elemento-alpha-tools 1.3.11 → 1.3.12

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Files changed (10) hide show
  1. package/dist/econometrics/OrdinaryLeastSquares.d.ts +10 -0
  2. package/dist/econometrics/OrdinaryLeastSquares.js +93 -0
  3. package/dist/econometrics/OrdinaryLeastSquares.js.map +1 -0
  4. package/dist/index.d.ts +2 -0
  5. package/dist/index.js +11 -1
  6. package/dist/index.js.map +1 -1
  7. package/dist/timeSeries/TimeSeriesPipeline.d.ts +22 -0
  8. package/dist/timeSeries/TimeSeriesPipeline.js +100 -0
  9. package/dist/timeSeries/TimeSeriesPipeline.js.map +1 -0
  10. package/package.json +1 -1
package/dist/econometrics/OrdinaryLeastSquares.d.ts ADDED
@@ -0,0 +1,10 @@
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+ import { AlignedSeries } from '../timeSeries/TimeSeriesPipeline';
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+ export interface RegressionResult {
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+ intercept: number;
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+ coefficients: number[];
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+ rSquared: number;
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+ }
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+ export declare class RegressionError extends Error {
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+ constructor(message: string);
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+ }
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+ export declare function fitOLS(aligned: AlignedSeries): RegressionResult;
package/dist/econometrics/OrdinaryLeastSquares.js ADDED
@@ -0,0 +1,93 @@
1
+ "use strict";
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+ Object.defineProperty(exports, "__esModule", { value: true });
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+ exports.RegressionError = void 0;
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+ exports.fitOLS = fitOLS;
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+ class RegressionError extends Error {
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+ constructor(message) {
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+ super(message);
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+ this.name = 'RegressionError';
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+ }
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+ }
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+ exports.RegressionError = RegressionError;
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+ function identityRow(size, index) {
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+ const row = new Array(size).fill(0);
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+ row[index] = 1;
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+ return row;
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+ }
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+ function transpose(matrix) {
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+ const rows = matrix.length;
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+ const cols = rows > 0 ? matrix[0].length : 0;
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+ const result = Array.from({ length: cols }, () => new Array(rows).fill(0));
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+ for (let i = 0; i < rows; i++) {
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+ for (let j = 0; j < cols; j++)
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+ result[j][i] = matrix[i][j];
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+ }
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+ return result;
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+ }
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+ function multiply(a, b) {
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+ const rows = a.length;
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+ const inner = b.length;
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+ const cols = inner > 0 ? b[0].length : 0;
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+ const result = Array.from({ length: rows }, () => new Array(cols).fill(0));
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+ for (let i = 0; i < rows; i++) {
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+ for (let k = 0; k < inner; k++) {
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+ const factor = a[i][k];
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+ for (let j = 0; j < cols; j++)
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+ result[i][j] += factor * b[k][j];
