elemento-alpha-tools 1.3.11 → 1.3.13

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Files changed (16) hide show
  1. package/dist/crud/ForecastManager.d.ts +41 -11
  2. package/dist/crud/ForecastManager.js +8 -7
  3. package/dist/crud/ForecastManager.js.map +1 -1
  4. package/dist/econometrics/OrdinaryLeastSquares.d.ts +14 -0
  5. package/dist/econometrics/OrdinaryLeastSquares.js +101 -0
  6. package/dist/econometrics/OrdinaryLeastSquares.js.map +1 -0
  7. package/dist/index.d.ts +3 -2
  8. package/dist/index.js +11 -3
  9. package/dist/index.js.map +1 -1
  10. package/dist/timeSeries/TimeSeriesPipeline.d.ts +22 -0
  11. package/dist/timeSeries/TimeSeriesPipeline.js +100 -0
  12. package/dist/timeSeries/TimeSeriesPipeline.js.map +1 -0
  13. package/package.json +1 -1
  14. package/dist/crud/EquationsManager.d.ts +0 -51
  15. package/dist/crud/EquationsManager.js +0 -84
  16. package/dist/crud/EquationsManager.js.map +0 -1
package/dist/crud/ForecastManager.d.ts CHANGED
@@ -1,30 +1,60 @@
1
1
  import { AxiosRequestConfig } from "axios";
2
2
  import { CrudServiceManager, StandardIdRequestDefinition } from "itrm-tools";
3
+ export interface IForecastInput {
4
+ name: string;
5
+ raw: boolean;
6
+ transform: string | null;
7
+ delay?: number;
8
+ }
9
+ export interface IForecastOutput {
10
+ name: string;
11
+ unit: string;
12
+ raw: boolean;
13
+ transform: string | null;
14
+ }
15
+ export interface IForecastData {
16
+ intercept?: number;
17
+ coefficients?: {
18
+ input: string;
19
+ beta: number;
20
+ }[];
21
+ standardError?: number;
22
+ rSquared?: number;
23
+ }
24
+ export interface IForecastDetails {
25
+ inputs: {
26
+ size: number;
27
+ [variable: string]: IForecastInput | number;
28
+ };
29
+ outputs: {
30
+ [name: string]: IForecastOutput;
31
+ };
32
+ options?: {
33
+ useIntercept?: boolean;
34
+ };
35
+ data?: any;
36
+ }
3
37
  export interface IForecast {
4
38
  forecastId?: number;
39
+ name?: string;
5
40
  assetId?: number;
41
+ businessId?: number;
6
42
  typeId?: number;
7
- date?: number;
8
- value?: number;
9
- fromDate?: number;
10
- toDate?: number;
43
+ details?: IForecastDetails;
11
44
  updatedAt?: string;
12
45
  createdAt?: string;
13
46
  config?: AxiosRequestConfig;
14
47
  }
15
48
  export interface IForecastSearchDetails {
16
49
  forecastId?: number;
50
+ name?: string;
17
51
  assetId?: number;
52
+ businessId?: number;
18
53
  typeId?: number;
19
- date?: number;
20
- value?: number;
21
- updatedAt?: string;
22
- createdAt?: string;
23
- config?: AxiosRequestConfig;
24
- fromDate?: number;
25
- toDate?: number;
54
+ details?: IForecastDetails;
26
55
  limit?: number;
27
56
  offset?: number;
57
+ config?: AxiosRequestConfig;
28
58
  values?: IForecast[];
29
59
  }
30
60
  export declare class ForecastManager extends CrudServiceManager<IForecastSearchDetails, IForecast> {
package/dist/crud/ForecastManager.js CHANGED
@@ -16,10 +16,9 @@ class ForecastManager extends itrm_tools_1.CrudServiceManager {
16
16
  super();
17
17
  this.url = url;
18
18
  }
19
- ;
20
19
  find(details) {
21
20
  return __awaiter(this, void 0, void 0, function* () {
22
- return this.sendFinding(`${this.url}/forecast?assetId${details.assetId}${details.date ? `&date=${details.date}` : ''}${details.typeId ? `&typeId${details.typeId}` : ''}${details.value ? `&value${details.value}` : ''}`, details.config);
