detquantlib 4.0.0__tar.gz → 5.0.0__tar.gz

{detquantlib-4.0.0 → detquantlib-5.0.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: detquantlib
-Version: 4.0.0
+Version: 5.0.0
 Summary: An internal library containing functions and classes that can be used across Quant models.
 License-File: LICENSE.txt
 Author: Dynamic Energy Trading

{detquantlib-4.0.0 → detquantlib-5.0.0}/detquantlib/dates/dates.py

@@ -3,16 +3,10 @@ from datetime import datetime, timezone
 from typing import Literal
 
 # Third-party packages
-import pandas as pd
 from dateutil.relativedelta import *
 
 # Specify functions to expose
-__all__ = [
-    "count_nr_hours",
-    "count_delivery_periods",
-    "calc_months_diff",
-    "datetime_to_month_code",
-]
+__all__ = ["count_nr_hours", "calc_months_diff", "datetime_to_month_code"]
 
 
 def count_nr_hours(start_date: datetime, end_date: datetime) -> float:
@@ -46,61 +40,6 @@ def count_nr_hours(start_date: datetime, end_date: datetime) -> float:
     return td.days * 24 + td.seconds / 3600
 
 
-def count_delivery_periods(
-    start_date: datetime,
-    end_date: datetime,
-    delivery_frequency: str,
-    full_periods_only: bool = False,
-    timezone: str = None,
-) -> int:
-    """
-    Counts the number of delivery periods within a time interval.
-
-    Note: When the end date is exactly equal to the start of the next delivery period, that next
-    period is not included (because it has not yet started). For example, if the end date is
-    15-Jan-2025 00:00:00 and the delivery frequency is daily, then the period
-    15-Jan-2025 00:00:00 to 16-Jan-2025 00:00:00 is not included.
-
-    Args:
-        start_date: Delivery start date
-        end_date: Delivery end date
-        delivery_frequency: Delivery frequency, expressed as Pandas offset aliases
-        full_periods_only: Indicates whether to count only fully elapsed periods.
-            For example, suppose that start date is 15-Jan-2025 00:15:00, end date is
-            3-Feb-2025 03:45:00, and delivery frequency is hourly. Then:
-            - If full_periods_only=True, the number of periods is 2 (01:00:00-02:00:00 and
-                02:00:00-03:00:00), because the hours 00:00:00-01:00:00 and 00:03:00-04:00:00
-                are not full.
-            - If full_periods_only=False, the number of periods is 4, because incomplete hours
-                00:00:00-01:00:00 and 00:03:00-04:00:00 are also included. Note:
-                - If end date is 3-Feb-2025 04:00:00, hour 04:00:00-05:00:00 is not included.
-                - If end date is 3-Feb-2025 04:00:01, hour 04:00:00-05:00:00 is included.
-        timezone: Timezone (needed to account for DST switches)
-
-    Returns:
-        Number of delivery periods in the interval
-    """
-    # Convert to pandas timestamp
-    start_date = pd.Timestamp(start_date)
-    end_date = pd.Timestamp(end_date)
-
-    if full_periods_only:
-        start_date = start_date.ceil(delivery_frequency)
-        end_date = end_date.floor(delivery_frequency)
-    else:
-        start_date = start_date.floor(delivery_frequency)
-
-    periods = pd.date_range(
-        start=start_date,
-        end=end_date,
-        freq=delivery_frequency,
-        inclusive="left",
-        tz=timezone,
-    )
-    nr_periods = len(periods)
-    return nr_periods
-
-
 def calc_months_diff(
     start_date: datetime,
     end_date: datetime,
@@ -138,8 +77,8 @@ def calc_months_diff(
         Month difference between 2 dates
 
     Raises:
-        ValueError: Raises an error when end_date < start_date
-        ValueError: Raises an error when the input argument 'diff_method' is invalid
+        ValueError: Raises an error when end_date < start_date.
+        ValueError: Raises an error when the input argument 'diff_method' is invalid.
     """
     # Input validation
     if end_date < start_date and diff_method != "month":
@@ -185,7 +124,7 @@ def datetime_to_month_code(d: datetime) -> int:
         Corresponding month code
 
     Raises:
-        ValueError: Raises an error if the input datetime is before 1 January 1900
+        ValueError: Raises an error if the input datetime is before 1 January 1900.
     """
     if d < datetime(1900, 1, 1):
         raise ValueError("Input date cannot be before 1 January 1900.")