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+ }
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+ }
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+ return result;
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+ }
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+ function invert(matrix) {
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+ const size = matrix.length;
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+ const augmented = matrix.map((row, i) => [...row, ...identityRow(size, i)]);
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+ let singular = false;
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+ for (let pivot = 0; pivot < size; pivot++) {
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+ let best = pivot;
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+ for (let row = pivot + 1; row < size; row++) {
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+ if (Math.abs(augmented[row][pivot]) > Math.abs(augmented[best][pivot]))
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+ best = row;
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+ }
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+ const pivotValue = augmented[best][pivot];
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+ if (Math.abs(pivotValue) < 1e-12) {
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+ singular = true;
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+ break;
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+ }
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+ [augmented[pivot], augmented[best]] = [augmented[best], augmented[pivot]];
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+ for (let col = 0; col < 2 * size; col++)
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+ augmented[pivot][col] /= pivotValue;
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+ for (let row = 0; row < size; row++) {
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+ if (row !== pivot) {
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+ const factor = augmented[row][pivot];
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+ for (let col = 0; col < 2 * size; col++)
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+ augmented[row][col] -= factor * augmented[pivot][col];
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+ }
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+ }
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+ }
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+ if (singular)
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+ throw new RegressionError('Cannot solve regression: variables are collinear or degenerate');
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+ return augmented.map(row => row.slice(size));
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+ }
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+ function fitOLS(aligned) {
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+ const { y, x } = aligned;
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+ const observations = y.length;
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+ const predictors = x.length > 0 ? x[0].length : 0;
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+ if (observations >= predictors + 2) {
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+ const design = x.map(row => [1, ...row]);
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+ const designT = transpose(design);
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+ const inverse = invert(multiply(designT, design));
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+ const projected = multiply(designT, y.map(value => [value]));
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+ const beta = multiply(inverse, projected).map(row => row[0]);
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+ const predictions = design.map(row => row.reduce((sum, value, i) => sum + value * beta[i], 0));
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+ const mean = y.reduce((sum, value) => sum + value, 0) / observations;
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+ const totalSum = y.reduce((sum, value) => sum + Math.pow((value - mean), 2), 0);
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+ const residualSum = y.reduce((sum, value, i) => sum + Math.pow((value - predictions[i]), 2), 0);
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+ return {
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+ intercept: beta[0],