21
+ return this.sendFinding(this.buildRequestUrl(`${this.url}/forecast`, details), details.config);
23
22
  });
24
23
  }
25
24
  findById(id) {
@@ -28,7 +27,7 @@ class ForecastManager extends itrm_tools_1.CrudServiceManager {
28
27
  });
29
28
  }
30
29
  buildRequestUrl(url, details) {
31
- let suffix = `${details.assetId ? `&assetId=${details.assetId}` : ""}${details.typeId ? `&typeId=${details.typeId}` : ""}${details.fromDate ? `&fromDate=${details.fromDate}` : ""}${details.toDate ? `&toDate=${details.toDate}` : ""}${details.date ? `&date=${details.date}` : ''}`;
30
+ let suffix = `${details.assetId ? `&assetId=${details.assetId}` : ""}${details.businessId ? `&businessId=${details.businessId}` : ""}${details.typeId ? `&typeId=${details.typeId}` : ""}${details.name ? `&name=${details.name}` : ""}`;
32
31
  return `${url}?${suffix.substring(1)}`;
33
32
  }
34
33
  count(details) {
@@ -62,10 +61,11 @@ class ForecastManager extends itrm_tools_1.CrudServiceManager {
62
61
  create(details) {
63
62
  return __awaiter(this, void 0, void 0, function* () {
64
63
  return this.sendCreation(`${this.url}/forecast`, {
64
+ name: details.name,
65
65
  assetId: details.assetId,
66
+ businessId: details.businessId,
66
67
  typeId: details.typeId,
67
- date: details.date,
68
- value: details.value,
68
+ details: details.details
69
69
  }, details.config);
70
70
  });
71
71
  }
@@ -78,10 +78,11 @@ class ForecastManager extends itrm_tools_1.CrudServiceManager {
78
78
  modify(forecast) {
79
79
  return __awaiter(this, void 0, void 0, function* () {
80
80
  return this.sendModification(`${this.url}/forecast/${forecast.forecastId}`, {
81
+ name: forecast.name,
81
82
  assetId: forecast.assetId,
83
+ businessId: forecast.businessId,
82
84
  typeId: forecast.typeId,
83
- date: forecast.date,
84
- value: forecast.value,
85
+ details: forecast.details
85
86
  }, forecast.config);
86
87
  });
87
88
  }
package/dist/crud/ForecastManager.js.map CHANGED
@@ -1 +1 @@
1
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1
+ {"version":3,"file":"ForecastManager.js","sourceRoot":"","sources":["../../src/crud/ForecastManager.ts"],"names":[],"mappings":";;;;;;;;;;;;AACA,2CAA6E;AAuD7E,MAAa,eAAgB,SAAQ,+BAAqD;IAGxF,YAAY,GAAW;QACrB,KAAK,EAAE,CAAC;QACR,IAAI,CAAC,GAAG,GAAG,GAAG,CAAC;IACjB,CAAC;IAEY,IAAI,CAAC,OAA+B;;YAC/C,OAAO,IAAI,CAAC,WAAW,CAAC,IAAI,CAAC,eAAe,CAAC,GAAG,IAAI,CAAC,GAAG,WAAW,EAAE,OAAO,CAAC,EAAE,OAAO,CAAC,MAAM,CAAC,CAAC;QACjG,CAAC;KAAA;IAEY,QAAQ,CAAC,EAA+B;;YACnD,OAAO,IAAI,CAAC,WAAW,CAAC,GAAG,IAAI,CAAC,GAAG,gBAAgB,EAAE,CAAC,EAAE,EAAE,EAAE,EAAE,CAAC,MAAM,CAAC,CAAC;QACzE,CAAC;KAAA;IAEO,eAAe,CAAC,GAAW,EAAE,OAA+B;QAClE,IAAI,MAAM,GAAG,GAAG,OAAO,CAAC,OAAO,CAAC,CAAC,CAAC,YAAY,OAAO,CAAC,OAAO,EAAE,CAAC,CAAC,CAAC,EAAE,GAAG,OAAO,CAAC,UAAU,CAAC,CAAC,CAAC,eAAe,OAAO,CAAC,UAAU,EAAE,CAAC,CAAC,CAAC,EAAE,GAAG,OAAO,CAAC,MAAM,CAAC,CAAC,CAAC,WAAW,OAAO,CAAC,MAAM,EAAE,CAAC,CAAC,CAAC,EAAE,GAAG,OAAO,CAAC,IAAI,CAAC,CAAC,CAAC,SAAS,OAAO,CAAC,IAAI,EAAE,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC;QACzO,OAAO,GAAG,GAAG,IAAI,MAAM,CAAC,SAAS,CAAC,CAAC,CAAC,EAAE,CAAC;IACzC,CAAC;IAEY,KAAK,CAAC,OAA+B;;;YAChD,IAAI,GAAG,GAAG,IAAI,CAAC,eAAe,CAAC,GAAG,IAAI,CAAC,GAAG,WAAW,EAAE,OAAO,CAAC,CAAC;YAChE,OAAO,MAAA,CAAC,MAAM,IAAI,CAAC,YAAY,CAAC,GAAG,EAAE,OAAO,CAAC,MAAM,CAAC,CAAC,mCAAI,CAAC,CAAC;QAC7D,CAAC;KAAA;IAEY,OAAO,CAAC,OAA+B;;;YAClD,IAAI,QAAQ,GAAgB,EAAE,CAAC;YAC/B,IAAI,GAAG,GAAG,IAAI,CAAC,eAAe,CAAC,GAAG,IAAI,CAAC,GAAG,WAAW,EAAE,OAAO,CAAC,CAAC;YAChE,IAAI,OAAO,CAAC,KAAK,EAAE,CAAC;gBAClB,QAAQ,GAAG,MAAA,CAAC,MAAM,IAAI,CAAC,cAAc,CAAC,GAAG,GAAG,GAAG,GAAG,CAAC,OAAO,CAAC,GAAG,CAAC,KAAK,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,GAAG,SAAS,OAAO,CAAC,KAAK,WAAW,OAAO,CAAC,MAAM,EAAE,EAAE,OAAO,CAAC,MAAM,CAAC,CAAC,mCAAI,EAAE,CAAC;YAC9J,CAAC;iBAAM,CAAC;gBACN,IAAI,KAAK,GAAG,IAAI,EAAE,MAAM,GAAG,CAAC,EAAE,OAAO,GAAG,KAAK,CAAC;gBAC9C,GAAG,CAAC;oBACF,IAAI,MAAM,GAAG,MAAM,IAAI,CAAC,cAAc,CAAC,GAAG,GAAG,GAAG,GAAG,CAAC,OAAO,CAAC,GAAG,CAAC,KAAK,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,GAAG,SAAS,KAAK,WAAW,MAAM,EAAE,EAAE,OAAO,CAAC,MAAM,CAAC,CAAC;oBACtI,IAAI,MAAM;wBACR,QAAQ,GAAG,QAAQ,CAAC,MAAM,CAAC,MAAM,CAAC,CAAC;oBACrC,OAAO,GAAG,MAAM,IAAI,SAAS,IAAI,MAAM,CAAC,MAAM,IAAI,CAAC,CAAC;oBACpD,MAAM,IAAI,KAAK,CAAC;gBAClB,CAAC,QAAQ,CAAC,OAAO,EAAE;YACrB,CAAC;YACD,OAAO,QAAQ,CAAC;QAClB,CAAC;KAAA;IAEY,MAAM,CAAC,OAA+B;;YACjD,OAAO,IAAI,CAAC,YAAY,CAAC,GAAG,IAAI,CAAC,GAAG,WAAW,EAAE;gBAC/C,IAAI,EAAE,OAAO,CAAC,IAAI;gBAClB,OAAO,EAAE,OAAO,CAAC,OAAO;gBACxB,UAAU,EAAE,OAAO,CAAC,UAAU;gBAC9B,MAAM,EAAE,OAAO,CAAC,MAAM;gBACtB,OAAO,EAAE,OAAO,CAAC,OAAO;aACzB,EAAE,OAAO,CAAC,MAAM,CAAC,CAAC;QACrB,CAAC;KAAA;IAEY,UAAU,CAAC,OAA+B;;;YACrD,OAAO,IAAI,CAAC,gBAAgB,CAAC,GAAG,IAAI,CAAC,GAAG,WAAW,EAAE,MAAA,OAAO,CAAC,MAAM,mCAAI,EAAE,EAAE,OAAO,CAAC,MAAM,CAAC,CAAC;QAC7F,CAAC;KAAA;IAEY,MAAM,CAAC,QAAmB;;YACrC,OAAO,IAAI,CAAC,gBAAgB,CAAC,GAAG,IAAI,CAAC,GAAG,aAAa,QAAQ,CAAC,UAAU,EAAE,EAAE;gBAC1E,IAAI,EAAE,QAAQ,CAAC,IAAI;gBACnB,OAAO,EAAE,QAAQ,CAAC,OAAO;gBACzB,UAAU,EAAE,QAAQ,CAAC,UAAU;gBAC/B,MAAM,EAAE,QAAQ,CAAC,MAAM;gBACvB,OAAO,EAAE,QAAQ,CAAC,OAAO;aAC1B,EAAE,QAAQ,CAAC,MAAM,CAAC,CAAC;QACtB,CAAC;KAAA;IAEY,OAAO,CAAC,QAAmB;;YACtC,OAAO,IAAI,CAAC,eAAe,CAAC,GAAG,IAAI,CAAC,GAAG,aAAa,QAAQ,CAAC,UAAU,EAAE,EAAE,QAAQ,CAAC,MAAM,CAAC,CAAC;QAC9F,CAAC;KAAA;CACF;AAvED,0CAuEC"}
package/dist/econometrics/OrdinaryLeastSquares.d.ts ADDED
@@ -0,0 +1,14 @@
1
+ import { AlignedSeries } from '../timeSeries/TimeSeriesPipeline';
2
+ export interface RegressionResult {
3
+ intercept: number;
4
+ coefficients: number[];
5
+ rSquared: number;
6
+ standardError: number;
7
+ }
8
+ export interface OLSOptions {
9
+ useIntercept?: boolean;
10
+ }
11
+ export declare class RegressionError extends Error {
12
+ constructor(message: string);
13
+ }
14
+ export declare function fitOLS(aligned: AlignedSeries, options?: OLSOptions): RegressionResult;
package/dist/econometrics/OrdinaryLeastSquares.js ADDED
@@ -0,0 +1,101 @@
1
+ "use strict";
2
+ Object.defineProperty(exports, "__esModule", { value: true });
3
+ exports.RegressionError = void 0;
4
+ exports.fitOLS = fitOLS;
5
+ class RegressionError extends Error {
6
+ constructor(message) {
7
+ super(message);
8
+ this.name = 'RegressionError';
9
+ }
10
+ }
11
+ exports.RegressionError = RegressionError;
12
+ function identityRow(size, index) {
13
+ const row = new Array(size).fill(0);
14
+ row[index] = 1;
15
+ return row;
16
+ }
17
+ function transpose(matrix) {
18
+ const rows = matrix.length;
19
+ const cols = rows > 0 ? matrix[0].length : 0;
20
+ const result = Array.from({ length: cols }, () => new Array(rows).fill(0));
21
