getRho() of pyvacon.pricer shall provide a result even if the only interest rate curve is not given explicitly inthe argument (cf. getComplexity() where this isn't necessary neither).

Ensure SecuritizationLevel being serialised in BaseSpecification.

In some notebooks, the libaries are imported without alias, in some with alias. This should be aligned.

In C++ there are several constructors for BondSpecification. The one that is swigged is insufficient as it does not distinguish between fixing dates and payment dates. In other words, it only accepts coupon period dates and spreads for the floating rate coupons.
There is a constructor that offers to use CouponDescriptions that provide full information on the coupons. It has to be double-checked this constructor lacks the attribute issue_date (and possibly also first_trading_date); https://www.helaba-zertifikate.de/File/OpenPDF/DE000HLB3DU1/BD

There is a bug regarding the calculation of the put prices in the BarrierOptionPricerWilmmott function that should be fixed.

While enums offers the roll convention MODIFIED_PRECEDING, the C++ code has no corresponding implementation.

For roll convention 'Preceding' the end date might be unchanged even thought the last coupon date (at the same day) was rolled. It seems that the roll convention is not (always) applied to the end date.

Double-check the (probably) erroneaous interpolation for Japanes inflation linked bonds.

• Extend BondSpecification() by two more arguments for lists of caps and/or floors.
• Verify the error messages for the wrong number of arguments (-2, -1, +1, +2).

The method InstrumentSpec.get_deposit_spec in pyvacon.marketdata.bootstrapping.py should be replaced by

def get_deposit_spec(self):
    """
    Specification for deposits
    """
    
    # start date of the accrual period
    startDate = get_end_date(self.refDate,  self.spotLag)
    startDate_p = converter.getLTime(startDate)
    
    # end date of the accrual period
    endDate = get_end_date(startDate, self.maturity)
    endDate_p = converter.getLTime(endDate)
    
    # specification of the deposit
    deposit = analytics.DepositSpecification(self.label, 'dummy_issuer', enums.SecuritizationLevel.NONE,
                                    self.currency, self.refDate_p, startDate_p, endDate_p, 100, self.parRate, self.floatDayCount)
                                              
    return(deposit)

While the C++ code allows for specifying inter- and extrapolation method within the bootstrapping algorithm, the swigged python code (pyvacon.analytics.YieldCurveBootstrapper. YieldCurveBootstrapper_compute) does not provide the option to configure this. The interface should be extended to avoid potential inconsistencies with subsequently defined interpolation methods for the resulting curve.

Sometimes the roll convention doesn't derive the correct end date:

• start date 29-Apr-2022 (Friday), period 1 month, end date: 31-May-2022 (Tuesday).
  30-Apr-2022 is a Saturday, so 29-Apr-2022 is the last business day of the month.
  Unexpected result: 30.05.2022
• start date 28-Feb-2020 (Friday), period 1 month, end date: 31-Mar-2020 (Tuesday).
  Though 2020 is a leap year, the 28-Feb-2020 is the last business day of the month.
  Unexpected result: 30.03.2020

• Throw an error message if the number of coupons is not equal to the number of coupon dates.
• Avoid kernel shutdown if coupon dates, but no coupons (i.e. empty list) are porvided.
• Throw an error message if the number of spreads is not equal to the number of coupon dates minus one:
  len(Spreads) == len(Coupon_Period_Dates) - 1.

Capitalisation to be removed

• Throw error message if not(Issue Date < Expiry Date).
• Seek for consistency in the argument lists: currently we have - at least - the following inconsistency:

  BondSpecification(): ..., expiry_date, issue_date, ...
  InflationLinkedBondSpecification(): ..., issue_date, expiry_date, ...

It seems that the function bootstrap_curve in pyvacon/marketdata/bootstrapping.py uses .iloc instead of .loc when iterating through the rows of a pandas DataFrame using a running number.
This works fine when the row number is the same as the index, but breaks (or gives unexpected results) when it is not.

Provide 'BondPricer' as default pricer for pyvacon.pricing.BondPricingData() 'BondPricer'.
Thereafter we can remove the pricer configuration in the notebooks to use them for testing purposes only.