detquantlib 3.0.1__tar.gz → 3.1.0__tar.gz

{detquantlib-3.0.1 → detquantlib-3.1.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: detquantlib
-Version: 3.0.1
+Version: 3.1.0
 Summary: An internal library containing functions and classes that can be used across Quant models.
 Author: DET
 Requires-Python: >=3.10,<4.0
@@ -19,29 +19,30 @@ Description-Content-Type: text/markdown
 
 # DET Quant Library
 
-## Table of contents
+## Table of Contents
 
 <!--TOC-->
 
 - [DET Quant Library](#det-quant-library)
-  - [Table of contents](#table-of-contents)
+  - [Table of Contents](#table-of-contents)
   - [Overview](#overview)
-  - [Exposed symbols](#exposed-symbols)
-    - [List of exposed symbols](#list-of-exposed-symbols)
+  - [Exposed Symbols](#exposed-symbols)
+    - [List of Exposed Symbols](#list-of-exposed-symbols)
   - [Configuration](#configuration)
+    - [Project Structure](#project-structure)
     - [Dependencies](#dependencies)
-      - [Dependency manager](#dependency-manager)
+      - [Dependency Manager](#dependency-manager)
       - [Dependabot](#dependabot)
-    - [GitHub actions](#github-actions)
-      - [Workflow: Continuous integration (CI)](#workflow-continuous-integration-ci)
-        - [Invoke tasks](#invoke-tasks)
-        - [CI check: Testing](#ci-check-testing)
-        - [CI check: Code formatting](#ci-check-code-formatting)
-      - [Workflow: Package publisher](#workflow-package-publisher)
-        - [Checking version updates](#checking-version-updates)
-        - [Creating version tags](#creating-version-tags)
-        - [Publishing package updates to PyPI](#publishing-package-updates-to-pypi)
-    - [Release notes](#release-notes)
+    - [GitHub Actions](#github-actions)
+      - [Workflow: Continuous Integration (CI)](#workflow-continuous-integration-ci)
+        - [Invoke Tasks](#invoke-tasks)
+        - [CI Check: Testing](#ci-check-testing)
+        - [CI Check: Code Formatting](#ci-check-code-formatting)
+      - [Workflow: Package Publisher](#workflow-package-publisher)
+        - [Checking Version Updates](#checking-version-updates)
+        - [Creating Version Tags](#creating-version-tags)
+        - [Publishing Package Updates to PyPI](#publishing-package-updates-to-pypi)
+    - [Release Notes](#release-notes)
 
 <!--TOC-->
 
@@ -50,7 +51,7 @@ Description-Content-Type: text/markdown
 The DET Quant Library is an internal library containing functions and classes that can be used
 across Quant models.
 
-## Exposed symbols
+## Exposed Symbols
 
 Some of the package's symbols (i.e. functions, classes, modules, etc.) are exposed via
 `__init__.py` files. They can therefore be imported with a more concise notation that does not
@@ -66,7 +67,7 @@ terminal:
 poetry run python docs.py
 ```
 
-### List of exposed symbols
+### List of Exposed Symbols
 
 <!-- START EXPOSED SYMBOLS AUTO-GENERATED -->
 
@@ -86,13 +87,9 @@ Classes:
 
 ## Configuration
 
-### Dependencies
-
-#### Dependency manager
+### Project Structure
 
-Project dependencies are managed by [Poetry](https://python-poetry.org/).
-
-The project follows the standard Poetry structure:
+The project mainly follows the standard Poetry structure:
 
 ```
 detquantlib
@@ -104,17 +101,23 @@ detquantlib
     └── __init__.py
 ```
 
+### Dependencies
+
+#### Dependency Manager
+
+Project dependencies are managed by [Poetry](https://python-poetry.org/).
+
 #### Dependabot
 
 Automated dependency updates are executed with
 [Dependabot](https://docs.github.com/en/code-security/dependabot).
 
-### GitHub actions
+### GitHub Actions
 
 The project's CI/CD pipeline is enforced with [GitHub actions](https://docs.github.com/en/actions)
 workflows.
 
-#### Workflow: Continuous integration (CI)
+#### Workflow: Continuous Integration (CI)
 
 The continuous integration (CI) workflow runs tests to check the integrity of the codebase's
 content, and linters to check the consistency of its format.
@@ -126,7 +129,7 @@ The workflow was inspired by the following preconfigured templates:
 - [Poetry action](https://github.com/marketplace/actions/install-poetry-action): A GitHub action
   for installing and configuring Poetry.
 
-##### Invoke tasks
+##### Invoke Tasks
 
 The workflow's checks and linters are specified with [Invoke](https://www.pyinvoke.org/) tasks,
 defined in a tasks.py file.
@@ -146,7 +149,7 @@ Use the `-h` (or `--help`) argument for help about a particular Invoke task. For
 inv lint -h
 ```
 
-##### CI check: Testing
+##### CI Check: Testing
 
 Code changes are tested with the [Pytest](https://github.com/pytest-dev/pytest) package.
 
