       index_curve = Curve({dt(2022, 1, 1): 1.0, dt(2023, 1, 1): 0.99}, index_base=100.0)
        index_leg_exch = IndexFixedLeg(
            dt(2022, 1, 1), "9M", "Q",
            notional=1000000,