+ for (let i = 0; i < rows; i++) {
22
+ for (let j = 0; j < cols; j++)
23
+ result[j][i] = matrix[i][j];
24
+ }
25
+ return result;
26
+ }
27
+ function multiply(a, b) {
28
+ const rows = a.length, inner = b.length;
29
+ const cols = inner > 0 ? b[0].length : 0;
30
+ const result = Array.from({ length: rows }, () => new Array(cols).fill(0));
31
+ for (let i = 0; i < rows; i++) {
32
+ for (let k = 0; k < inner; k++) {
33
+ const factor = a[i][k];
34
+ for (let j = 0; j < cols; j++)
35
+ result[i][j] += factor * b[k][j];
36
+ }
37
+ }
38
+ return result;
39
+ }
40
+ function invert(matrix) {
41
+ const size = matrix.length;
42
+ const augmented = matrix.map((row, i) => [...row, ...identityRow(size, i)]);
43
+ let singular = false;
44
+ for (let pivot = 0; pivot < size; pivot++) {
45
+ if (!singular) {
46
+ let best = pivot;
47
+ for (let row = pivot + 1; row < size; row++) {
48
+ if (Math.abs(augmented[row][pivot]) > Math.abs(augmented[best][pivot]))
49
+ best = row;
50
+ }
51
+ const pivotValue = augmented[best][pivot];
52
+ if (Math.abs(pivotValue) < 1e-12) {
53
+ singular = true;
54
+ }
55
+ else {
56
+ [augmented[pivot], augmented[best]] = [augmented[best], augmented[pivot]];
57
+ for (let col = 0; col < 2 * size; col++)
58
+ augmented[pivot][col] /= pivotValue;
59
+ for (let row = 0; row < size; row++) {
60
+ if (row !== pivot) {
61
+ const factor = augmented[row][pivot];
62
+ for (let col = 0; col < 2 * size; col++)
63
+ augmented[row][col] -= factor * augmented[pivot][col];
64
+ }
65
+ }
66
+ }
67
+ }
68
+ }
69
+ if (singular)
70
+ throw new RegressionError('Cannot solve regression: variables are collinear or degenerate');
71
+ return augmented.map(row => row.slice(size));
72
+ }
73
+ function fitOLS(aligned, options = {}) {
74
+ const useIntercept = options.useIntercept !== false;
75
+ const { y, x } = aligned;
76
+ const observations = y.length;
77
+ const predictors = x.length > 0 ? x[0].length : 0;
78
+ const parameters = predictors + (useIntercept ? 1 : 0);
79
+ if (observations >= parameters + 1) {
80
+ const design = x.map(row => (useIntercept ? [1, ...row] : [...row]));
81
+ const designT = transpose(design);
82
+ const inverse = invert(multiply(designT, design));
83
+ const projected = multiply(designT, y.map(value => [value]));
84
+ const beta = multiply(inverse, projected).map(row => row[0]);
85
+ const predictions = design.map(row => row.reduce((sum, value, i) => sum + value * beta[i], 0));
86
+ const mean = y.reduce((sum, value) => sum + value, 0) / observations;
87
+ const totalSum = useIntercept
88
+ ? y.reduce((sum, value) => sum + Math.pow((value - mean), 2), 0)
89
+ : y.reduce((sum, value) => sum + Math.pow(value, 2), 0);
90
+ const residualSum = y.reduce((sum, value, i) => sum + Math.pow((value - predictions[i]), 2), 0);
91
+ const degreesOfFreedom = observations - parameters;
92
+ return {
93
+ intercept: useIntercept ? beta[0] : 0,
94
+ coefficients: useIntercept ? beta.slice(1) : beta,
95
+ rSquared: totalSum > 0 ? 1 - residualSum / totalSum : 0,
96
+ standardError: degreesOfFreedom > 0 ? Math.sqrt(residualSum / degreesOfFreedom) : 0
97
+ };
98
+ }
99
+ throw new RegressionError(`Regression needs more observations than parameters: got ${observations} rows for ${parameters} parameters`);
100
+ }
101
+ //# 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
