Add rate historical calibration (#77)

Author: lsbardel

.github/copilot-instructions.md

@@ -47,7 +47,7 @@ applyTo: '/**'
       """This is the docstring for foo"""
       return float(x)
   ```
-* Do not use Docstrings with markdown text that may genereate headings (e.g. `# Heading`, `## Heading`, etc.)
+* Do not use Docstrings with markdown text that may generate headings (e.g. `# Heading`, `## Heading`, etc.)
 * Math in documentation and docstrings: always use `\begin{equation}...\end{equation}` for any formula or equation. Use `$...$` only for brief inline references to variables (e.g. $F$, $K$). Do not use `$$...$$`, `` `...` ``, or RST syntax (`.. math::`, `:math:`).
 * Math notation convention: use $\Phi$ for the characteristic function and $\phi$ for the characteristic exponent, where $\Phi = e^{-\phi}$.
 * Glossary entries in `docs/glossary.md` must be kept in alphabetical order.
@@ -61,6 +61,15 @@ applyTo: '/**'
 * Always document Pydantic fields with `Field(description=...)`, never use a docstring below a field assignment
 * Split long description strings across lines using implicit string concatenation rather than shortening the text
 * When a docstring line exceeds the line length limit, split it across multiple lines rather than shortening the text
+* Put Pydantic config options directly in the class definition, not as a `model_config = ConfigDict(...)` class variable:
+  ```python
+  # correct
+  class Foo(BaseModel, arbitrary_types_allowed=True): ...
+
+  # wrong
+  class Foo(BaseModel):
+      model_config = ConfigDict(arbitrary_types_allowed=True)
+  ```
 
 ## Package structure
 

.github/instructions/bibliography.instructions.md

@@ -0,0 +1,16 @@
+---
+name: quantflow-bibliography-instructions
+description: 'Instructions for bibliography in quantflow'
+applyTo: '/**'
+---
+
+Instructions for updating the bibliography for quantflow:
+
+* The bibliography for quantflow is maintained in `docs/references.bib`
+* Each entry must be added in alphabetical order of the label (the part after the first `{` in the bib entry).
+* Regenerate the markdown file `docs/bibliography.md` from the `bib` file using the
+  ```bash
+  make docs-bib
+  ```
+* Run this command every time you update the `bib` file to keep the markdown file in sync
+* Do not edit `docs/bibliography.md` directly as it is generated from `docs/references.bib`.

.gitignore

@@ -44,3 +44,4 @@ frontend/node_modules
 frontend/src/.observablehq
 docs/assets/examples
 docs/examples/output
+docs/examples/cache

CLAUDE.md

@@ -1,5 +1,6 @@
 @readme.md
 @.github/copilot-instructions.md
+@.github/instructions/bibliography.instructions.md
 @.github/instructions/makefile.instructions.md
 @.github/instructions/observable.instructions.md
 @.github/instructions/release.instructions.md

Makefile

@@ -48,10 +48,6 @@ lint:				## Lint and fix
 lint-check:			## Lint check only
 	@uv run ./dev/lint
 
-.PHONY: marimo
-marimo:				## Run marimo for editing notebooks
-	@./dev/marimo edit
-
 .PHONY: outdated
 outdated:			## Show outdated packages
 	uv tree --outdated

app/api/deps.py

@@ -9,7 +9,7 @@
 from fluid.utils import log
 from fluid.utils.redis import FluidRedis
 from pydantic import BaseModel
-from redis import Redis
+from redis.asyncio import Redis
 
 from quantflow.data.fmp import FMP
 
@@ -77,8 +77,9 @@ async def from_cache(
         value = await self.redis.get(self.key)
         if value is None:
             return await self.set_cache(await loader())
+        data = value.encode() if isinstance(value, str) else value
         try:
-            return pd.read_parquet(io.BytesIO(value))
+            return pd.read_parquet(io.BytesIO(data))
         except Exception:
             logger.exception(f"Failed to decode cache value for key {self.key}")
             return await self.set_cache(await loader())

dev/install

@@ -1,3 +1,3 @@
 #!/usr/bin/env bash
 
-uv sync --all-extras
+uv sync --all-extras --all-groups

docs/api/dists/index.md

@@ -0,0 +1,10 @@
+# Distributions
+
+Probability distributions with a uniform `sample` / `log_pdf` API, used as
+return types of the
+[StateSpaceModel](../ta/kalman.md#quantflow.ta.kalman.StateSpaceModel)
+distribution-level interface.
+
+::: quantflow.dists.Distribution
+
+::: quantflow.dists.MvNormal

docs/api/rates/calibration.md

@@ -0,0 +1,5 @@
+# Yield Curve Calibration
+
+::: quantflow.rates.calibration.YieldCurveCalibration
+
+::: quantflow.rates.calibration.OptionsDiscountingCalibration