openseries 1.0.0__py3-none-any.whl → 1.1.0__py3-none-any.whl

openseries/frame.py

@@ -29,7 +29,8 @@ from pandas import (
 from pandas.tseries.offsets import CustomBusinessDay
 from plotly.graph_objs import Figure
 from plotly.offline import plot
-from pydantic import BaseModel, validator
+from pydantic import field_validator, ConfigDict, BaseModel
+
 from scipy.stats import kurtosis, norm, skew
 import statsmodels.api as sm
 
@@ -85,15 +86,11 @@ class OpenFrame(BaseModel):
 
     constituents: List[OpenTimeSeries]
     tsdf: DataFrame = DataFrame()
-    weights: None | List[float]
-
-    class Config:
-        """Configurations for the OpenFrame class"""
+    weights: None | List[float] = None
 
-        arbitrary_types_allowed = True
-        validate_assignment = True
+    model_config = ConfigDict(arbitrary_types_allowed=True, validate_assignment=True)
 
-    @validator("constituents")
+    @field_validator("constituents")
     def check_labels_unique(
         cls, tseries: List[OpenTimeSeries]
     ) -> List[OpenTimeSeries]:

openseries/series.py

@@ -9,7 +9,7 @@ from math import ceil
 from os import path
 from pathlib import Path
 from re import compile as re_compile
-from typing import Any, cast, Dict, List, Tuple, TypeVar, Union
+from typing import Any, cast, Dict, List, Optional, Tuple, TypeVar, Union
 from numpy import (
     array,
     cumprod,
@@ -35,7 +35,7 @@ from pandas import (
 from pandas.tseries.offsets import CustomBusinessDay
 from plotly.graph_objs import Figure
 from plotly.offline import plot
-from pydantic import BaseModel, constr, conlist, validator
+from pydantic import BaseModel, conlist, field_validator, model_validator
 from scipy.stats import kurtosis, norm, skew
 from stdnum import isin as isincode
 from stdnum.exceptions import InvalidChecksum
@@ -43,10 +43,10 @@ from stdnum.exceptions import InvalidChecksum
 from openseries.datefixer import date_offset_foll, date_fix, holiday_calendar
 from openseries.load_plotly import load_plotly_dict
 from openseries.types import (
-    COUNTRYPATTERN,
-    CURRENCYPATTERN,
-    DATABASEIDPATTERN,
-    DATEPATTERN,
+    CountryStringType,
+    CurrencyStringType,
+    DatabaseIdStringType,
+    DateListType,
     LiteralQuantileInterp,
     LiteralBizDayFreq,
     LiteralPandasResampleConvention,
@@ -130,8 +130,13 @@ class ValueType(str, Enum):
     ROLLVOL = "Rolling volatility"
 
 
-# noinspection PyMethodParameters
-class OpenTimeSeries(BaseModel):
+class OpenTimeSeries(
+    BaseModel,
+    arbitrary_types_allowed=True,
+    validate_assignment=True,
+    revalidate_instances="always",
+    extra="allow",
+):
     """Object of the class OpenTimeSeries. Subclass of the Pydantic BaseModel
 
     Parameters
@@ -140,23 +145,13 @@ class OpenTimeSeries(BaseModel):
         Database identifier of the timeseries
     instrumentId: str
         Database identifier of the instrument associated with the timeseries
-    currency : str
-        ISO 4217 currency code of the timeseries
-    dates : List[str]
-        Dates of the individual timeseries items
-        These dates will not be altered by methods
-    domestic : str
-        ISO 4217 currency code of the user's home currency
     name : str
         string identifier of the timeseries and/or instrument
-    isin : str
-        ISO 6166 identifier code of the associated instrument
-    label : str
-        Placeholder for a name of the timeseries
-    countries: list | str, default: "SE"
-        (List of) country code(s) according to ISO 3166-1 alpha-2
     valuetype : ValueType
         Identifies if the series is a series of values or returns
+    dates : List[str]
+        Dates of the individual timeseries items
+        These dates will not be altered by methods
     values : List[float]
         The value or return values of the timeseries items
         These values will not be altered by methods
@@ -164,41 +159,34 @@ class OpenTimeSeries(BaseModel):
         Boolean flag indicating if timeseries is in local currency
     tsdf: pandas.DataFrame
         Pandas object holding dates and values that can be altered via methods
+    currency : str
+        ISO 4217 currency code of the timeseries
+    domestic : str, default: "SEK"
+        ISO 4217 currency code of the user's home currency
+    countries: str, default: "SE"
+        (List of) country code(s) according to ISO 3166-1 alpha-2
+    isin : str, optional
+        ISO 6166 identifier code of the associated instrument
+    label : str, optional
+        Placeholder for a name of the timeseries
     """
 