@@ -6,14 +6,13 @@ export { IConfig as IConfig, IConfigSearchDetails as IConfigSearchDetails, Confi
6
6
  export { IAvailablePlatform as IAvailablePlatform, IAvailablePlatformSearchDetails as IAvailablePlatformSearchDetails, AvailablePlatformManager as AvailablePlataformManager } from './crud/AvailablePlataformManager';
7
7
  export { IBusiness as IBusiness, IBusinessSearchDetails as IBusinessSearchDetails, BusinessManager as BusinessManager } from './crud/BusinessManager';
8
8
  export { IComponent as IComponent, IComponentSearchDetails as IComponentSearchDetails, IComponentDetails as IComponentDetails, IComponentServiceDetails as IComponentServiceDetails, ComponentManager as ComponentManager } from './crud/ComponentManager';
9
- export { IForecast as IForecast, IForecastSearchDetails as IForecastSearchDetails, ForecastManager as ForecastManager } from './crud/ForecastManager';
9
+ export { IForecast, IForecastInput, IForecastOutput, IForecastData, IForecastDetails, IForecastSearchDetails, ForecastManager } from './crud/ForecastManager';
10
10
  export { IIntermediary as IIntermediary, IIntermediarySearchDetails as IIntermediarySearchDetails, IntermediaryManager as IntermediaryManager } from "./crud/Intermediaries";
11
11
  export { IIntermediaryData as IIntermediaryData, IIntermediaryDataDetails as IIntermediaryDataDetails, IntermediaryDataManager as IntermediaryDataManager } from "./crud/IntermediaryDataManager";
12
12
  export { IMarketData as IMarketData, IMarketDataSearchDetails as IMarketDataSearchDetails, MarketDataManager as MarketDataManager } from './crud/MarketDataManager';
13
13
  export { IOptimization as IOptimization, IOptimizationSearchDetails as IOptimizationSearchDetails, OptimizationManager as OptimizationManager } from './crud/OptimizationManager';
14
14
  export { IPlatform as IPlatform, IPlatformSearchDetails as IPlatformSearchDetails, IPlatformDetails as IPlatformDetails, PlatformManager as PlatformManager } from "./crud/PlatformManager";
15
15
  export { IPortfolioBenchmark as IPortfolioBenchmark, IPortfolioBenchmarkSearchDetails as IPortfolioBenchmarkSearchDetails, PortfolioBenchmarkManager as PortfolioBenchmarkManager } from './crud/PortfolioBenchmarkManager';
16
- export { IEquation, IEquationTerm, IEquationDetails, EquationTreatment, IEquationSearchDetails, EquationsManager } from './crud/EquationsManager';
17
16
  export { IRole as IRole, IRoleSearchDetails as IRoleSearchDetails, RoleManager as RoleManager } from "./crud/RoleManager";
18
17
  export { ISource as ISource, ISourceSearchDetails as ISourceSearchDetails, SourcesManager as SourcesManager } from './crud/SourcesManager';
19
18
  export { IStatus as IStatus, IStatusSearchDetails as IStatusSearchDetails, StatusManager as StatusManager } from "./crud/StatusManager";
@@ -30,6 +29,8 @@ export { ReturnGoal as ReturnGoal } from "./optimization/search/portfolio/goals/
30
29
  export { VolatilityGoal as VolatilityGoal } from "./optimization/search/portfolio/goals/VolatilityGoal";
31
30
  export { PortfolioSearch as PortfolioSearch } from "./optimization/search/portfolio/SPEA2PortfolioSearch";
32
31
  export { computeAssetMetrics as computeAssetMetrics, AssetMetrics as AssetMetrics } from "./optimization/assetsMetricsCalculator/AssetMetricsCalculator";
32
