detquantlib 3.10.4__tar.gz → 3.11.0__tar.gz

{detquantlib-3.10.4 → detquantlib-3.11.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: detquantlib
-Version: 3.10.4
+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-3.11.0/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-3.10.4 → 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-3.10.4 → detquantlib-3.11.0}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "detquantlib"
-version = "3.10.4"
+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-3.10.4/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}")