{detquantlib-4.0.0 → detquantlib-5.0.0}/detquantlib/tradable_products/tradable_products.py

@@ -15,6 +15,7 @@ from detquantlib.utils import list_to_str
 __all__ = [
     "convert_delivery_start_date_to_maturity",
     "convert_maturity_to_delivery_start_date",
+    "count_delivery_periods",
     "tenor_to_pd_offset_alias",
     "tenor_to_nr_hours",
 ]
@@ -70,56 +71,114 @@ def tenor_to_nr_hours(
     return nr_hours
 
 
+def count_delivery_periods(
+    start_date: datetime,
+    end_date: datetime,
+    tenor: str,
+    full_periods_only: bool = False,
+    tz: str = None,
+) -> int:
+    """
+    Counts the number of delivery periods within a time interval.
+
+    Note: When the end date is exactly equal to the start of the next delivery period, that next
+    period is not included (because it has not yet started). For example, if the end date is
+    15-Jan-2025 00:00:00 and the delivery frequency is daily, then the period
+    15-Jan-2025 00:00:00 to 16-Jan-2025 00:00:00 is not included.
+
+    Args:
+        start_date: Delivery start date
+        end_date: Delivery end date
+        tenor: Product tenor
+        full_periods_only: Indicates whether to count only fully elapsed periods.
+            For example, suppose that start date is 15-Jan-2025 00:15:00, end date is
+            3-Feb-2025 03:45:00, and delivery frequency is hourly. Then:
+            - If full_periods_only=True, the number of periods is 2 (01:00:00-02:00:00 and
+                02:00:00-03:00:00), because the hours 00:00:00-01:00:00 and 00:03:00-04:00:00
+                are not full.
+            - If full_periods_only=False, the number of periods is 4, because incomplete hours
+                00:00:00-01:00:00 and 00:03:00-04:00:00 are also included. Note:
+                - If end date is 3-Feb-2025 04:00:00, hour 04:00:00-05:00:00 is not included.
+                - If end date is 3-Feb-2025 04:00:01, hour 04:00:00-05:00:00 is included.
+        tz: Timezone (needed to account for DST switches)
+
+    Returns:
+        Number of delivery periods in the interval
+    """
+    # Convert tenor to offset alias
+    freq = tenor_to_pd_offset_alias(tenor)
+
+    # Convert to pandas timestamp
+    start_date = pd.Timestamp(start_date)
+    end_date = pd.Timestamp(end_date)
+
+    if full_periods_only:
+        start_date = start_date.ceil(freq)
+        end_date = end_date.floor(freq)
+    else:
+        start_date = start_date.floor(freq)
+
+    periods = pd.date_range(
+        start=start_date,
+        end=end_date,
+        freq=freq,
+        inclusive="left",
+        tz=tz,
+    )
+    nr_periods = len(periods)
+    return nr_periods
+
+
 def convert_delivery_start_date_to_maturity(
     trading_date: datetime,
     delivery_start_date: datetime,
-    product: Literal["day", "weekend", "week", "month", "quarter", "year"],
+    tenor: Literal["day", "weekend", "week", "month", "quarter", "year"],
 ) -> int:
     """
     Calculates the number of maturities between the input trading date and the input delivery
-    date, based on the input product type.
+    date, based on the input product tenor.
 
