openseries 1.3.7__py3-none-any.whl → 1.3.9__py3-none-any.whl

openseries/common_model.py

@@ -3,6 +3,7 @@
 from __future__ import annotations
 
 import datetime as dt
+from inspect import stack
 from json import dump
 from math import ceil
 from pathlib import Path
@@ -11,8 +12,9 @@ from string import ascii_letters
 from typing import Any, Optional, Union, cast
 
 from numpy import log, sqrt
-from openpyxl import Workbook
 from openpyxl.utils.dataframe import dataframe_to_rows
+from openpyxl.workbook.workbook import Workbook
+from openpyxl.worksheet.worksheet import Worksheet
 from pandas import DataFrame, DatetimeIndex, Series
 from plotly.graph_objs import Figure  # type: ignore[import-untyped]
 from plotly.offline import plot  # type: ignore[import-untyped]
@@ -23,6 +25,7 @@ from openseries.datefixer import get_calc_range
 from openseries.load_plotly import load_plotly_dict
 from openseries.risk import cvar_down_calc, drawdown_series, var_down_calc
 from openseries.types import (
+    DaysInYearType,
     LiteralBarPlotMode,
     LiteralLinePlotMode,
     LiteralNanMethod,
@@ -466,8 +469,10 @@ class CommonModel(BaseModel):  # type: ignore[misc]
         """
         if directory:
             dirpath = Path(directory).resolve()
+        elif Path.home().joinpath("Documents").exists():
+            dirpath = Path.home().joinpath("Documents")
         else:
-            dirpath = Path(__file__).resolve().parent
+            dirpath = Path(stack()[1].filename).parent
 
         cleaner_list = ["label", "tsdf"]
         data = dict(self.__dict__)
@@ -500,6 +505,8 @@ class CommonModel(BaseModel):  # type: ignore[misc]
         filename: str,
         sheet_title: Optional[str] = None,
         directory: Optional[DirectoryPath] = None,
+        *,
+        overwrite: bool = True,
     ) -> str:
         """
         Save .tsdf DataFrame to an Excel spreadsheet file.
@@ -512,6 +519,8 @@ class CommonModel(BaseModel):  # type: ignore[misc]
             Name of the sheet in the Excel file
         directory: DirectoryPath, optional
             The file directory where the Excel file is saved.
+        overwrite: bool, default: True
+            Flag whether to overwrite an existing file
 
         Returns
         -------
@@ -521,20 +530,28 @@ class CommonModel(BaseModel):  # type: ignore[misc]
         if filename[-5:].lower() != ".xlsx":
             msg = "Filename must end with .xlsx"
             raise NameError(msg)
+
         if directory:
             dirpath = Path(directory).resolve()
+        elif Path.home().joinpath("Documents").exists():
+            dirpath = Path.home().joinpath("Documents")
         else:
-            dirpath = Path(__file__).resolve().parent
+            dirpath = Path(stack()[1].filename).parent
+
         sheetfile = dirpath.joinpath(filename)
 
         wrkbook = Workbook()
         wrksheet = wrkbook.active
 
         if sheet_title:
-            wrksheet.title = sheet_title  # type: ignore[union-attr]
+            cast(Worksheet, wrksheet).title = sheet_title
 
         for row in dataframe_to_rows(df=self.tsdf, index=True, header=True):
-            wrksheet.append(row)  # type: ignore[union-attr]
+            cast(Worksheet, wrksheet).append(row)
+
+        if not overwrite and Path(sheetfile).exists():
+            msg = f"{sheetfile!s} already exists."
+            raise FileExistsError(msg)
 
         wrkbook.save(sheetfile)
 
@@ -547,9 +564,10 @@ class CommonModel(BaseModel):  # type: ignore[misc]
         filename: Optional[str] = None,
         directory: Optional[DirectoryPath] = None,
         labels: Optional[list[str]] = None,
-        auto_open: bool = True,  # noqa: FBT001, FBT002
-        add_logo: bool = True,  # noqa: FBT001, FBT002
         output_type: LiteralPlotlyOutput = "file",
+        *,
+        auto_open: bool = True,
+        add_logo: bool = True,
     ) -> tuple[Figure, str]:
         """
         Create a Plotly Bar Figure.
@@ -569,12 +587,12 @@ class CommonModel(BaseModel):  # type: ignore[misc]
         labels: list[str], optional
             A list of labels to manually override using the names of
             the input self.tsdf
+        output_type: LiteralPlotlyOutput, default: "file"
+            Determines output type
         auto_open: bool, default: True
             Determines whether to open a browser window with the plot
         add_logo: bool, default: True
             If True a Captor logo is added to the plot
-        output_type: LiteralPlotlyOutput, default: "file"
-            Determines output type
 