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+ coefficients: beta.slice(1),
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+ rSquared: totalSum > 0 ? 1 - residualSum / totalSum : 0
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+ };
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+ }
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+ throw new RegressionError(`Regression needs more observations than variables: got ${observations} rows for ${predictors} variables`);
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+ }
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+ //# sourceMappingURL=OrdinaryLeastSquares.js.map
package/dist/econometrics/OrdinaryLeastSquares.js.map ADDED
@@ -0,0 +1 @@
1
+ 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package/dist/index.d.ts CHANGED
@@ -30,6 +30,8 @@ export { ReturnGoal as ReturnGoal } from "./optimization/search/portfolio/goals/
30
30
  export { VolatilityGoal as VolatilityGoal } from "./optimization/search/portfolio/goals/VolatilityGoal";
31
31
  export { PortfolioSearch as PortfolioSearch } from "./optimization/search/portfolio/SPEA2PortfolioSearch";
32
32
  export { computeAssetMetrics as computeAssetMetrics, AssetMetrics as AssetMetrics } from "./optimization/assetsMetricsCalculator/AssetMetricsCalculator";
33
+ export { monthEndCloses, monthlyReturns, applyTreatment, applyDelay, alignByMonth, MissingMonthsError, MonthlyPoint, RawPoint, AlignedSeries } from "./timeSeries/TimeSeriesPipeline";
34
+ export { fitOLS, RegressionResult, RegressionError } from "./econometrics/OrdinaryLeastSquares";
33
35
  export { applyLoginMocks as applyLoginMocks } from "./crud/test/LoginServiceMocks";
34
36
  export { applyPlatformMocks as applyPlatformMocks } from "./crud/test/PlatformMocks";
35
37
  export { applyRoleMocks as applyRoleMocks } from "./crud/test/RoleMocks";
package/dist/index.js CHANGED
@@ -1,6 +1,6 @@
1
1
  "use strict";
2
2
  Object.defineProperty(exports, "__esModule", { value: true });
3
- exports.applyTypeMocks = exports.applyStatusMocks = exports.applyRoleMocks = exports.applyPlatformMocks = exports.applyLoginMocks = exports.computeAssetMetrics = exports.PortfolioSearch = exports.VolatilityGoal = exports.ReturnGoal = exports.RealOrder = exports.PortfolioXOver = exports.PortfolioMutation = exports.PopulationGenerator = exports.PortfolioIndividualBuilder = exports.PortfolioSpace = exports.UserManager = exports.UserCredentialsManager = exports.TypeManager = exports.StatusManager = exports.SourcesManager = exports.RoleManager = exports.EquationsManager = exports.PortfolioBenchmarkManager = exports.PlatformManager = exports.OptimizationManager = exports.MarketDataManager = exports.IntermediaryDataManager = exports.IntermediaryManager = exports.ForecastManager = exports.ComponentManager = exports.BusinessManager = exports.AvailablePlataformManager = exports.ConfigManager = exports.AssetsManager = exports.RoleServicePermissionsChecker = exports.ServiceSessionChecker = exports.ExpressLogableConfig = void 0;
3
+ exports.applyTypeMocks = exports.applyStatusMocks = exports.applyRoleMocks = exports.applyPlatformMocks = exports.applyLoginMocks = exports.RegressionError = exports.fitOLS = exports.MissingMonthsError = exports.alignByMonth = exports.applyDelay = exports.applyTreatment = exports.monthlyReturns = exports.monthEndCloses = exports.computeAssetMetrics = exports.PortfolioSearch = exports.VolatilityGoal = exports.ReturnGoal = exports.RealOrder = exports.PortfolioXOver = exports.PortfolioMutation = exports.PopulationGenerator = exports.PortfolioIndividualBuilder = exports.PortfolioSpace = exports.UserManager = exports.UserCredentialsManager = exports.TypeManager = exports.StatusManager = exports.SourcesManager = exports.RoleManager = exports.EquationsManager = exports.PortfolioBenchmarkManager = exports.PlatformManager = exports.OptimizationManager = exports.MarketDataManager = exports.IntermediaryDataManager = exports.IntermediaryManager = exports.ForecastManager = exports.ComponentManager = exports.BusinessManager = exports.AvailablePlataformManager = exports.ConfigManager = exports.AssetsManager = exports.RoleServicePermissionsChecker = exports.ServiceSessionChecker = exports.ExpressLogableConfig = void 0;
4
4
  var ExpressLogableConfig_1 = require("./ap\u00ED/ExpressLogableConfig");
5
5
  Object.defineProperty(exports, "ExpressLogableConfig", { enumerable: true, get: function () { return ExpressLogableConfig_1.ExpressLogableConfig; } });
6
6
  var ServiceSessionChecker_1 = require("./ap\u00ED/checkers/ServiceSessionChecker");
