detquantlib 3.10.4__tar.gz → 3.12.0__tar.gz

{detquantlib-3.10.4 → detquantlib-3.12.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: detquantlib
-Version: 3.10.4
+Version: 3.12.0
 Summary: An internal library containing functions and classes that can be used across Quant models.
 License-File: LICENSE.txt
 Author: DET
@@ -11,6 +11,7 @@ Classifier: Programming Language :: Python :: 3.11
 Classifier: Programming Language :: Python :: 3.12
 Classifier: Programming Language :: Python :: 3.13
 Classifier: Programming Language :: Python :: 3.14
+Requires-Dist: colorlog (>=6.10.1,<7.0.0)
 Requires-Dist: numpy (>=2.2.6,<3.0.0)
 Requires-Dist: pandas (>=2.3.3,<3.0.0)
 Requires-Dist: paramiko (>=4.0.0,<5.0.0)

detquantlib-3.12.0/detquantlib/forecasting/__init__.py

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

detquantlib-3.12.0/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-3.12.0}/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-3.12.0/detquantlib/utils/logging.py

@@ -0,0 +1,122 @@
+# Python built-in packages
+import logging
+import sys
+import threading
+from pathlib import Path
+from types import TracebackType
+
+# Third-party packages
+from colorlog import ColoredFormatter
+
+
+def setup_logger(log_dir: Path):
+    """
+    Initializes logging with both console and file handlers.
+
+    Args:
+        log_dir: Full path to the log file
+    """
+    # Clear existing handlers to avoid duplicate logs
+    for handler in logging.root.handlers[:]:
+        logging.root.removeHandler(handler)
+
+    # Console handler with colors
+    console_formatter = CustomFormatter(
+        fmt=(
+            "%(log_color)s%(asctime)-8s%(reset)s "
+            "%(log_color)s[%(levelname)s]%(reset)s "
+            "%(log_color)s%(message)s"
+        ),
+        datefmt="%Y-%m-%d %H:%M:%S",
+        reset=True,
+    )
+    console_handler = logging.StreamHandler()
+    console_handler.setLevel(logging.INFO)
+    console_handler.setFormatter(console_formatter)
+
+    # File handler (plain, no colors)
+    file_formatter = logging.Formatter(
+        fmt="%(asctime)s [%(levelname)s] %(message)s",
+        datefmt="%Y-%m-%d %H:%M:%S",
+    )
+    file_handler = logging.FileHandler(log_dir, mode="a", encoding="utf-8")
+    file_handler.setLevel(logging.INFO)
+    file_handler.setFormatter(file_formatter)
+
+    # Configure root logger
+    root_logger = logging.getLogger()
+    root_logger.setLevel(logging.INFO)
+    root_logger.addHandler(console_handler)
+    root_logger.addHandler(file_handler)
+
+    # Capture uncaught exceptions
+    sys.excepthook = exception_handler
+    threading.excepthook = thread_exception_handler
+
+
+def exception_handler(
+    exc_type: type[BaseException], exc_value: BaseException, exc_traceback: TracebackType
+):
+    """
+    Handles uncaught exceptions in the main thread and logs them.
+
+    Args:
+        exc_type: Exception type
+        exc_value: Exception instance
+        exc_traceback: Traceback object
+    """
+    if issubclass(exc_type, KeyboardInterrupt):
+        sys.__excepthook__(exc_type, exc_value, exc_traceback)
+        return
+
+    logging.critical(
+        "Uncaught exception",
+        exc_info=(exc_type, exc_value, exc_traceback),
+    )
+
+
+def thread_exception_handler(args: threading.ExceptHookArgs):
+    """
+    Handles uncaught exceptions in threads and logs them.
+
+    Args:
+        args: Thread exception arguments
+    """
+    logging.critical(
+        f"Uncaught thread exception in {args.thread.name}",
+        exc_info=(args.exc_type, args.exc_value, args.exc_traceback),
+    )
+
+
+class CustomFormatter(ColoredFormatter):
+    """Custom formatter to override default colorlog colors."""
+
+    # ANSI color codes
+    COLORS = dict(
+        BRIGHT_WHITE="\033[97m",
+        LIGHT_WHITE="\033[38;5;250m",
+        BRIGHT_YELLOW="\033[93m",
+        RED="\033[91m",
+        RESET="\033[0m",
+    )
+
+    def _get_escape_code(self, log_colors: dict, level_name: str) -> str:
+        """
+        Returns ANSI escape codes for log levels.
+
+        Overrides DEBUG/INFO to light-white, CRITICAL to non-bold red. WARNING/ERROR remain
+        default.
+
+        Args:
+            log_colors: Mapping of log levels to colors
+            level_name: Log level name
+
+        Returns:
+            ANSI escape code string
+        """
+        if level_name in ("DEBUG", "INFO"):
+            return CustomFormatter.COLORS["LIGHT_WHITE"]
+        if level_name == "CRITICAL":
+            return super()._get_escape_code(log_colors, "ERROR")
+        else:
+            return super()._get_escape_code(log_colors, level_name)

detquantlib-3.12.0/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-3.12.0}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "detquantlib"
-version = "3.10.4"
+version = "3.12.0"
 description = "An internal library containing functions and classes that can be used across Quant models."
 authors = ["DET"]
 readme = "README.md"
@@ -20,6 +20,7 @@ numpy = "^2.2.6"
 pandas = "^2.3.3"
 pyarrow = "^21.0.0"
 scipy = "^1.15.2"
+colorlog = "^6.10.1"
 
 [tool.poetry.group.dev.dependencies]
 toml = "^0.10.2"
@@ -37,6 +38,10 @@ 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}")