detquantlib 3.10.3__tar.gz → 3.11.0__tar.gz

{detquantlib-3.10.3 → detquantlib-3.11.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: detquantlib
-Version: 3.10.3
+Version: 3.11.0
 Summary: An internal library containing functions and classes that can be used across Quant models.
 License-File: LICENSE.txt
 Author: DET

{detquantlib-3.10.3 → detquantlib-3.11.0}/detquantlib/data/databases/detdatabase.py

@@ -185,7 +185,13 @@ class DetDatabase:
 
         # Set default column values
         if columns is None:
-            columns = ["DateTime(UTC)", "MapCode", "Price(Currency/MWh)", "Currency"]
+            columns = [
+                "DateTime(UTC)",
+                "ResolutionCode",
+                "MapCode",
+                "Price(Currency/MWh)",
+                "Currency",
+            ]
 
         # Always add delivery date column
         if "DateTime(UTC)" not in columns and columns != ["*"]:
@@ -248,17 +254,21 @@ class DetDatabase:
         )
 
         # Convert date columns to timezone-aware dates
-        cols_date_utc = ["DateTime(UTC)", "UpdateTime(UTC)", "InsertionTimestamp"]
-        for c in cols_date_utc:
+        cols_date = ["DateTime(UTC)", "UpdateTime(UTC)", "InsertionTimestamp"]
+        for c in cols_date:
             if c in df.columns:
                 df[c] = df[c].dt.tz_localize("UTC")
 
         # Add column with delivery date expressed in local timezone
-        df[f"DateTime({timezone})"] = df["DateTime(UTC)"].dt.tz_convert(timezone)
+        col_local_date = f"DateTime({timezone})"
+        cols_date.append(col_local_date)
+        loc = df.columns.get_loc("DateTime(UTC)") + 1
+        df.insert(
+            loc=loc, column=col_local_date, value=df["DateTime(UTC)"].dt.tz_convert(timezone)
+        )
 
         if not timezone_aware_dates:
-            cols_date_all = cols_date_utc + [f"DateTime({timezone})"]
-            for c in cols_date_all:
+            for c in cols_date:
                 if c in df.columns:
                     df[c] = df[c].dt.tz_localize(None)
 
@@ -282,6 +292,9 @@ class DetDatabase:
 
         Returns:
             Processed dataframe containing day-ahead spot prices
+
+        Raises:
+            ValueError: Raises an error if the resolution code is not supported.
         """
         df_in.reset_index(drop=True, inplace=True)
 
@@ -292,14 +305,27 @@ class DetDatabase:
         df_out["CommodityName"] = [commodity_name] * df_in.shape[0]
 
         # Set trading date
-        trading_date = [d - relativedelta(days=1, hour=0) for d in df_in[f"DateTime({timezone})"]]
+        col_date = f"DateTime({timezone})"
+        trading_date = [d.normalize() - relativedelta(days=1) for d in df_in[col_date]]
         df_out["TradingDate"] = trading_date
 
         # Set delivery start date
-        df_out["DeliveryStart"] = df_in[f"DateTime({timezone})"]
+        df_out["DeliveryStart"] = df_in[col_date]
 
         # Set delivery end date
-        delivery_end = [d + relativedelta(hours=1) for d in df_in[f"DateTime({timezone})"]]
+        delivery_end = list()
+        for i in df_in.index:
+            start_date = df_out.loc[i, "DeliveryStart"]
+            offset = df_in.loc[i, "ResolutionCode"]
+            match offset:
+                case "PT60M":
+                    offset = 60
+                case "PT15M":
+                    offset = 15
+                case _:
+                    raise ValueError("Resolution not supported.")
+            end_date = start_date + relativedelta(minutes=offset)
+            delivery_end.append(end_date)
         df_out["DeliveryEnd"] = delivery_end
 
         # Set tenor
@@ -569,13 +595,10 @@ class DetDatabase:
             raise ValueError("No price data found for user-defined inputs.")
 
         # Sort data
-        df.sort_values(
-            by=["TradingDate", "DeliveryStart", "DeliveryEnd"],
-            axis=0,
-            ascending=True,
-            inplace=True,
-            ignore_index=True,
-        )
+        cols_sort = ["TradingDate", "DeliveryStart", "DeliveryEnd"]
+        cols_sort = [c for c in cols_sort if c in df.columns]
+        if len(cols_sort) > 0:
+            df.sort_values(by=cols_sort, axis=0, ascending=True, inplace=True, ignore_index=True)
 
         # Convert dates from datetime.date to pd.Timestamp
         cols_date = ["TradingDate", "DeliveryStart", "DeliveryEnd"]
@@ -794,16 +817,10 @@ class DetDatabase:
         # Set default column values
         if columns is None:
             columns = ["*"]
-        else:
-            # Assert required columns
-            columns = list(
-                set(columns)
-                | {"TradingDate", "Product", "Delivery Start", "Delivery End", "Settlement Price"}
-            )
 
         # Convert columns from list to string
         if len(columns) == 1:
-            columns_str = str(columns[0])
+            columns_str = f"[{columns[0]}]"
         else:
             columns_str = f"[{'], ['.join(columns)}]"
 
@@ -826,13 +843,10 @@ class DetDatabase:
             raise ValueError("No price data found for user-defined inputs.")
 
