christoffersen-lib 0.1.0__tar.gz

christoffersen_lib-0.1.0/PKG-INFO

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+Metadata-Version: 2.4
+Name: christoffersen_lib
+Version: 0.1.0
+Summary: Christoffersen Independence Test for VaR backtesting
+Author: Ton Nom
+Requires-Python: >=3.7
+Description-Content-Type: text/markdown
+Requires-Dist: numpy
+Requires-Dist: scipy
+Dynamic: author
+Dynamic: description
+Dynamic: description-content-type
+Dynamic: requires-dist
+Dynamic: requires-python
+Dynamic: summary
+
+# Christoffersen Lib - Test d'indépendance pour la VaR

christoffersen_lib-0.1.0/README.md

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+# Christoffersen Lib - Test d'indépendance pour la VaR

christoffersen_lib-0.1.0/christoffersen/__init__.py

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+from .independence import independence_test

christoffersen_lib-0.1.0/christoffersen/independence.py

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+import numpy as np
+from scipy.stats import chi2
+
+def independence_test(violations):
+    """
+    Réalise le test d'indépendance de Christoffersen pour le backtesting de la VaR.
+    """
+    violations = np.array(violations)
+    n00, n01, n10, n11 = 0, 0, 0, 0
+
+    for t in range(1, len(violations)):
+        if violations[t-1] == 0 and violations[t] == 0: n00 += 1
+        elif violations[t-1] == 0 and violations[t] == 1: n01 += 1
+        elif violations[t-1] == 1 and violations[t] == 0: n10 += 1
+        elif violations[t-1] == 1 and violations[t] == 1: n11 += 1
+
+    # Probabilités conditionnelles
+    pi0 = n01 / (n00 + n01) if (n00 + n01) > 0 else 0
+    pi1 = n11 / (n10 + n11) if (n10 + n11) > 0 else 0
+    pi = (n01 + n11) / (n00 + n01 + n10 + n11) if (n00 + n01 + n10 + n11) > 0 else 0
+
+    # Log-likelihood Ratio (LR ind)
+    term_null = (1 - pi)**(n00 + n10) * pi**(n01 + n11)
+    term_alt = (1 - pi0)**n00 * pi0**n01 * (1 - pi1)**n10 * pi1**n11
+    
+    lr_ind = -2 * np.log(term_null / term_alt) if term_alt > 0 else 0
+    p_value = 1 - chi2.cdf(lr_ind, df=1)
+
+    return lr_ind, p_value

christoffersen_lib-0.1.0/christoffersen_lib.egg-info/PKG-INFO

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+Metadata-Version: 2.4
+Name: christoffersen_lib
+Version: 0.1.0
+Summary: Christoffersen Independence Test for VaR backtesting
+Author: Ton Nom
+Requires-Python: >=3.7
+Description-Content-Type: text/markdown
+Requires-Dist: numpy
+Requires-Dist: scipy
+Dynamic: author
+Dynamic: description
+Dynamic: description-content-type
+Dynamic: requires-dist
+Dynamic: requires-python
+Dynamic: summary
+
+# Christoffersen Lib - Test d'indépendance pour la VaR

christoffersen_lib-0.1.0/christoffersen_lib.egg-info/SOURCES.txt

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+README.md
+setup.py
+christoffersen/__init__.py
+christoffersen/independence.py
+christoffersen_lib.egg-info/PKG-INFO
+christoffersen_lib.egg-info/SOURCES.txt
+christoffersen_lib.egg-info/dependency_links.txt
+christoffersen_lib.egg-info/requires.txt
+christoffersen_lib.egg-info/top_level.txt
+tests/test_independence.py

christoffersen_lib-0.1.0/christoffersen_lib.egg-info/dependency_links.txt

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+

christoffersen_lib-0.1.0/christoffersen_lib.egg-info/requires.txt

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+numpy
+scipy

christoffersen_lib-0.1.0/christoffersen_lib.egg-info/top_level.txt

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+christoffersen

christoffersen_lib-0.1.0/setup.cfg

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+[egg_info]
+tag_build = 
+tag_date = 0
+

christoffersen_lib-0.1.0/setup.py

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+from setuptools import setup, find_packages
+
+setup(
+    name="christoffersen_lib",
+    version="0.1.0",
+    author="Ton Nom",
+    description="Christoffersen Independence Test for VaR backtesting",
+    long_description=open("README.md").read(),
+    long_description_content_type="text/markdown",
+    packages=find_packages(),
+    install_requires=[
+        "numpy",
+        "scipy"
+    ],
+    python_requires='>=3.7',
+)