         Returns
         -------
@@ -641,10 +659,11 @@ class CommonModel(BaseModel):  # type: ignore[misc]
         filename: Optional[str] = None,
         directory: Optional[DirectoryPath] = None,
         labels: Optional[list[str]] = None,
-        auto_open: bool = True,  # noqa: FBT001, FBT002
-        add_logo: bool = True,  # noqa: FBT001, FBT002
-        show_last: bool = False,  # noqa: FBT001, FBT002
         output_type: LiteralPlotlyOutput = "file",
+        *,
+        auto_open: bool = True,
+        add_logo: bool = True,
+        show_last: bool = False,
     ) -> tuple[Figure, str]:
         """
         Create a Plotly Scatter Figure.
@@ -664,14 +683,14 @@ class CommonModel(BaseModel):  # type: ignore[misc]
         labels: list[str], optional
             A list of labels to manually override using the names of
             the input self.tsdf
+        output_type: LiteralPlotlyOutput, default: "file"
+            Determines output type
         auto_open: bool, default: True
             Determines whether to open a browser window with the plot
         add_logo: bool, default: True
             If True a Captor logo is added to the plot
         show_last: bool, default: False
             If True the last self.tsdf point is highlighted as red dot with a label
-        output_type: LiteralPlotlyOutput, default: "file"
-            Determines output type
 
         Returns
         -------
@@ -751,7 +770,7 @@ class CommonModel(BaseModel):  # type: ignore[misc]
         months_from_last: Optional[int] = None,
         from_date: Optional[dt.date] = None,
         to_date: Optional[dt.date] = None,
-        periods_in_a_year_fixed: Optional[int] = None,
+        periods_in_a_year_fixed: Optional[DaysInYearType] = None,
     ) -> Union[float, Series[type[float]]]:
         """
         https://www.investopedia.com/terms/a/arithmeticmean.asp.
@@ -765,7 +784,7 @@ class CommonModel(BaseModel):  # type: ignore[misc]
             Specific from date
         to_date : datetime.date, optional
             Specific to date
-        periods_in_a_year_fixed : int, optional
+        periods_in_a_year_fixed : DaysInYearType, optional
             Allows locking the periods-in-a-year to simplify test cases and
             comparisons
 
@@ -811,8 +830,8 @@ class CommonModel(BaseModel):  # type: ignore[misc]
         months_from_last: Optional[int] = None,
         from_date: Optional[dt.date] = None,
         to_date: Optional[dt.date] = None,
-        periods_in_a_year_fixed: Optional[int] = None,
-    ) -> Union[float, Series]:  # type: ignore[type-arg]
+        periods_in_a_year_fixed: Optional[DaysInYearType] = None,
+    ) -> Union[float, Series[type[float]]]:
         """
         Annualized volatility.
 
@@ -828,7 +847,7 @@ class CommonModel(BaseModel):  # type: ignore[misc]
             Specific from date
         to_date : datetime.date, optional
             Specific to date
-        periods_in_a_year_fixed : int, optional
+        periods_in_a_year_fixed : DaysInYearType, optional
             Allows locking the periods-in-a-year to simplify test cases and comparisons
 
         Returns
@@ -851,9 +870,9 @@ class CommonModel(BaseModel):  # type: ignore[misc]
             )
             time_factor = how_many / fraction
 
-        result = self.tsdf.loc[cast(int, earlier) : cast(int, later)]
-        result = result.ffill()
-        result = result.pct_change().std() * sqrt(time_factor)
+        data = self.tsdf.loc[cast(int, earlier) : cast(int, later)]
+        data = data.ffill()
+        result = data.pct_change().std().mul(sqrt(time_factor))
 
         if self.tsdf.shape[1] == 1:
             return float(result.iloc[0])
@@ -871,8 +890,9 @@ class CommonModel(BaseModel):  # type: ignore[misc]
         from_date: Optional[dt.date] = None,
         to_date: Optional[dt.date] = None,
         interpolation: LiteralQuantileInterp = "lower",
-        drift_adjust: bool = False,  # noqa: FBT001, FBT002
-        periods_in_a_year_fixed: Optional[int] = None,
+        periods_in_a_year_fixed: Optional[DaysInYearType] = None,
+        *,
+        drift_adjust: bool = False,
     ) -> Union[float, Series[type[float]]]:
         """
         Implied annualized volatility.
@@ -893,11 +913,11 @@ class CommonModel(BaseModel):  # type: ignore[misc]
             Specific to date
         interpolation: LiteralQuantileInterp, default: "lower"
             type of interpolation in Pandas.DataFrame.quantile() function.
-        drift_adjust: bool, default: False
-            An adjustment to remove the bias implied by the average return
-        periods_in_a_year_fixed : int, optional
+        periods_in_a_year_fixed : DaysInYearType, optional
             Allows locking the periods-in-a-year to simplify test cases and
             comparisons
+        drift_adjust: bool, default: False
+            An adjustment to remove the bias implied by the average return
 