-    timeseriesId: constr(regex=DATABASEIDPATTERN)
-    instrumentId: constr(regex=DATABASEIDPATTERN)
-    currency: constr(regex=CURRENCYPATTERN, to_upper=True, min_length=3, max_length=3)
-    dates: conlist(
-        item_type=constr(regex=DATEPATTERN),
-        min_items=1,
-        unique_items=True,
-    )
-    domestic: constr(
-        regex=CURRENCYPATTERN, to_upper=True, min_length=3, max_length=3
-    ) = "SEK"
+    timeseriesId: DatabaseIdStringType
+    instrumentId: DatabaseIdStringType
     name: str
-    isin: str | None = None
-    label: str | None = None
-    countries: conlist(
-        item_type=constr(
-            regex=COUNTRYPATTERN, to_upper=True, min_length=2, max_length=2
-        ),
-        min_items=1,
-        unique_items=True,
-    ) | constr(regex=COUNTRYPATTERN, to_upper=True, min_length=2, max_length=2) = "SE"
     valuetype: ValueType
-    values: conlist(item_type=float, min_items=1)
+    dates: DateListType
+    values: conlist(float, min_length=2)
     local_ccy: bool
     tsdf: DataFrame
+    currency: CurrencyStringType
+    domestic: CurrencyStringType = "SEK"
+    countries: CountryStringType = "SE"
+    isin: Optional[str] = None
+    label: Optional[str] = None
 
-    class Config:
-        """Configurations for the OpenTimeSeries class"""
-
-        arbitrary_types_allowed = True
-        validate_assignment = True
-
-    @validator("isin")
+    @field_validator("isin")
+    @classmethod
     def check_isincode(cls, isin_code: str) -> str:
         """Pydantic validator to ensure that the ISIN code is valid if provided"""
         if isin_code:
@@ -210,6 +198,15 @@ class OpenTimeSeries(BaseModel):
                 ) from exc
         return isin_code
 
+    @model_validator(mode="after")
+    def check_dates_unique(self) -> "OpenTimeSeries":
+        """Pydantic validator to ensure that the dates are unique"""
+        dates_list_length = len(self.dates)
+        dates_set_length = len(set(self.dates))
+        if dates_list_length != dates_set_length:
+            raise ValueError("Dates are not unique")
+        return self
+
     @classmethod
     def setup_class(
         cls, domestic_ccy: str = "SEK", countries: List[str] | str = "SE"
@@ -223,8 +220,8 @@ class OpenTimeSeries(BaseModel):
         countries: List[str] | str, default: "SE"
             (List of) country code(s) according to ISO 3166-1 alpha-2
         """
-        ccy_pattern = re_compile(CURRENCYPATTERN)
-        ctry_pattern = re_compile(COUNTRYPATTERN)
+        ccy_pattern = re_compile(r"^[A-Z]{3}$")
+        ctry_pattern = re_compile(r"^[A-Z]{2}$")
         try:
             ccy_ok = ccy_pattern.match(domestic_ccy)
         except TypeError as exc:

openseries/sim_price.py

@@ -5,7 +5,7 @@ stochastic processes generated using the stoch_process.py module.
 from typing import cast
 from numpy import insert, random, sqrt
 from pandas import DataFrame
-from pydantic import BaseModel
+from pydantic import ConfigDict, BaseModel
 
 from openseries.stoch_processes import (
     ModelParameters,
@@ -40,12 +40,7 @@ class ReturnSimulation(BaseModel):
     mean_annual_return: float
     mean_annual_vol: float
     dframe: DataFrame
-
-    class Config:
-        """Configurations for the ReturnSimulation class"""
-
-        arbitrary_types_allowed = True
-        validate_assignment = True
+    model_config = ConfigDict(arbitrary_types_allowed=True, validate_assignment=True)
 
     @property
     def results(self: "ReturnSimulation") -> DataFrame:

openseries/types.py

@@ -2,12 +2,27 @@
 Declaring types used throughout the project
 """
 from typing import Literal, List
-from pydantic import BaseModel
+from pydantic import BaseModel, conlist, constr
 