@@ -65,6 +65,16 @@ var SPEA2PortfolioSearch_1 = require("./optimization/search/portfolio/SPEA2Portf
65
65
  Object.defineProperty(exports, "PortfolioSearch", { enumerable: true, get: function () { return SPEA2PortfolioSearch_1.PortfolioSearch; } });
66
66
  var AssetMetricsCalculator_1 = require("./optimization/assetsMetricsCalculator/AssetMetricsCalculator");
67
67
  Object.defineProperty(exports, "computeAssetMetrics", { enumerable: true, get: function () { return AssetMetricsCalculator_1.computeAssetMetrics; } });
68
+ var TimeSeriesPipeline_1 = require("./timeSeries/TimeSeriesPipeline");
69
+ Object.defineProperty(exports, "monthEndCloses", { enumerable: true, get: function () { return TimeSeriesPipeline_1.monthEndCloses; } });
70
+ Object.defineProperty(exports, "monthlyReturns", { enumerable: true, get: function () { return TimeSeriesPipeline_1.monthlyReturns; } });
71
+ Object.defineProperty(exports, "applyTreatment", { enumerable: true, get: function () { return TimeSeriesPipeline_1.applyTreatment; } });
72
+ Object.defineProperty(exports, "applyDelay", { enumerable: true, get: function () { return TimeSeriesPipeline_1.applyDelay; } });
73
+ Object.defineProperty(exports, "alignByMonth", { enumerable: true, get: function () { return TimeSeriesPipeline_1.alignByMonth; } });
74
+ Object.defineProperty(exports, "MissingMonthsError", { enumerable: true, get: function () { return TimeSeriesPipeline_1.MissingMonthsError; } });
75
+ var OrdinaryLeastSquares_1 = require("./econometrics/OrdinaryLeastSquares");
76
+ Object.defineProperty(exports, "fitOLS", { enumerable: true, get: function () { return OrdinaryLeastSquares_1.fitOLS; } });
77
+ Object.defineProperty(exports, "RegressionError", { enumerable: true, get: function () { return OrdinaryLeastSquares_1.RegressionError; } });
68
78
  var LoginServiceMocks_1 = require("./crud/test/LoginServiceMocks");
69
79
  Object.defineProperty(exports, "applyLoginMocks", { enumerable: true, get: function () { return LoginServiceMocks_1.applyLoginMocks; } });
70
80
  var PlatformMocks_1 = require("./crud/test/PlatformMocks");
package/dist/index.js.map CHANGED
@@ -1 +1 @@
1
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+ {"version":3,"file":"index.js","sourceRoot":"","sources":["../src/index.ts"],"names":[],"mappings":";;;AAAA,wEAA0F;AAAjF,4HAAA,oBAAoB,OAAwB;AACrD,mFAAkM;AAA7F,8HAAA,qBAAqB,OAAyB;AACnJ,qGAA+H;AAAtH,+IAAA,6BAA6B,OAAiC;AACvE,sDAAwI;AAA7D,8GAAA,aAAa,OAAiB;AACzG,sDAAwI;AAA7D,8GAAA,aAAa,OAAiB;AACzG,8EAAuN;AAAhG,sIAAA,wBAAwB,OAA6B;AAC5K,0DAAsJ;AAAnE,kHAAA,eAAe,OAAmB;AACrH,4DAA2P;AAAtE,oHAAA,gBAAgB,OAAoB;AACzN,0DAAsJ;AAAnE,kHAAA,eAAe,OAAmB;AACrH,wDAA6K;AAA1E,qHAAA,mBAAmB,OAAuB;AAC7I,0EAAkM;AAA3F,kIAAA,uBAAuB,OAA2B;AACzJ,8DAAoK;AAAzE,sHAAA,iBAAiB,OAAqB;AACjI,kEAAiL;AAA9E,0HAAA,mBAAmB,OAAuB;AAC7I,0DAA4L;AAAnE,kHAAA,eAAe,OAAmB;AAC3J,8EAA4N;AAAjG,sIAAA,yBAAyB,OAA6B;AACjL,4DAAkJ;AAAlD,oHAAA,gBAAgB,OAAA;AAChH,kDAA0H;AAAvD,0GAAA,WAAW,OAAe;AAC7F,wDAA2I;AAAhE,gHAAA,cAAc,OAAkB;AAC3G,sDAAwI;AAA7D,8GAAA,aAAa,OAAiB;AACzG,kDAA0H;AAAvD,0GAAA,WAAW,OAAe;AAC7F,wEAAuM;AAAxF,gIAAA,sBAAsB,OAA0B;AAC/J,kDAA0H;AAAvD,0GAAA,WAAW,OAAe;AAC7F,iFAAkG;AAAzF,gHAAA,cAAc,OAAkB;AACzC,yGAAsI;AAA7H,wIAAA,0BAA0B,OAA8B;AACjE,qFAA2G;AAAlG,0HAAA,mBAAmB,OAAuB;AACnD,+FAAmH;AAA1G,sHAAA,iBAAiB,OAAqB;AAC/C,yFAA0G;AAAjG,gHAAA,cAAc,OAAkB;AACzC,mDAA+D;AAAtD,sGAAA,SAAS,OAAa;AAC/B,+EAA4F;AAAnF,wGAAA,UAAU,OAAc;AACjC,uFAAwG;AAA/F,gHAAA,cAAc,OAAkB;AACzC,6FAA0G;AAAjG,uHAAA,eAAe,OAAmB;AAC3C,wGAAyJ;AAAhJ,6HAAA,mBAAmB,OAAuB;AACnD,sEAAsL;AAA7K,oHAAA,cAAc,OAAA;AAAE,oHAAA,cAAc,OAAA;AAAE,oHAAA,cAAc,OAAA;AAAE,gHAAA,UAAU,OAAA;AAAE,kHAAA,YAAY,OAAA;AAAE,wHAAA,kBAAkB,OAAA;AACrG,4EAAgG;AAAvF,8GAAA,MAAM,OAAA;AAAoB,uHAAA,eAAe,OAAA;AAElD,mEAAmF;AAA1E,oHAAA,eAAe,OAAmB;AAC3C,2DAAqF;AAA5E,mHAAA,kBAAkB,OAAsB;AACjD,mDAAyE;AAAhE,2GAAA,cAAc,OAAkB;AACzC,uDAA+E;AAAtE,+GAAA,gBAAgB,OAAoB;AAC7C,mDAAyE;AAAhE,2GAAA,cAAc,OAAkB"}
package/dist/timeSeries/TimeSeriesPipeline.d.ts ADDED
@@ -0,0 +1,22 @@
1
+ export interface MonthlyPoint {
2
+ month: number;
3
+ value: number;
4
+ }
5
+ export interface RawPoint {
6
+ date: number;
7
+ value: number;
8
+ }
9
+ export interface AlignedSeries {
10
+ months: number[];
11
+ y: number[];
12
+ x: number[][];
13
+ }
14
+ export declare class MissingMonthsError extends Error {
15
+ readonly months: number[];
16
+ constructor(months: number[]);
17
+ }
18
+ export declare function monthEndCloses(points: RawPoint[]): MonthlyPoint[];
19
+ export declare function monthlyReturns(closes: MonthlyPoint[]): MonthlyPoint[];
20
+ export declare function applyTreatment(closes: MonthlyPoint[], treatment: 'direct' | 'return'): MonthlyPoint[];
21