@@ -156,7 +159,7 @@ The CI check is executed with the following Invoke task:
 inv test -c
 ```
 
-##### CI check: Code formatting
+##### CI Check: Code Formatting
 
 Linters are used to check that the code is properly formatted:
 
@@ -181,12 +184,12 @@ This command fixes the parts of the code that should be reformatted. Adding the
 `--check`) optional argument instructs the command to only _check_ if parts of the code should be
 reformatted, without applying any actual changes.
 
-#### Workflow: Package publisher
+#### Workflow: Package Publisher
 
 The package publisher workflow checks the validity of package version updates, creates version
 tags, and publishes package updates to PyPI.
 
-##### Checking version updates
+##### Checking Version Updates
 
 The workflow enforces version control:
 
@@ -198,17 +201,17 @@ The workflow enforces version control:
   - `Y` increments represent minor, backward compatible functionality updates.
   - `Z` increments represent patch/bugfix, backward compatible updates.
 
-##### Creating version tags
+##### Creating Version Tags
 
 If the new package version is valid, the workflow automatically creates a new tag for every new
 master commit.
 
-##### Publishing package updates to PyPI
+##### Publishing Package Updates to PyPI
 
 The workflow automatically publishes every new master commit to
 [PyPI](https://pypi.org/project/detquantlib/).
 
-### Release notes
+### Release Notes
 
 When deemed necessary (especially in case of major updates), developers can document code
 changes in dedicated GitHub release notes.

{detquantlib-3.0.1 → detquantlib-3.1.0}/README.md

@@ -1,28 +1,29 @@
 # DET Quant Library
 
-## Table of contents
+## Table of Contents
 
 <!--TOC-->
 
 - [DET Quant Library](#det-quant-library)
-  - [Table of contents](#table-of-contents)
+  - [Table of Contents](#table-of-contents)
   - [Overview](#overview)
-  - [Exposed symbols](#exposed-symbols)
-    - [List of exposed symbols](#list-of-exposed-symbols)
+  - [Exposed Symbols](#exposed-symbols)
+    - [List of Exposed Symbols](#list-of-exposed-symbols)
   - [Configuration](#configuration)
+    - [Project Structure](#project-structure)
     - [Dependencies](#dependencies)
-      - [Dependency manager](#dependency-manager)
+      - [Dependency Manager](#dependency-manager)
       - [Dependabot](#dependabot)
-    - [GitHub actions](#github-actions)
-      - [Workflow: Continuous integration (CI)](#workflow-continuous-integration-ci)
-        - [Invoke tasks](#invoke-tasks)
-        - [CI check: Testing](#ci-check-testing)
-        - [CI check: Code formatting](#ci-check-code-formatting)
-      - [Workflow: Package publisher](#workflow-package-publisher)
-        - [Checking version updates](#checking-version-updates)
-        - [Creating version tags](#creating-version-tags)
-        - [Publishing package updates to PyPI](#publishing-package-updates-to-pypi)
-    - [Release notes](#release-notes)
+    - [GitHub Actions](#github-actions)
+      - [Workflow: Continuous Integration (CI)](#workflow-continuous-integration-ci)
+        - [Invoke Tasks](#invoke-tasks)
+        - [CI Check: Testing](#ci-check-testing)
+        - [CI Check: Code Formatting](#ci-check-code-formatting)
+      - [Workflow: Package Publisher](#workflow-package-publisher)
+        - [Checking Version Updates](#checking-version-updates)
+        - [Creating Version Tags](#creating-version-tags)
+        - [Publishing Package Updates to PyPI](#publishing-package-updates-to-pypi)
+    - [Release Notes](#release-notes)
 
 <!--TOC-->
 
@@ -31,7 +32,7 @@
 The DET Quant Library is an internal library containing functions and classes that can be used
 across Quant models.
 
-## Exposed symbols
+## Exposed Symbols
 
 Some of the package's symbols (i.e. functions, classes, modules, etc.) are exposed via
 `__init__.py` files. They can therefore be imported with a more concise notation that does not
@@ -47,7 +48,7 @@ terminal:
 poetry run python docs.py
 ```
 