         Returns
         -------
@@ -926,8 +946,9 @@ class CommonModel(BaseModel):  # type: ignore[misc]
         from_date: Optional[dt.date] = None,
         to_date: Optional[dt.date] = None,
         interpolation: LiteralQuantileInterp = "lower",
-        drift_adjust: bool = False,  # noqa: FBT001, FBT002
-        periods_in_a_year_fixed: Optional[int] = None,
+        periods_in_a_year_fixed: Optional[DaysInYearType] = None,
+        *,
+        drift_adjust: bool = False,
     ) -> Union[float, Series[type[float]]]:
         """
         Target weight from VaR.
@@ -954,11 +975,11 @@ class CommonModel(BaseModel):  # type: ignore[misc]
             Specific to date
         interpolation: LiteralQuantileInterp, default: "lower"
             type of interpolation in Pandas.DataFrame.quantile() function.
-        drift_adjust: bool, default: False
-            An adjustment to remove the bias implied by the average return
-        periods_in_a_year_fixed : int, optional
+        periods_in_a_year_fixed : DaysInYearType, optional
             Allows locking the periods-in-a-year to simplify test cases and
             comparisons
+        drift_adjust: bool, default: False
+            An adjustment to remove the bias implied by the average return
 
         Returns
         -------
@@ -1050,7 +1071,7 @@ class CommonModel(BaseModel):  # type: ignore[misc]
         months_from_last: Optional[int] = None,
         from_date: Optional[dt.date] = None,
         to_date: Optional[dt.date] = None,
-        periods_in_a_year_fixed: Optional[int] = None,
+        periods_in_a_year_fixed: Optional[DaysInYearType] = None,
     ) -> Union[float, Series[type[float]]]:
         """
         Downside Deviation.
@@ -1070,7 +1091,7 @@ class CommonModel(BaseModel):  # type: ignore[misc]
             Specific from date
         to_date : datetime.date, optional
             Specific to date
-        periods_in_a_year_fixed : int, optional
+        periods_in_a_year_fixed : DaysInYearType, optional
             Allows locking the periods-in-a-year to simplify test cases and
             comparisons
 
@@ -1410,7 +1431,7 @@ class CommonModel(BaseModel):  # type: ignore[misc]
         months_from_last: Optional[int] = None,
         from_date: Optional[dt.date] = None,
         to_date: Optional[dt.date] = None,
-        periods_in_a_year_fixed: Optional[int] = None,
+        periods_in_a_year_fixed: Optional[DaysInYearType] = None,
     ) -> Union[float, Series[type[float]]]:
         """
         Ratio between arithmetic mean of returns and annualized volatility.
@@ -1432,7 +1453,7 @@ class CommonModel(BaseModel):  # type: ignore[misc]
             Specific from date
         to_date : datetime.date, optional
             Specific to date
-        periods_in_a_year_fixed : int, optional
+        periods_in_a_year_fixed : DaysInYearType, optional
             Allows locking the periods-in-a-year to simplify test cases and
             comparisons
 
@@ -1470,7 +1491,7 @@ class CommonModel(BaseModel):  # type: ignore[misc]
         months_from_last: Optional[int] = None,
         from_date: Optional[dt.date] = None,
         to_date: Optional[dt.date] = None,
-        periods_in_a_year_fixed: Optional[int] = None,
+        periods_in_a_year_fixed: Optional[DaysInYearType] = None,
     ) -> Union[float, Series[type[float]]]:
         """
         Sortino Ratio.
@@ -1494,7 +1515,7 @@ class CommonModel(BaseModel):  # type: ignore[misc]
             Specific from date
         to_date : datetime.date, optional
             Specific to date
-        periods_in_a_year_fixed : int, optional
+        periods_in_a_year_fixed : DaysInYearType, optional
             Allows locking the periods-in-a-year to simplify test cases and
             comparisons
 
@@ -1875,7 +1896,7 @@ class CommonModel(BaseModel):  # type: ignore[misc]
         self: CommonModel,
         column: int = 0,
         observations: int = 21,
-        periods_in_a_year_fixed: Optional[int] = None,
+        periods_in_a_year_fixed: Optional[DaysInYearType] = None,
     ) -> DataFrame:
         """
         Calculate rolling annualised volatilities.
@@ -1886,7 +1907,7 @@ class CommonModel(BaseModel):  # type: ignore[misc]
             Position as integer of column to calculate
         observations: int, default: 21
             Number of observations in the overlapping window.
-        periods_in_a_year_fixed : int, optional
+        periods_in_a_year_fixed : DaysInYearType, optional
             Allows locking the periods-in-a-year to simplify test cases and
             comparisons
 
@@ -1926,8 +1947,9 @@ def _var_implied_vol_and_target_func(
     from_date: Optional[dt.date] = None,
     to_date: Optional[dt.date] = None,
     interpolation: LiteralQuantileInterp = "lower",
-    drift_adjust: bool = False,  # noqa: FBT001, FBT002
-    periods_in_a_year_fixed: Optional[int] = None,
+    periods_in_a_year_fixed: Optional[DaysInYearType] = None,
+    *,
+    drift_adjust: bool = False,
 ) -> Union[float, Series[type[float]]]:
     """
     Volatility implied from VaR or Target Weight.
@@ -1958,11 +1980,11 @@ def _var_implied_vol_and_target_func(
         Specific to date
     interpolation: LiteralQuantileInterp, default: "lower"
         type of interpolation in Pandas.DataFrame.quantile() function.
-    drift_adjust: bool, default: False
-        An adjustment to remove the bias implied by the average return
-    periods_in_a_year_fixed : int, optional
+    periods_in_a_year_fixed : DaysInYearType, optional
         Allows locking the periods-in-a-year to simplify test cases and
         comparisons
+    drift_adjust: bool, default: False
+        An adjustment to remove the bias implied by the average return
 