         # Sort data
-        df.sort_values(
-            by=["TradingDate", "Delivery Start", "Delivery End"],
-            axis=0,
-            ascending=True,
-            inplace=True,
-            ignore_index=True,
-        )
+        cols_sort = ["TradingDate", "Delivery Start", "Delivery End"]
+        cols_sort = [c for c in cols_sort if c in df.columns]
+        if len(cols_sort) > 0:
+            df.sort_values(by=cols_sort, axis=0, ascending=True, inplace=True, ignore_index=True)
 
         # Convert dates from datetime.date to pd.Timestamp
         cols_date = ["TradingDate", "Delivery Start", "Delivery End"]

detquantlib-3.11.0/detquantlib/forecasting/__init__.py

@@ -0,0 +1 @@
+from .forecasting import *

detquantlib-3.11.0/detquantlib/forecasting/forecasting.py

@@ -0,0 +1,59 @@
+# Python built-in packages
+from datetime import datetime
+
+# Third-party packages
+import numpy as np
+import pandas as pd
+
+
+def forecast_knife_strategy(
+    dates: list[datetime] | list[pd.Timestamp] | pd.DatetimeIndex, values: list | np.ndarray
+) -> np.ndarray:
+    """
+    Generates a forecast using the knife strategy (i.e. random walk).
+
+    The knife strategy works as follows:
+    - Set the forecasted value at time t equal to the observed value on the most recent
+        previous date that has the same time (hour, minute, and second) and same day type
+        (Mon-Fri, Sat, or Sun).
+    - If there is no previous date with matching time and day type (i.e. very first observation
+        for a given time and day type), the strategy sets the forecasted value at time t equal
+        to the observed value at time t.
+
+    Args:
+        dates: Delivery dates
+        values: Observed values
+
+    Returns:
+        Forecasted values
+    """
+    # Make sure input dates are stored as pd.DatetimeIndex and values as np.array
+    dates = pd.DatetimeIndex(dates)
+    values = np.array(values)
+
+    # Get times
+    hours = dates.hour
+    minutes = dates.minute
+    seconds = dates.second
+
+    # Get weekday types (1 = Mon-Fri, 2 = Sat, 3 = Sun)
+    weekdays = dates.weekday
+    day_types = np.zeros_like(weekdays)
+    day_types[weekdays < 5] = 1
+    day_types[weekdays == 5] = 2
+    day_types[weekdays == 6] = 3
+
+    # Get forecasted values
+    # Note: The logic below has been designed to optimize code speed, and works as follows:
+    # - 1. Get all the unique pairs of time and day type in the input dataset.
+    # - 2. For each pair:
+    #   - 2.1. Get all the corresponding observed data.
+    #   - 2.2. Set the forecast as: data[0], data[0], data[1], data[2], ..., data[N-1]
+    fc_values = np.zeros_like(values)
+    pairs = np.column_stack([hours, minutes, seconds, day_types])
+    for hh, mm, ss, dt in np.unique(pairs, axis=0):
+        idx = (hours == hh) & (minutes == mm) & (seconds == ss) & (day_types == dt)
+        i_values = values[idx]
+        fc_values[idx] = np.insert(i_values[:-1], 0, i_values[0])
+
+    return fc_values

{detquantlib-3.10.3 → detquantlib-3.11.0}/detquantlib/tradable_products/tradable_products.py

@@ -29,7 +29,6 @@ def convert_delivery_start_date_to_maturity(
         Product maturity
 
     Raises:
-        ValueError: Raises an error when the delivery start date is older than the trading date
         ValueError: Raises an error when the input product type is not recognized
     """
     # Make input product string lower case only

detquantlib-3.11.0/detquantlib/utils/utils.py

@@ -0,0 +1,38 @@
+# Python built-in packages
+from datetime import datetime
+
+# Third-party packages
+import numpy as np
+
+
+def add_log(message: str):
+    """
+    Short helper function to print log messages, including time stamps.
+
+    Args:
+        message: Message to be printed
+    """
+    print(f"[{datetime.now().strftime('%Y-%m-%d %H:%M:%S')}] {message}")
+
+
+def divide_with_nan(
+    numerator: np.array, denominator: np.array, nan=np.nan, posinf=np.nan, neginf=np.nan
+) -> np.array:
+    """
+    A short utility function to perform an element-wise division of two arrays and replace
+    potential NaN, inf, and -inf results with user-defined values.
+
+    Args:
+        numerator: Numerator array
+        denominator: Denominator array
+        nan: Value to use to replace NaN results
+        posinf: Value to use to replace positive inf results
+        neginf: Value to use to replace negative inf results
+
+    Returns:
+        Quotient array
+    """
+    quotient = np.nan_to_num(
+        x=np.divide(numerator, denominator), nan=nan, posinf=posinf, neginf=neginf
+    )
+    return quotient

{detquantlib-3.10.3 → detquantlib-3.11.0}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "detquantlib"
-version = "3.10.3"
+version = "3.11.0"
 description = "An internal library containing functions and classes that can be used across Quant models."
 authors = ["DET"]
 readme = "README.md"
@@ -37,6 +37,10 @@ md-toc = "^9.0.0"
 requires = ["poetry-core>=2.0.0,<3.0.0"]
 build-backend = "poetry.core.masonry.api"
 
+[tool.pytest.ini_options]
+testpaths = ["tests"] # Tells pytest to look for tests only under the tests/ folder
+pythonpath = ["."] # Adds project root (.) to sys.path, so import detquantlib works anywhere
+
 [tool.isort]
 multi_line_output = 3
 include_trailing_comma = true

detquantlib-3.10.3/detquantlib/utils/utils.py

@@ -1,11 +0,0 @@
-from datetime import datetime
-
-
-def add_log(message: str):
-    """
-    Short helper function to print log messages, including time stamps.
-
-    Args:
-        message: Message to be printed
-    """
-    print(f"[{datetime.now().strftime('%Y-%m-%d %H:%M:%S')}] {message}")