PyQuantimClient 1.0.68__tar.gz → 1.0.70__tar.gz

{PyQuantimClient-1.0.68 → PyQuantimClient-1.0.70}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: PyQuantimClient
-Version: 1.0.68
+Version: 1.0.70
 Summary: Python client to access quantIM services
 Author: Daniel Velasquez
 Author-email: daniel.velasquez@sura-im.com

{PyQuantimClient-1.0.68 → PyQuantimClient-1.0.70}/PyQuantimClient.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: PyQuantimClient
-Version: 1.0.68
+Version: 1.0.70
 Summary: Python client to access quantIM services
 Author: Daniel Velasquez
 Author-email: daniel.velasquez@sura-im.com

{PyQuantimClient-1.0.68 → PyQuantimClient-1.0.70}/setup.py

@@ -4,7 +4,7 @@ setup(
    name='PyQuantimClient',
    packages=['PyQuantimClient'],
    package_dir={'PyQuantimClient': 'src'},
-   version='1.0.68',
+   version='1.0.70',
    description='Python client to access quantIM services',
    author='Daniel Velasquez',
    author_email='daniel.velasquez@sura-im.com',

{PyQuantimClient-1.0.68 → PyQuantimClient-1.0.70}/src/bi.py

@@ -34,7 +34,6 @@ class bi_data(quantim):
         asset_class_df['index'] = [k.replace('tipofondo -', '').strip() for k in asset_class_df['index'].values]
         asset_class_df = asset_class_df.loc[np.in1d(asset_class_df['index'], ['A', 'B', 'C', 'D', 'E'])]
 
-        asset_class_df.index.unique()
         consol_df = pd.DataFrame()
         acc_map = [{'id':'SUBTOTAL RENTA VARIABLE', 'label':'Renta Variable'},
                 {'id':'SUBTOTAL RENTA FIJA', 'label':'Renta Fija'},
@@ -67,4 +66,4 @@ class bi_data(quantim):
         asset_detail_df = asset_detail_df.loc[np.in1d(asset_detail_df['index'], ['A', 'B', 'C', 'D', 'E'])]
         asset_detail_df = asset_detail_df.groupby(['index', 'nemo', 'glosa']).sum().reset_index(level='index').pivot(columns='index', values='monto_dolares').reset_index()
 
-        return asset_class_df, asset_detail_df 
+        return consol_df, asset_detail_df 

{PyQuantimClient-1.0.68 → PyQuantimClient-1.0.70}/src/portfolios.py

@@ -137,4 +137,45 @@ class portfolios(quantim):
         port_rets = pd.DataFrame(resp['port_rets']).set_index('date') if resp.get('port_rets', None) is not None else None 
         return port_date, ref_dates, tr_contrib, tra_asset, tra_assetclass, port_risk_contrib, bench_risk_contrib, risk_attrib, port_rets
 
+    def backtest(self, port_name, ref_curr,  ref_date=None, bench_name=None, ini_date=None, rebal_dates_db=False, rebal_period='quarterly', sync_rebal_dates=False):
+        '''
+        Portfolio risk and return attribution and contribution.
+
+        Parameters:
+        ----------
+        port_name : str
+            Portfolio name
+        ref_curr : str
+            Currency code
+        ref_date : str
+            Portfolio date in format %Y-%m-%d (default None)
+        bench_name : str
+            Benchmark name (default None)
+        ini_date : str
+            Initial backtest date in format %Y-%m-%d (default 2013-01-01)
+        rebal_date_db : bool
+            Indicates if benchmarks must be retrieved from database (default False)
+        rebal_period : str
+            Rebalancing period (default quarterly)
+        sync_rebal_dates : bool
+            Indicates if rebalancing dates need to be syncronized (default False)
+
+        Returns:
+        -------
+        ref_dates : Array
+            Reference dates
+        tr_contrib : pd.DataFrame
+            Portolio and benchmark total return contribution
+        tra_asset : pd.DataFrame
+            Total return attribution per asset
+        tra_assetclass : pd.DataFrame
+            Total return attribution per asset class
+        series: pd.DataFrame
+            Simulated series
+        '''
 
+        data = {"port_name":port_name, "date":ref_date, "bench_name":bench_name, "ref_curr": ref_curr, "ini_date":ini_date,"rebal_dates_db": rebal_dates_db,"rebal_period":rebal_period,"sync_rebal_dates":sync_rebal_dates,"reset_weights": True}
+        resp = self.api_call('port_backtest', method="post", data=data, verify=False)
+        ref_dates, port_date, bench_date, tr_contrib, tra_asset, tra_assetclass, series = resp['dates'], resp['port_date'], resp['bench_date'], pd.DataFrame(resp['tr_contrib']), pd.DataFrame(resp['tra_asset']) if resp['tra_asset'] is not None else None, pd.DataFrame(resp['tra_assetclass']) if resp['tra_assetclass'] is not None else None, pd.DataFrame(resp['series']).set_index('fecha')
+        series.index = pd.to_datetime(series.index)     
+        return ref_dates, port_date, tr_contrib, tra_asset, tra_assetclass, series