+ export { monthEndCloses, monthlyReturns, applyTreatment, applyDelay, alignByMonth, MissingMonthsError, MonthlyPoint, RawPoint, AlignedSeries } from "./timeSeries/TimeSeriesPipeline";
33
+ export { fitOLS, RegressionResult, RegressionError, OLSOptions } from "./econometrics/OrdinaryLeastSquares";
33
34
  export { applyLoginMocks as applyLoginMocks } from "./crud/test/LoginServiceMocks";
34
35
  export { applyPlatformMocks as applyPlatformMocks } from "./crud/test/PlatformMocks";
35
36
  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.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");
@@ -31,8 +31,6 @@ var PlatformManager_1 = require("./crud/PlatformManager");
31
31
  Object.defineProperty(exports, "PlatformManager", { enumerable: true, get: function () { return PlatformManager_1.PlatformManager; } });
32
32
  var PortfolioBenchmarkManager_1 = require("./crud/PortfolioBenchmarkManager");
33
33
  Object.defineProperty(exports, "PortfolioBenchmarkManager", { enumerable: true, get: function () { return PortfolioBenchmarkManager_1.PortfolioBenchmarkManager; } });
34
- var EquationsManager_1 = require("./crud/EquationsManager");
35
- Object.defineProperty(exports, "EquationsManager", { enumerable: true, get: function () { return EquationsManager_1.EquationsManager; } });
36
34
  var RoleManager_1 = require("./crud/RoleManager");
37
35
  Object.defineProperty(exports, "RoleManager", { enumerable: true, get: function () { return RoleManager_1.RoleManager; } });
38
36
  var SourcesManager_1 = require("./crud/SourcesManager");
@@ -65,6 +63,16 @@ var SPEA2PortfolioSearch_1 = require("./optimization/search/portfolio/SPEA2Portf
65
63
  Object.defineProperty(exports, "PortfolioSearch", { enumerable: true, get: function () { return SPEA2PortfolioSearch_1.PortfolioSearch; } });
66
64
  var AssetMetricsCalculator_1 = require("./optimization/assetsMetricsCalculator/AssetMetricsCalculator");
67
65
  Object.defineProperty(exports, "computeAssetMetrics", { enumerable: true, get: function () { return AssetMetricsCalculator_1.computeAssetMetrics; } });
66
+ var TimeSeriesPipeline_1 = require("./timeSeries/TimeSeriesPipeline");
67
+ Object.defineProperty(exports, "monthEndCloses", { enumerable: true, get: function () { return TimeSeriesPipeline_1.monthEndCloses; } });
68
+ Object.defineProperty(exports, "monthlyReturns", { enumerable: true, get: function () { return TimeSeriesPipeline_1.monthlyReturns; } });
69
+ Object.defineProperty(exports, "applyTreatment", { enumerable: true, get: function () { return TimeSeriesPipeline_1.applyTreatment; } });
70
+ Object.defineProperty(exports, "applyDelay", { enumerable: true, get: function () { return TimeSeriesPipeline_1.applyDelay; } });
71
+ Object.defineProperty(exports, "alignByMonth", { enumerable: true, get: function () { return TimeSeriesPipeline_1.alignByMonth; } });
72
+ Object.defineProperty(exports, "MissingMonthsError", { enumerable: true, get: function () { return TimeSeriesPipeline_1.MissingMonthsError; } });
73
+ var OrdinaryLeastSquares_1 = require("./econometrics/OrdinaryLeastSquares");
74
+ Object.defineProperty(exports, "fitOLS", { enumerable: true, get: function () { return OrdinaryLeastSquares_1.fitOLS; } });
75
+ Object.defineProperty(exports, "RegressionError", { enumerable: true, get: function () { return OrdinaryLeastSquares_1.RegressionError; } });