-### List of exposed symbols
+### List of Exposed Symbols
 
 <!-- START EXPOSED SYMBOLS AUTO-GENERATED -->
 
@@ -67,13 +68,9 @@ Classes:
 
 ## Configuration
 
-### Dependencies
-
-#### Dependency manager
+### Project Structure
 
-Project dependencies are managed by [Poetry](https://python-poetry.org/).
-
-The project follows the standard Poetry structure:
+The project mainly follows the standard Poetry structure:
 
 ```
 detquantlib
@@ -85,17 +82,23 @@ detquantlib
     └── __init__.py
 ```
 
+### Dependencies
+
+#### Dependency Manager
+
+Project dependencies are managed by [Poetry](https://python-poetry.org/).
+
 #### Dependabot
 
 Automated dependency updates are executed with
 [Dependabot](https://docs.github.com/en/code-security/dependabot).
 
-### GitHub actions
+### GitHub Actions
 
 The project's CI/CD pipeline is enforced with [GitHub actions](https://docs.github.com/en/actions)
 workflows.
 
-#### Workflow: Continuous integration (CI)
+#### Workflow: Continuous Integration (CI)
 
 The continuous integration (CI) workflow runs tests to check the integrity of the codebase's
 content, and linters to check the consistency of its format.
@@ -107,7 +110,7 @@ The workflow was inspired by the following preconfigured templates:
 - [Poetry action](https://github.com/marketplace/actions/install-poetry-action): A GitHub action
   for installing and configuring Poetry.
 
-##### Invoke tasks
+##### Invoke Tasks
 
 The workflow's checks and linters are specified with [Invoke](https://www.pyinvoke.org/) tasks,
 defined in a tasks.py file.
@@ -127,7 +130,7 @@ Use the `-h` (or `--help`) argument for help about a particular Invoke task. For
 inv lint -h
 ```
 
-##### CI check: Testing
+##### CI Check: Testing
 
 Code changes are tested with the [Pytest](https://github.com/pytest-dev/pytest) package.
 
@@ -137,7 +140,7 @@ The CI check is executed with the following Invoke task:
 inv test -c
 ```
 
-##### CI check: Code formatting
+##### CI Check: Code Formatting
 
 Linters are used to check that the code is properly formatted:
 
@@ -162,12 +165,12 @@ This command fixes the parts of the code that should be reformatted. Adding the
 `--check`) optional argument instructs the command to only _check_ if parts of the code should be
 reformatted, without applying any actual changes.
 
-#### Workflow: Package publisher
+#### Workflow: Package Publisher
 
 The package publisher workflow checks the validity of package version updates, creates version
 tags, and publishes package updates to PyPI.
 
-##### Checking version updates
+##### Checking Version Updates
 
 The workflow enforces version control:
 
@@ -179,17 +182,17 @@ The workflow enforces version control:
   - `Y` increments represent minor, backward compatible functionality updates.
   - `Z` increments represent patch/bugfix, backward compatible updates.
 
-##### Creating version tags
+##### Creating Version Tags
 
 If the new package version is valid, the workflow automatically creates a new tag for every new
 master commit.
 
-##### Publishing package updates to PyPI
+##### Publishing Package Updates to PyPI
 
 The workflow automatically publishes every new master commit to
 [PyPI](https://pypi.org/project/detquantlib/).
 
-### Release notes
+### Release Notes
 
 When deemed necessary (especially in case of major updates), developers can document code
 changes in dedicated GitHub release notes.

{detquantlib-3.0.1 → detquantlib-3.1.0}/detquantlib/data/databases/detdatabase.py

@@ -639,6 +639,71 @@ class DetDatabase:
 