     Returns
     -------

openseries/datefixer.py

@@ -124,10 +124,11 @@ def date_fix(
 def date_offset_foll(
     raw_date: DateType,
     months_offset: int = 12,
-    adjust: bool = False,  # noqa: FBT001, FBT002
-    following: bool = True,  # noqa: FBT001, FBT002
     countries: CountriesType = "SE",
     custom_holidays: Optional[HolidayType] = None,
+    *,
+    adjust: bool = False,
+    following: bool = True,
 ) -> dt.date:
     """
     Offset dates according to a given calendar.
@@ -138,15 +139,15 @@ def date_offset_foll(
         The date to offset from
     months_offset: int, default: 12
         Number of months as integer
-    adjust: bool, default: False
-        Determines if offset should adjust for business days
-    following: bool, default: True
-        Determines if days should be offset forward (following) or backward
     countries: CountriesType, default: "SE"
         (List of) country code(s) according to ISO 3166-1 alpha-2
     custom_holidays: HolidayType, optional
         Argument where missing holidays can be added as
         {"2021-02-12": "Jack's birthday"} or ["2021-02-12"]
+    adjust: bool, default: False
+        Determines if offset should adjust for business days
+    following: bool, default: True
+        Determines if days should be offset forward (following) or backward
 
     Returns
     -------

openseries/frame.py

@@ -44,6 +44,7 @@ from openseries.risk import (
 from openseries.series import OpenTimeSeries
 from openseries.types import (
     CountriesType,
+    DaysInYearType,
     LiteralBizDayFreq,
     LiteralCaptureRatio,
     LiteralCovMethod,
@@ -70,7 +71,7 @@ class OpenFrame(CommonModel):  # type: ignore[misc]
 
     Parameters
     ----------
-    constituents: list[TypeOpenTimeSeries]
+    constituents: list[OpenTimeSeries]
         List of objects of Class OpenTimeSeries
     weights: list[float], optional
         List of weights in float format.
@@ -110,7 +111,7 @@ class OpenFrame(CommonModel):  # type: ignore[misc]
 
         Parameters
         ----------
-        constituents: list[TypeOpenTimeSeries]
+        constituents: list[OpenTimeSeries]
             List of objects of Class OpenTimeSeries
         weights: list[float], optional
             List of weights in float format.
@@ -254,6 +255,11 @@ class OpenFrame(CommonModel):  # type: ignore[misc]
         """
         Align the index of .tsdf with local calendar business days.
 
+        Parameters
+        ----------
+        countries: CountriesType, default: "SE"
+            (List of) country code(s) according to ISO 3166-1 alpha-2
+
         Returns
         -------
         OpenFrame
@@ -307,13 +313,13 @@ class OpenFrame(CommonModel):  # type: ignore[misc]
         return list(self.tsdf.columns.get_level_values(0))
 
     @property
-    def columns_lvl_one(self: OpenFrame) -> list[str]:
+    def columns_lvl_one(self: OpenFrame) -> list[ValueType]:
         """
         Level 1 values of the MultiIndex columns in the .tsdf DataFrame.
 
         Returns
         -------
-        list[str]
+        list[ValueType]
             Level 1 values of the MultiIndex columns in the .tsdf DataFrame
         """
         return list(self.tsdf.columns.get_level_values(1))
@@ -589,7 +595,6 @@ class OpenFrame(CommonModel):  # type: ignore[misc]
         ----------
         freq: Union[LiteralBizDayFreq, str], default "BM"
             The date offset string that sets the resampled frequency
-            Examples are "7D", "B", "M", "BM", "Q", "BQ", "A", "BA"
 
         Returns
         -------
@@ -624,7 +629,7 @@ class OpenFrame(CommonModel):  # type: ignore[misc]
 
         Parameters
         ----------
-        freq: LiteralBizDayFreq, default BM
+        freq: LiteralBizDayFreq, default "BM"
             The date offset string that sets the resampled frequency
         countries: CountriesType, default: "SE"
             (List of) country code(s) according to ISO 3166-1 alpha-2
@@ -694,7 +699,7 @@ class OpenFrame(CommonModel):  # type: ignore[misc]
         months_from_last: Optional[int] = None,
         from_date: Optional[dt.date] = None,
         to_date: Optional[dt.date] = None,
-        periods_in_a_year_fixed: Optional[int] = None,
+        periods_in_a_year_fixed: Optional[DaysInYearType] = None,
     ) -> DataFrame:
         """
         Exponentially Weighted Moving Average Volatilities and Correlation.
@@ -721,7 +726,7 @@ class OpenFrame(CommonModel):  # type: ignore[misc]
             Specific from date
         to_date : datetime.date, optional
             Specific to date
-        periods_in_a_year_fixed : int, optional
+        periods_in_a_year_fixed : DaysInYearType, optional
             Allows locking the periods-in-a-year to simplify test cases and
             comparisons
 