68
76
  var LoginServiceMocks_1 = require("./crud/test/LoginServiceMocks");
69
77
  Object.defineProperty(exports, "applyLoginMocks", { enumerable: true, get: function () { return LoginServiceMocks_1.applyLoginMocks; } });
70
78
  var PlatformMocks_1 = require("./crud/test/PlatformMocks");
package/dist/index.js.map CHANGED
@@ -1 +1 @@
1
- {"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;AAEnD,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"}
1
+ {"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,0DAA8J;AAAhD,kHAAA,eAAe,OAAA;AAC7H,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,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,4EAA4G;AAAnG,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 @@
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": "1.3.13",
4
4
  "description": "Librería para los servicios de elemento alpha",
5
5
  "main": "dist/index.js",
6
6
  "types": "dist/index.d.ts",
package/dist/crud/EquationsManager.d.ts DELETED
@@ -1,51 +0,0 @@
1
- import { AxiosRequestConfig } from 'axios';
2
- import { CrudServiceManager, StandardIdRequestDefinition } from 'itrm-tools';
3
- export type EquationTreatment = 'direct' | 'return';
4
- export interface IEquationTerm {
5
- variableAssetId: number;
6
- beta: number;
7
- delay: number;
8
- treatment: EquationTreatment;
9
- }
10
- export interface IEquationDetails {
11
- error?: number;
12
- method?: string;
13
- estimatedAt?: number;
14
- window?: {
15
- fromDate?: number;
16
- toDate?: number;
17
- };
18
- terms: IEquationTerm[];
19
- }
20
- export interface IEquation {
21
- equationId?: number;
22
- assetId?: number;
23
- businessId?: number;
24
- details?: IEquationDetails;
25
- updatedAt?: string;
26
- createdAt?: string;
27
- config?: AxiosRequestConfig;
28
- }
29
- export interface IEquationSearchDetails {
30
- equationId?: number;
31
- assetId?: number;
32
- businessId?: number;
33
- details?: IEquationDetails;
34
- limit?: number;
35
- offset?: number;
36
- config?: AxiosRequestConfig;
37
- values?: IEquation[];
38
- }
39
- export declare class EquationsManager extends CrudServiceManager<IEquationSearchDetails, IEquation> {
40
- private url;
41
- constructor(url: string);
42
- find(details: IEquationSearchDetails): Promise<IEquation | undefined>;
43
- findById(id: StandardIdRequestDefinition): Promise<IEquation | undefined>;
44
- count(details: IEquationSearchDetails): Promise<number>;
45
- private buildRequestUrl;
46
- findAll(details: IEquationSearchDetails): Promise<IEquation[] | undefined>;
47
- create(details: IEquationSearchDetails): Promise<IEquation | undefined>;
48
- createMany(details: IEquationSearchDetails): Promise<IEquation[] | undefined>;
49
- modify(equation: IEquation): Promise<any>;
50
- destroy(equation: IEquation): Promise<any>;
51
- }
package/dist/crud/EquationsManager.js DELETED
@@ -1,84 +0,0 @@
1
- "use strict";
2
- var __awaiter = (this && this.__awaiter) || function (thisArg, _arguments, P, generator) {
3
- function adopt(value) { return value instanceof P ? value : new P(function (resolve) { resolve(value); }); }
4
- return new (P || (P = Promise))(function (resolve, reject) {
5
- function fulfilled(value) { try { step(generator.next(value)); } catch (e) { reject(e); } }
6