         return commodity_info
 
+    def load_account_positions(
+        self,
+        start_trading_date: datetime,
+        end_trading_date: datetime,
+        columns: list = None,
+    ) -> pd.DataFrame:
+        """
+        Loads account positions from the database, over a user-defined range of trading dates.
+
+        Args:
+            start_trading_date: Start trading date
+            end_trading_date: End trading date
+            columns: Requested database table columns. Set columns=["*"] (i.e. as list) to get
+                all columns.
+
+        Returns:
+            Dataframe containing quarterly account positions
+
+        Raises:
+            ValueError: Raises an error if no account position data is found for user inputs
+        """
+        # Set default column values
+        if columns is None:
+            columns = ["*"]
+
+        # Convert columns from list to string
+        if len(columns) == 1:
+            columns_str = str(columns[0])
+        else:
+            columns_str = f"[{'], ['.join(columns)}]"
+
+        # Convert dates from datetime to string
+        start_trading_date_str = start_trading_date.strftime("%Y-%m-%d")
+        end_trading_date_str = end_trading_date.strftime("%Y-%m-%d")
+
+        # Create query
+        table = DetDatabaseDefinitions.DEFINITIONS["table_name_account_position"]
+        query = (
+            f"SELECT {columns_str} FROM {table} "
+            f"WHERE CAST ([InsertionTimestamp] AS DATE) IN ('{start_trading_date_str}', "
+            f"'{end_trading_date_str}') "
+        )
+
+        # Query db
+        self.open_connection()
+        df = self.query_db(query)
+        self.close_connection()
+
+        if df.empty:
+            raise ValueError("No account position data found for user-defined inputs.")
+
+        # Sort data
+        df.sort_values(
+            by=["InsertionTimestamp"],
+            axis=0,
+            ascending=True,
+            inplace=True,
+            ignore_index=True,
+        )
+
+        # Convert dates from datetime.date to pd.Timestamp
+        df["InsertionTimestamp"] = pd.DatetimeIndex(df["InsertionTimestamp"])
+
+        return df
+
 
 class DetDatabaseDefinitions:
     """A class containing some hard-coded definitions related to the DET database."""
@@ -648,4 +713,5 @@ class DetDatabaseDefinitions:
         table_name_entsoe_day_ahead_spot_price="[ENTSOE].[DayAheadSpotPrice]",
         table_name_entsoe_imbalance_price="[ENTSOE].[ImbalancePrice]",
         table_name_futures_eod_settlement_price="[VW].[EODSettlementPrice]",
+        table_name_account_position="[TT].[AccountPosition]",
     )

{detquantlib-3.0.1 → detquantlib-3.1.0}/detquantlib/dates/dates.py

@@ -78,8 +78,8 @@ def calc_months_diff(
                 date and end date, irrespective of the day. For example, suppose that start date
                 is 15-Jan-2025 and end date is 3-Mar-2025. Then, the month difference between
                 Jan-2025 and Mar-2025 is 2.
-            - diff_method="time": Counts the month difference, accounting the day and time of the
-                start and end dates. For example:
+            - diff_method="time": Counts the month difference, accounting for the day and time
+                of the start and end dates. For example:
                 - Suppose that start date is 15-Jan-2025 and end date is 3-Mar-2025. Then:
                     - start date + 1 months = 15-Feb-2025
                     - start date + 2 months = 15-Mar-2025
@@ -103,7 +103,7 @@ def calc_months_diff(
         ValueError: Raises an error when the input argument 'diff_method' is invalid
     """
     # Input validation
-    if end_date < start_date:
+    if end_date < start_date and diff_method != "month":
         raise ValueError("End date cannot be smaller than start date.")
 
     # Calculate month difference

{detquantlib-3.0.1 → detquantlib-3.1.0}/detquantlib/tradable_products/tradable_products.py

@@ -34,13 +34,6 @@ def convert_delivery_start_date_to_maturity(
     # Make input product string lower case only
     product = product.lower()
 
-    # Validate input dates
-    if delivery_start_date < trading_date:
-        raise ValueError(
-            "Input argument 'delivery_start_date' cannot be smaller than input argument "
-            "'trading_date'."
-        )
-
     if product == "month":
         maturity = calc_months_diff(
             start_date=trading_date,
@@ -49,13 +42,13 @@ def convert_delivery_start_date_to_maturity(
         )
 
     elif product == "quarter":
-        quarter = pd.Timestamp(trading_date).quarter
-        year_start_date = datetime(trading_date.year, 1, 1)
-        trading_quarter_start_date = year_start_date + relativedelta(months=((quarter - 1) * 3))
+        trading_quarter_start_date = convert_maturity_to_delivery_start_date(
+            trading_date=trading_date, maturity=0, product="quarter"
+        )
 
-        quarter = pd.Timestamp(delivery_start_date).quarter
-        year_start_date = datetime(delivery_start_date.year, 1, 1)
-        delivery_quarter_start_date = year_start_date + relativedelta(months=((quarter - 1) * 3))
+        delivery_quarter_start_date = convert_maturity_to_delivery_start_date(
+            trading_date=delivery_start_date, maturity=0, product="quarter"
+        )
 
         months_diff = calc_months_diff(
             start_date=trading_quarter_start_date,

{detquantlib-3.0.1 → detquantlib-3.1.0}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "detquantlib"
-version = "3.0.1"
+version = "3.1.0"
 description = "An internal library containing functions and classes that can be used across Quant models."
 authors = ["DET"]
 readme = "README.md"