@@ -753,30 +758,30 @@ class OpenFrame(CommonModel):  # type: ignore[misc]
         data = self.tsdf.loc[cast(int, earlier) : cast(int, later)].copy()
 
         for rtn in cols:
-            data[rtn, "Returns"] = (
+            data[rtn, ValueType.RTRN] = (
                 data.loc[:, (rtn, ValueType.PRICE)]  # type: ignore[index]
                 .apply(log)
                 .diff()
             )
 
         raw_one = [
-            data.loc[:, (cols[0], "Returns")]  # type: ignore[index]
+            data.loc[:, (cols[0], ValueType.RTRN)]  # type: ignore[index]
             .iloc[1:day_chunk]
             .std(ddof=dlta_degr_freedms)
             * sqrt(time_factor),
         ]
         raw_two = [
-            data.loc[:, (cols[1], "Returns")]  # type: ignore[index]
+            data.loc[:, (cols[1], ValueType.RTRN)]  # type: ignore[index]
             .iloc[1:day_chunk]
             .std(ddof=dlta_degr_freedms)
             * sqrt(time_factor),
         ]
         raw_cov = [
             cov(
-                m=data.loc[:, (cols[0], "Returns")]  # type: ignore[index]
+                m=data.loc[:, (cols[0], ValueType.RTRN)]  # type: ignore[index]
                 .iloc[1:day_chunk]
                 .to_numpy(),
-                y=data.loc[:, (cols[1], "Returns")]  # type: ignore[index]
+                y=data.loc[:, (cols[1], ValueType.RTRN)]  # type: ignore[index]
                 .iloc[1:day_chunk]
                 .to_numpy(),
                 ddof=dlta_degr_freedms,
@@ -786,20 +791,20 @@ class OpenFrame(CommonModel):  # type: ignore[misc]
 
         for _, row in data.iloc[1:].iterrows():
             tmp_raw_one = ewma_calc(
-                reeturn=row.loc[cols[0], "Returns"],
+                reeturn=row.loc[cols[0], ValueType.RTRN],
                 prev_ewma=raw_one[-1],
                 time_factor=time_factor,
                 lmbda=lmbda,
             )
             tmp_raw_two = ewma_calc(
-                reeturn=row.loc[cols[1], "Returns"],
+                reeturn=row.loc[cols[1], ValueType.RTRN],
                 prev_ewma=raw_two[-1],
                 time_factor=time_factor,
                 lmbda=lmbda,
             )
             tmp_raw_cov = (
-                row.loc[cols[0], "Returns"]
-                * row.loc[cols[1], "Returns"]
+                row.loc[cols[0], ValueType.RTRN]
+                * row.loc[cols[1], ValueType.RTRN]
                 * time_factor
                 * (1 - lmbda)
                 + raw_cov[-1] * lmbda
@@ -922,28 +927,27 @@ class OpenFrame(CommonModel):  # type: ignore[misc]
                 copy=False,
             )
         if len(set(self.first_indices)) != 1:
-            warning(
-                msg=(
-                    "One or more constituents still "
-                    "not truncated to same start dates."
-                ),
-                extra={"tsdf.head": self.tsdf.head()},
+            msg = (
+                f"One or more constituents still "
+                f"not truncated to same start dates.\n"
+                f"{self.tsdf.head()}"
             )
+            warning(msg=msg)
         if len(set(self.last_indices)) != 1:
-            warning(
-                msg=(
-                    "One or more constituents still "
-                    "not truncated to same end dates."
-                ),
-                extra={"tsdf.tail": self.tsdf.tail()},
+            msg = (
+                f"One or more constituents still "
+                f"not truncated to same end dates.\n"
+                f"{self.tsdf.tail()}"
             )
+            warning(msg=msg)
         return self
 
     def relative(
         self: OpenFrame,
         long_column: int = 0,
         short_column: int = 1,
-        base_zero: bool = True,  # noqa: FBT001, FBT002
+        *,
+        base_zero: bool = True,
     ) -> None:
         """
         Calculate cumulative relative return between two series.
@@ -971,6 +975,9 @@ class OpenFrame(CommonModel):  # type: ignore[misc]
             self.tsdf[rel_label, ValueType.RELRTRN] = (
                 1.0 + self.tsdf.iloc[:, long_column] - self.tsdf.iloc[:, short_column]
             )
+        self.constituents += [
+            OpenTimeSeries.from_df(self.tsdf.iloc[:, -1]),
+        ]
 
     def tracking_error_func(
         self: OpenFrame,
@@ -978,7 +985,7 @@ class OpenFrame(CommonModel):  # type: ignore[misc]
         months_from_last: Optional[int] = None,
         from_date: Optional[dt.date] = None,
         to_date: Optional[dt.date] = None,
-        periods_in_a_year_fixed: Optional[int] = None,
+        periods_in_a_year_fixed: Optional[DaysInYearType] = None,
     ) -> Series[type[float]]:
         """
         Tracking Error.
@@ -998,7 +1005,7 @@ class OpenFrame(CommonModel):  # type: ignore[misc]
             Specific from date
         to_date : datetime.date, optional
             Specific to date
-        periods_in_a_year_fixed : int, optional
+        periods_in_a_year_fixed : DaysInYearType, optional
             Allows locking the periods-in-a-year to simplify test cases and
             comparisons
 