- function rejected(value) { try { step(generator["throw"](value)); } catch (e) { reject(e); } }
7
- function step(result) { result.done ? resolve(result.value) : adopt(result.value).then(fulfilled, rejected); }
8
- step((generator = generator.apply(thisArg, _arguments || [])).next());
9
- });
10
- };
11
- Object.defineProperty(exports, "__esModule", { value: true });
12
- exports.EquationsManager = void 0;
13
- const itrm_tools_1 = require("itrm-tools");
14
- class EquationsManager extends itrm_tools_1.CrudServiceManager {
15
- constructor(url) {
16
- super();
17
- this.url = url;
18
- }
19
- find(details) {
20
- return __awaiter(this, void 0, void 0, function* () {
21
- return this.sendFinding(this.buildRequestUrl(`${this.url}/equations`, details), details.config);
22
- });
23
- }
24
- findById(id) {
25
- return __awaiter(this, void 0, void 0, function* () {
26
- return this.sendFinding(`${this.url}/equations?id=${id.id}`, id.config);
27
- });
28
- }
29
- count(details) {
30
- return __awaiter(this, void 0, void 0, function* () {
31
- var _a;
32
- let url = this.buildRequestUrl(`${this.url}/equations`, details);
33
- return (_a = (yield this.sendCounting(url, details.config))) !== null && _a !== void 0 ? _a : 0;
34
- });
35
- }
36
- buildRequestUrl(url, details) {
37
- let suffix = `${details.businessId ? `&businessId=${details.businessId}` : ''}${details.assetId ? `&assetId=${details.assetId}` : ''}${details.equationId ? `&equationId=${details.equationId}` : ''}`;
38
- return `${url}?${suffix.substring(1)}`;
39
- }
40
- findAll(details) {
41
- return __awaiter(this, void 0, void 0, function* () {
42
- var _a;
43
- let equations = [];
44
- let url = this.buildRequestUrl(`${this.url}/equations`, details);
45
- if (details.limit) {
46
- equations = (_a = (yield this.sendAllFinding(`${url}${url.indexOf('?') !== -1 ? '&' : '?'}limit=${details.limit}&offset=${details.offset}`, details.config))) !== null && _a !== void 0 ? _a : [];
47
- }
48
- else {
49
- let limit = 5000, offset = 0, isEmpty = false;
50
- do {
51
- let values = yield this.sendAllFinding(`${url}${url.indexOf('?') !== -1 ? '&' : '?'}limit=${limit}&offset=${offset}`, details.config);
52
- if (values)
53
- equations = equations.concat(values);
54
- isEmpty = values == undefined || values.length == 0;
55
- offset += limit;
56
- } while (!isEmpty);
57
- }
58
- return equations;
59
- });
60
- }
61
- create(details) {
62
- return this.sendCreation(`${this.url}/equations`, {
63
- assetId: details.assetId,
64
- businessId: details.businessId,
65
- details: details.details
66
- }, details.config);
67
- }
68
- createMany(details) {
69
- var _a;
70
- return this.sendCreationMany(`${this.url}/equations`, (_a = details.values) !== null && _a !== void 0 ? _a : [], details.config);
71
- }
72
- modify(equation) {
73
- return this.sendModification(`${this.url}/equations/${equation.equationId}`, {
74
- assetId: equation.assetId,
75
- businessId: equation.businessId,
76
- details: equation.details
77
- }, equation.config);
78
- }
79
- destroy(equation) {
80
- return this.sendDestruction(`${this.url}/equations/${equation.equationId}`, equation.config);
81
- }
82
- }
83
- exports.EquationsManager = EquationsManager;
84
- //# sourceMappingURL=EquationsManager.js.map
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