+ export declare function applyDelay(series: MonthlyPoint[], delay: number): MonthlyPoint[];
22
+ export declare function alignByMonth(target: MonthlyPoint[], variables: MonthlyPoint[][]): AlignedSeries;
package/dist/timeSeries/TimeSeriesPipeline.js ADDED
@@ -0,0 +1,100 @@
1
+ "use strict";
2
+ Object.defineProperty(exports, "__esModule", { value: true });
3
+ exports.MissingMonthsError = void 0;
4
+ exports.monthEndCloses = monthEndCloses;
5
+ exports.monthlyReturns = monthlyReturns;
6
+ exports.applyTreatment = applyTreatment;
7
+ exports.applyDelay = applyDelay;
8
+ exports.alignByMonth = alignByMonth;
9
+ class MissingMonthsError extends Error {
10
+ constructor(months) {
11
+ super(`Missing months in series: ${months.map(formatMonth).join(', ')}`);
12
+ this.name = 'MissingMonthsError';
13
+ this.months = months;
14
+ }
15
+ }
16
+ exports.MissingMonthsError = MissingMonthsError;
17
+ function formatMonth(month) {
18
+ return `${Math.floor(month / 100)}-${String(month % 100).padStart(2, '0')}`;
19
+ }
20
+ function toMonth(date) {
21
+ return Math.floor(date / 100);
22
+ }
23
+ function monthToIndex(month) {
24
+ const year = Math.floor(month / 100);
25
+ const monthOfYear = month % 100;
26
+ return year * 12 + (monthOfYear - 1);
27
+ }
28
+ function indexToMonth(index) {
29
+ const year = Math.floor(index / 12);
30
+ const monthOfYear = (index % 12) + 1;
31
+ return year * 100 + monthOfYear;
32
+ }
33
+ function missingMonths(series) {
34
+ const gaps = [];
35
+ for (let i = 1; i < series.length; i++) {
36
+ const previous = monthToIndex(series[i - 1].month);
37
+ const current = monthToIndex(series[i].month);
38
+ for (let idx = previous + 1; idx < current; idx++)
39
+ gaps.push(indexToMonth(idx));
40
+ }
41
+ return gaps;
42
+ }
43
+ function monthEndCloses(points) {
44
+ const latestByMonth = new Map();
45
+ for (const point of points) {
46
+ const month = toMonth(point.date);
47
+ const current = latestByMonth.get(month);
48
+ if (current === undefined || point.date > current.date)
49
+ latestByMonth.set(month, point);
50
+ }
51
+ return Array.from(latestByMonth.entries())
52
+ .map(([month, point]) => ({ month, value: point.value }))
53
+ .sort((a, b) => a.month - b.month);
54
+ }
55
+ function monthlyReturns(closes) {
56
+ const gaps = missingMonths(closes);
57
+ const returns = [];
58
+ for (let i = 1; i < closes.length; i++) {
59
+ returns.push({ month: closes[i].month, value: closes[i].value / closes[i - 1].value - 1 });
60
+ }
61
+ if (gaps.length > 0)
62
+ throw new MissingMonthsError(gaps);
63
+ return returns;
64
+ }
65
+ function applyTreatment(closes, treatment) {
66
+ return treatment === 'return' ? monthlyReturns(closes) : closes;
67
+ }
68
+ function applyDelay(series, delay) {
69
+ return series.map(point => ({ month: indexToMonth(monthToIndex(point.month) + delay), value: point.value }));
70
+ }
71
+ function alignByMonth(target, variables) {
72
+ const seriesList = [target, ...variables];
73
+ const populated = seriesList.every(series => series.length > 0);
74
+ const start = populated ? Math.max(...seriesList.map(series => monthToIndex(series[0].month))) : 0;
75
+ const end = populated ? Math.min(...seriesList.map(series => monthToIndex(series[series.length - 1].month))) : -1;
76
+ const targetByMonth = new Map(target.map(point => [point.month, point.value]));
77
+ const variablesByMonth = variables.map(series => new Map(series.map(point => [point.month, point.value])));
78
+ const months = [];
79
+ const y = [];
80
+ const x = [];
81
+ const missing = [];
82
+ for (let index = start; index <= end; index++) {
83
+ const month = indexToMonth(index);
84
+ const targetValue = targetByMonth.get(month);
85
+ const row = variablesByMonth.map(map => map.get(month));
86
+ const complete = targetValue !== undefined && row.every((value) => typeof value === 'number' && Number.isFinite(value));
87
+ if (complete) {
88
+ months.push(month);
89
+ y.push(targetValue);
90
+ x.push(row);
91
+ }
92
+ else {
93
+ missing.push(month);
94
+ }
95
+ }
96
+ if (missing.length > 0)
97
+ throw new MissingMonthsError(missing);
98
+ return { months, y, x };
99
+ }
100
+ //# sourceMappingURL=TimeSeriesPipeline.js.map
package/dist/timeSeries/TimeSeriesPipeline.js.map ADDED
@@ -0,0 +1 @@
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package/package.json CHANGED
@@ -1,6 +1,6 @@
1
1
  {
2
2
  "name": "elemento-alpha-tools",
3
- "version": "1.3.11",
3
+ "version": "1.3.12",
4
4
  "description": "Librería para los servicios de elemento alpha",
5
5
  "main": "dist/index.js",
6
6
  "types": "dist/index.d.ts",