@@ -1063,7 +1070,7 @@ class OpenFrame(CommonModel):  # type: ignore[misc]
         months_from_last: Optional[int] = None,
         from_date: Optional[dt.date] = None,
         to_date: Optional[dt.date] = None,
-        periods_in_a_year_fixed: Optional[int] = None,
+        periods_in_a_year_fixed: Optional[DaysInYearType] = None,
     ) -> Series[type[float]]:
         """
         Information Ratio.
@@ -1084,7 +1091,7 @@ class OpenFrame(CommonModel):  # type: ignore[misc]
             Specific from date
         to_date : datetime.date, optional
             Specific to date
-        periods_in_a_year_fixed : int, optional
+        periods_in_a_year_fixed : DaysInYearType, optional
             Allows locking the periods-in-a-year to simplify test cases and
             comparisons
 
@@ -1157,7 +1164,7 @@ class OpenFrame(CommonModel):  # type: ignore[misc]
         months_from_last: Optional[int] = None,
         from_date: Optional[dt.date] = None,
         to_date: Optional[dt.date] = None,
-        periods_in_a_year_fixed: Optional[int] = None,
+        periods_in_a_year_fixed: Optional[DaysInYearType] = None,
     ) -> Series[type[float]]:
         """
         Capture Ratio.
@@ -1184,7 +1191,7 @@ class OpenFrame(CommonModel):  # type: ignore[misc]
             Specific from date
         to_date : datetime.date, optional
             Specific to date
-        periods_in_a_year_fixed : int, optional
+        periods_in_a_year_fixed : DaysInYearType, optional
             Allows locking the periods-in-a-year to simplify test cases and
             comparisons
 
@@ -1429,9 +1436,10 @@ class OpenFrame(CommonModel):  # type: ignore[misc]
         self: OpenFrame,
         y_column: Union[tuple[str, ValueType], int],
         x_column: Union[tuple[str, ValueType], int],
-        fitted_series: bool = True,  # noqa: FBT001, FBT002
         method: LiteralOlsFitMethod = "pinv",
         cov_type: LiteralOlsFitCovType = "nonrobust",
+        *,
+        fitted_series: bool = True,
     ) -> RegressionResults:
         """
         Ordinary Least Squares fit.
@@ -1446,12 +1454,12 @@ class OpenFrame(CommonModel):  # type: ignore[misc]
             The column level values of the dependent variable y
         x_column: Union[tuple[str, ValueType], int]
             The column level values of the exogenous variable x
-        fitted_series: bool, default: True
-            If True the fit is added as a new column in the .tsdf Pandas.DataFrame
         method: LiteralOlsFitMethod, default: pinv
             Method to solve least squares problem
         cov_type: LiteralOlsFitCovType, default: nonrobust
             Covariance estimator
+        fitted_series: bool, default: True
+            If True the fit is added as a new column in the .tsdf Pandas.DataFrame
 
         Returns
         -------
@@ -1598,7 +1606,7 @@ class OpenFrame(CommonModel):  # type: ignore[misc]
         long_column: int = 0,
         short_column: int = 1,
         observations: int = 21,
-        periods_in_a_year_fixed: Optional[int] = None,
+        periods_in_a_year_fixed: Optional[DaysInYearType] = None,
     ) -> DataFrame:
         """
         Calculate rolling Information Ratio.
@@ -1615,7 +1623,7 @@ class OpenFrame(CommonModel):  # type: ignore[misc]
             Column of timeseries that is the denominator in the ratio.
         observations: int, default: 21
             The length of the rolling window to use is set as number of observations.
-        periods_in_a_year_fixed : int, optional
+        periods_in_a_year_fixed : DaysInYearType, optional
             Allows locking the periods-in-a-year to simplify test cases and comparisons
 
         Returns

openseries/load_plotly.py

@@ -2,13 +2,42 @@
 from __future__ import annotations
 
 from json import load
+from logging import warning
 from pathlib import Path
 
+import requests
+
 from openseries.types import CaptorLogoType, PlotlyLayoutType
 
 
+def check_remote_file_existence(url: str) -> bool:
+    """
+    Check if remote file exists.
+
+    Parameters
+    ----------
+    url: str
+        Path to remote file
+
+    Returns
+    -------
+    bool
+        True if url is valid and False otherwise
+    """
+    ok_code = 200
+
+    try:
+        response = requests.head(url, timeout=30)
+        if response.status_code != ok_code:
+            return False
+    except requests.exceptions.ConnectionError:
+        return False
+    return True
+
+
 def load_plotly_dict(
-    responsive: bool = True,  # noqa: FBT001, FBT002
+    *,
+    responsive: bool = True,
 ) -> tuple[PlotlyLayoutType, CaptorLogoType]:
     """
     Load Plotly defaults.
@@ -32,6 +61,11 @@ def load_plotly_dict(
     with Path.open(logofile, encoding="utf-8") as logo_file:
         logo = load(logo_file)
 