     Args:
         trading_date: Trading date
         delivery_start_date: Delivery start date
-        product: Product type (e.g. "month", "quarter", "year")
+        tenor: Product tenor (e.g. "month", "quarter", "year")
 
     Returns:
         Product maturity
 
     Raises:
-        ValueError: Raises an error when the input product type is not recognized
+        ValueError: Raises an error when the input product tenor is not recognized.
     """
     # Make input product string lower case only
-    product = product.lower()
+    tenor = tenor.lower()
 
     # Set trading date and delivery date to midnight
     trading_date = datetime.combine(trading_date, time())
     delivery_start_date = datetime.combine(delivery_start_date, time())
 
-    if product == "day":
+    if tenor == "day":
         maturity = (delivery_start_date - trading_date).days
 
-    elif product == "week":
+    elif tenor == "week":
         maturity = math.ceil((delivery_start_date - trading_date).days / 7)
 
-    elif product == "weekend":
+    elif tenor == "weekend":
         maturity = math.ceil((delivery_start_date - trading_date).days / 7)
 
-    elif product == "month":
+    elif tenor == "month":
         maturity = calc_months_diff(
             start_date=trading_date,
             end_date=delivery_start_date,
             diff_method="month",
         )
 
-    elif product == "quarter":
+    elif tenor == "quarter":
         trading_quarter_start_date = convert_maturity_to_delivery_start_date(
-            trading_date=trading_date, maturity=0, product="quarter"
+            trading_date=trading_date, maturity=0, tenor="quarter"
         )
 
         delivery_quarter_start_date = convert_maturity_to_delivery_start_date(
-            trading_date=delivery_start_date, maturity=0, product="quarter"
+            trading_date=delivery_start_date, maturity=0, tenor="quarter"
         )
 
         months_diff = calc_months_diff(
@@ -129,11 +188,11 @@ def convert_delivery_start_date_to_maturity(
         )
         maturity = months_diff / 3
 
-    elif product == "year":
+    elif tenor == "year":
         maturity = delivery_start_date.year - trading_date.year
 
     else:
-        raise ValueError("Invalid input product name.")
+        raise ValueError("Invalid input product tenor.")
 
     return maturity
 
@@ -141,42 +200,42 @@ def convert_delivery_start_date_to_maturity(
 def convert_maturity_to_delivery_start_date(
     trading_date: datetime,
     maturity: int,
-    product: Literal["month", "quarter", "year"],
+    tenor: Literal["month", "quarter", "year"],
 ) -> datetime:
     """
-    Calculates the delivery start date of the input product, based on the input trading date
-    and input maturity.
+    Calculates the delivery start date of the input product tenor, based on the input trading
+    date and input maturity.
 
     Args:
         trading_date: Trading date
         maturity: Product maturity
-        product: Product type (e.g. "month", "quarter", "year")
+        tenor: Product tenor (e.g. "month", "quarter", "year")
 
     Returns:
         Delivery start date
 
     Raises:
-        ValueError: Raises an error when the input product type is not recognized
+        ValueError: Raises an error when the input product tenor is not recognized.
     """
 
     # Make input product string lower case only
-    product = product.lower()
+    tenor = tenor.lower()
 
-    if product == "month":
+    if tenor == "month":
         month_start_date = datetime(trading_date.year, trading_date.month, 1)
         delivery_start_date = month_start_date + relativedelta(months=maturity)
 
-    elif product == "quarter":
+    elif tenor == "quarter":
         quarter = pd.Timestamp(trading_date).quarter
         year_start_date = datetime(trading_date.year, 1, 1)
         quarter_start_date = year_start_date + relativedelta(months=((quarter - 1) * 3))
         delivery_start_date = quarter_start_date + relativedelta(months=(maturity * 3))
 
-    elif product == "year":
+    elif tenor == "year":
         year_start_date = datetime(trading_date.year, 1, 1)
         delivery_start_date = year_start_date + relativedelta(years=maturity)
 
     else:
-        raise ValueError("Invalid input product name.")
+        raise ValueError("Invalid input product tenor.")
 
     return delivery_start_date

{detquantlib-4.0.0 → detquantlib-5.0.0}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "detquantlib"
-version = "4.0.0"
+version = "5.0.0"
 description = "An internal library containing functions and classes that can be used across Quant models."
 authors = ["Dynamic Energy Trading"]
 readme = "README.md"