-COUNTRYPATTERN = r"^[A-Z]{2}$"
-CURRENCYPATTERN = r"^[A-Z]{3}$"
-DATEPATTERN = r"^\d{4}-(0[1-9]|1[0-2])-(0[1-9]|[12]\d|3[01])$"
-DATABASEIDPATTERN = r"^([0-9a-f]{24})?$"
+
+CountryStringType = conlist(
+    constr(
+        pattern=r"^[A-Z]{2}$", to_upper=True, min_length=2, max_length=2, strict=True
+    ),
+    min_length=1,
+) | constr(
+    pattern=r"^[A-Z]{2}$", to_upper=True, min_length=2, max_length=2, strict=True
+)
+
+CurrencyStringType = constr(
+    pattern=r"^[A-Z]{3}$", to_upper=True, min_length=3, max_length=3, strict=True
+)
+
+DateListType = conlist(
+    constr(pattern=r"^\d{4}-(0[1-9]|1[0-2])-(0[1-9]|[12]\d|3[01])$"), min_length=2
+)
+
+DatabaseIdStringType = constr(pattern=r"^([0-9a-f]{24})?$")
 
 LiteralLinePlotMode = Literal[
     "lines",

{openseries-1.0.0.dist-info → openseries-1.1.0.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: openseries
-Version: 1.0.0
+Version: 1.1.0
 Summary: Package for simple financial time series analysis.
 Home-page: https://github.com/CaptorAB/OpenSeries
 License: BSD-3-Clause
@@ -24,13 +24,11 @@ Requires-Dist: numpy (>=1.25.1,<2.0.0)
 Requires-Dist: openpyxl (>=3.1.2,<4.0.0)
 Requires-Dist: pandas (>=2.0.3,<3.0.0)
 Requires-Dist: plotly (>=5.15.0,<6.0.0)
-Requires-Dist: pydantic (>=1.10.11,<2.0.0)
+Requires-Dist: pydantic (>=2.1.1,<3.0.0)
 Requires-Dist: python-dateutil (>=2.8.2,<3.0.0)
 Requires-Dist: python-stdnum (>=1.18,<2.0)
-Requires-Dist: requests (>=2.28.1,<3.0.0)
 Requires-Dist: scipy (>=1.11.1,<2.0.0)
-Requires-Dist: statsmodels (>=0.13.5,<0.14.0)
-Requires-Dist: urllib3 (>=1.26.9,<2.0.0)
+Requires-Dist: statsmodels (>=0.14.0,<0.15.0)
 Project-URL: Repository, https://github.com/CaptorAB/OpenSeries
 Description-Content-Type: text/markdown
 
@@ -50,7 +48,7 @@ width="81" height="100" align="left" float="right"/><br/>
 ![pylint](https://github.com/CaptorAB/OpenSeries/actions/workflows/pylint.yml/badge.svg)
 [![License](https://img.shields.io/badge/License-BSD%203--Clause-blue.svg)](https://opensource.org/licenses/BSD-3-Clause)
 
-**OpenSeries** is a project with tools to perform timeseries analysis on a single
+**OpenSeries** is a project with tools to analyse financial timeseries of a single
 asset or a group of assets. It is solely made for daily or less frequent data.
 
 <span style="font-size:2em;">[Changelog](https://github.com/CaptorAB/OpenSeries/blob/master/CHANGELOG.md)</span>
@@ -64,8 +62,12 @@ To install:
 pip install openseries
 ```
 
-An overview of an OpenTimeSeries object is shown in the below example. My preference
-is to instantiate an object from a constructing class methods such as this.
+An overview of an OpenTimeSeries object is shown in the below example. It shows how to
+create an object from a constructing classmethod. The design aligns with how we within
+our fund company's code base have a subclass of OpenTimeSeries with class methods
+for our different data sources. Combined with some additional tools it allows us to
+efficiently present investment cases to clients.
+
 The OpenTimeSeries and OpenFrame classes are both subclasses of
 the [Pydantic BaseModel](https://docs.pydantic.dev/usage/models/).
 
@@ -75,16 +77,16 @@ and [OpenFrame](https://github.com/CaptorAB/OpenSeries/blob/master/openseries/fr
 classes have an attribute `tsdf`
 which is a DataFrame constructed from the raw data in the lists `dates` and `values`.
 
-```
+```python
 from openseries.series import OpenTimeSeries
-```
+import yfinance as yf
+
+msft=yf.Ticker("MSFT")
+history=msft.history(period="max")
+series=OpenTimeSeries.from_df(history.loc[:, "Close"])
+_=series.value_to_log().set_new_label("Microsoft Log Returns of Close Prices")
+_,_=series.plot_series()
 
-```
-series = OpenTimeSeries.from_arrays(
-    name="Timeseries",
-    dates=["2023-05-08", "2023-05-09", "2023-05-10", "2023-05-11", "2023-05-12"],
-    values=[90.2533, 89.9977, 90.1052, 90.9142, 90.5574],
-)
 ```
 