+    if check_remote_file_existence(url=logo["source"]) is False:
+        msg = f"Failed to add logo image from URL {logo['source']}"
+        warning(msg)
+        logo = {}
+
     fig["config"].update({"responsive": responsive})
 
     return fig, logo

openseries/series.py

@@ -43,6 +43,7 @@ from openseries.types import (
     CurrencyStringType,
     DatabaseIdStringType,
     DateListType,
+    DaysInYearType,
     LiteralBizDayFreq,
     LiteralPandasReindexMethod,
     LiteralPandasResampleConvention,
@@ -163,7 +164,8 @@ class OpenTimeSeries(CommonModel):  # type: ignore[misc]
         instrument_id: DatabaseIdStringType = "",
         isin: Optional[str] = None,
         baseccy: CurrencyStringType = "SEK",
-        local_ccy: bool = True,  # noqa: FBT001, FBT002
+        *,
+        local_ccy: bool = True,
     ) -> OpenTimeSeries:
         """
         Create series from a Pandas DataFrame or Series.
@@ -220,7 +222,8 @@ class OpenTimeSeries(CommonModel):  # type: ignore[misc]
         column_nmbr: int = 0,
         valuetype: ValueType = ValueType.PRICE,
         baseccy: CurrencyStringType = "SEK",
-        local_ccy: bool = True,  # noqa: FBT001, FBT002
+        *,
+        local_ccy: bool = True,
     ) -> OpenTimeSeries:
         """
         Create series from a Pandas DataFrame or Series.
@@ -256,17 +259,16 @@ class OpenTimeSeries(CommonModel):  # type: ignore[misc]
                     dframe.columns.get_level_values(0).to_numpy()[column_nmbr],
                 ):
                     label = "Series"
-                    warning(msg="Label missing. Adding:", extra={"label": label})
+                    msg = f"Label missing. Adding: {label}"
+                    warning(msg=msg)
                 else:
                     label = dframe.columns.get_level_values(0).to_numpy()[column_nmbr]
                 if check_if_none(
                     dframe.columns.get_level_values(1).to_numpy()[column_nmbr],
                 ):
                     valuetype = ValueType.PRICE
-                    warning(
-                        msg="valuetype missing. Adding: ",
-                        extra={"valuetype": valuetype.value},
-                    )
+                    msg = f"valuetype missing. Adding: {valuetype.value}"
+                    warning(msg=msg)
                 else:
                     valuetype = dframe.columns.get_level_values(1).to_numpy()[
                         column_nmbr
@@ -303,7 +305,8 @@ class OpenTimeSeries(CommonModel):  # type: ignore[misc]
         label: str = "Series",
         valuetype: ValueType = ValueType.PRICE,
         baseccy: CurrencyStringType = "SEK",
-        local_ccy: bool = True,  # noqa: FBT001, FBT002
+        *,
+        local_ccy: bool = True,
     ) -> OpenTimeSeries:
         """
         Create series from values accruing with a given fixed rate return.
@@ -684,7 +687,7 @@ class OpenTimeSeries(CommonModel):  # type: ignore[misc]
         months_from_last: Optional[int] = None,
         from_date: Optional[dt.date] = None,
         to_date: Optional[dt.date] = None,
-        periods_in_a_year_fixed: Optional[int] = None,
+        periods_in_a_year_fixed: Optional[DaysInYearType] = None,
     ) -> DataFrame:
         """
         Exponentially Weighted Moving Average Model for Volatility.
@@ -706,7 +709,7 @@ class OpenTimeSeries(CommonModel):  # type: ignore[misc]
             Specific from date
         to_date : datetime.date, optional
             Specific to date
-        periods_in_a_year_fixed : int, optional
+        periods_in_a_year_fixed : DaysInYearType, optional
             Allows locking the periods-in-a-year to simplify test cases and comparisons
 
         Returns
@@ -727,18 +730,18 @@ class OpenTimeSeries(CommonModel):  # type: ignore[misc]
 
         data = self.tsdf.loc[cast(int, earlier) : cast(int, later)].copy()
 
-        data[self.label, "Returns"] = (
+        data[self.label, ValueType.RTRN] = (
             data.loc[:, self.tsdf.columns.to_numpy()[0]].apply(log).diff()
         )
 
         rawdata = [
-            data.loc[:, (self.label, "Returns")]  # type: ignore[index]
+            data.loc[:, (self.label, ValueType.RTRN)]  # type: ignore[index]
             .iloc[1:day_chunk]
             .std(ddof=dlta_degr_freedms)
             * sqrt(time_factor),
         ]
 