 ### Sample output using the OpenFrame.all_properties() method:
@@ -130,7 +132,7 @@ own way.
 
 ### Windows Powershell
 
-```
+```powershell
 git clone https://github.com/CaptorAB/OpenSeries.git
 cd OpenSeries
 ./make.ps1 -task make
@@ -138,12 +140,13 @@ cd OpenSeries
 
 ### Mac Terminal/Linux
 
-```
+```bash
 git clone https://github.com/CaptorAB/OpenSeries.git
 cd OpenSeries
 make
 source source_me
 make install
+
 ```
 
 ## Testing and Linting / Type-checking
@@ -157,16 +160,18 @@ file.
 
 ### Windows Powershell
 
-```
+```powershell
 ./make.ps1 -task test
 ./make.ps1 -task lint
+
 ```
 
 ### Mac Terminal/Linux
 
-```
+```bash
 make test
 make lint
+
 ```
 
 

{openseries-1.0.0.dist-info → openseries-1.1.0.dist-info}/RECORD

@@ -1,15 +1,15 @@
 openseries/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 openseries/datefixer.py,sha256=h4zshiUkJmRmbBgiCCVulxVUa2SO1dRdJMAKLMxE-tc,9970
-openseries/frame.py,sha256=p0xHGTEe6eUlakoxgAldwXjquTSfyvXMektdsYEgJnI,115141
+openseries/frame.py,sha256=nHRVfYRYPDIV32W6KCMEaJ7d9wG1qWMaeK_6JwfHnOM,115113
 openseries/load_plotly.py,sha256=DfpacL-aL5z-W0Cw7FL4YtDSbgeSI8Q-8DO6940wiJc,1119
 openseries/plotly_captor_logo.json,sha256=pGMuPVu4cEO3ZsCH1wU03hxqbIQkHFNoJUs1k1WK89Y,178
 openseries/plotly_layouts.json,sha256=xhrMOqW8LXb4QMtPiNBGdkPX518OHThiIJ68jpQk524,1429
 openseries/risk.py,sha256=_NJd8V-6pMx8pTodW-QpGKlmCDbCn4TsEjieKnCkIxU,4404
-openseries/series.py,sha256=Xw7ppt2bCVspkjYIqZKcMNfVIlrsmrnV7XWtp99qxrg,84385
-openseries/sim_price.py,sha256=dWzmj22nq4TW4BZBwP8Ajtid_g322No6D_m7t5bT8No,13878
+openseries/series.py,sha256=ytojrTbUtgi6Pmh4DbJd_SFIDP-A4xJE2BLaShStwqs,84308
+openseries/sim_price.py,sha256=2UQKJ9p2_0A10PbxadP5EhjeC9LRBP7IsoQdwQBKHNA,13822
 openseries/stoch_processes.py,sha256=6O4C_nC2iBseWggvDDC2gTpTqS5fI5nfjSRpccaazLE,14673
-openseries/types.py,sha256=t5xeqoD-e9fm0aU5I9chbzLcZ-MHmb9-jInCz3NrIfk,6698
-openseries-1.0.0.dist-info/LICENSE.md,sha256=NJjeq3wyB7EnnHLmsdK1EK6zT00T1eB3FgAmHAPT_vM,1521
-openseries-1.0.0.dist-info/METADATA,sha256=DfsJ-HSIyPGdL_33nJK7OhCSuEStkm6duUGhnTA1rNQ,47713
-openseries-1.0.0.dist-info/WHEEL,sha256=Zb28QaM1gQi8f4VCBhsUklF61CTlNYfs9YAZn-TOGFk,88
-openseries-1.0.0.dist-info/RECORD,,
+openseries/types.py,sha256=wz-G8BrlB4NjxDpcJUwYO5PhEjfKI52uoO53k3VkJEQ,7082
+openseries-1.1.0.dist-info/LICENSE.md,sha256=NJjeq3wyB7EnnHLmsdK1EK6zT00T1eB3FgAmHAPT_vM,1521
+openseries-1.1.0.dist-info/METADATA,sha256=l7BJzQc--wMAzmYRy2mjo1Gq3bI8VaeZu9YAmJn-z3s,47925
+openseries-1.1.0.dist-info/WHEEL,sha256=Zb28QaM1gQi8f4VCBhsUklF61CTlNYfs9YAZn-TOGFk,88
+openseries-1.1.0.dist-info/RECORD,,