-        for item in data.loc[:, (self.label, "Returns")].iloc[  # type: ignore[index]
+        for item in data.loc[:, (self.label, ValueType.RTRN)].iloc[  # type: ignore[index]
             1:
         ]:
             previous = rawdata[-1]
@@ -818,7 +821,8 @@ class OpenTimeSeries(CommonModel):  # type: ignore[misc]
         self: OpenTimeSeries,
         lvl_zero: Optional[str] = None,
         lvl_one: Optional[ValueType] = None,
-        delete_lvl_one: bool = False,  # noqa: FBT001, FBT002
+        *,
+        delete_lvl_one: bool = False,
     ) -> OpenTimeSeries:
         """
         Set the column labels of the .tsdf Pandas Dataframe.
@@ -827,7 +831,7 @@ class OpenTimeSeries(CommonModel):  # type: ignore[misc]
         ----------
         lvl_zero: str, optional
             New level zero label
-        lvl_one: str, optional
+        lvl_one: ValueType, optional
             New level one label
         delete_lvl_one: bool, default: False
             If True the level one label is deleted
@@ -869,7 +873,7 @@ def timeseries_chain(
         Earlier series to chain with
     back: TypeOpenTimeSeries
         Later series to chain with
-    old_fee: bool, default: False
+    old_fee: float, default: 0.0
         Fee to apply to earlier series
 
     Returns

openseries/simulation.py

@@ -818,8 +818,7 @@ class ReturnSimulation:
             Mean standard deviation
         seed: int
             Seed for random process initiation
-        trading_days_in_year: DaysInYearType,
-            default: 252
+        trading_days_in_year: DaysInYearType, default: 252
             Number of trading days used to annualize
 
         Returns
@@ -889,8 +888,7 @@ class ReturnSimulation:
             This is the rate of mean reversion for volatility in the Heston model
         seed: int
             Seed for random process initiation
-        trading_days_in_year: DaysInYearType,
-            default: 252
+        trading_days_in_year: DaysInYearType, default: 252
             Number of trading days used to annualize
 
         Returns
@@ -962,8 +960,7 @@ class ReturnSimulation:
             This is the rate of mean reversion for volatility in the Heston model
         seed: int
             Seed for random process initiation
-        trading_days_in_year: DaysInYearType,
-            default: 252
+        trading_days_in_year: DaysInYearType, default: 252
             Number of trading days used to annualize
 
         Returns
@@ -1038,8 +1035,7 @@ class ReturnSimulation:
             This is the average jump size
         seed: int
             Seed for random process initiation
-        trading_days_in_year: DaysInYearType,
-            default: 252
+        trading_days_in_year: DaysInYearType, default: 252
             Number of trading days used to annualize
 
         Returns

{openseries-1.3.7.dist-info → openseries-1.3.9.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: openseries
-Version: 1.3.7
+Version: 1.3.9
 Summary: Package for simple financial time series analysis.
 Home-page: https://github.com/CaptorAB/OpenSeries
 License: BSD-3-Clause
@@ -20,14 +20,14 @@ Classifier: Programming Language :: Python :: 3.10
 Classifier: Programming Language :: Python :: 3.11
 Classifier: Topic :: Office/Business :: Financial :: Investment
 Requires-Dist: ffn (>=0.3.7,<0.4.0)
-Requires-Dist: holidays (>=0.34,<0.35)
-Requires-Dist: numpy (>=1.25.2,<2.0.0)
+Requires-Dist: holidays (>=0.35,<0.36)
+Requires-Dist: numpy (>=1.26.1,<2.0.0)
 Requires-Dist: openpyxl (>=3.1.2,<4.0.0)
-Requires-Dist: pandas (>=2.0.3,<3.0.0)
+Requires-Dist: pandas (>=2.1.1,<3.0.0)
 Requires-Dist: plotly (>=5.17.0,<6.0.0)
 Requires-Dist: pydantic (>=2.4.2,<3.0.0)
 Requires-Dist: python-dateutil (>=2.8.2,<3.0.0)
-Requires-Dist: scipy (>=1.11.2,<2.0.0)
+Requires-Dist: scipy (>=1.11.3,<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

openseries-1.3.9.dist-info/RECORD

@@ -0,0 +1,15 @@
+openseries/__init__.py,sha256=hA7I5IFk88EnX6eyBbI1KLT_FGcmPIKF49xa5g3T8Yg,41
+openseries/common_model.py,sha256=de3sFqvpHjxwJ3RSk80nzg98msGVVhqnhzW74QkS6Yk,66399
+openseries/datefixer.py,sha256=vfZtT0YnfoLX8z9fq-B8SJJL8yq35SS21MiZYa5jthw,15898
+openseries/frame.py,sha256=M_1ZVKh1AAJ3kWQuhLujnTwpgeddy_BR7Wn4bY5OCd4,62054
+openseries/load_plotly.py,sha256=UBBjzByrKWjLRBNfwHJXQEs80QXaS_7EzaFu8TnrJxA,1803
+openseries/plotly_captor_logo.json,sha256=pGMuPVu4cEO3ZsCH1wU03hxqbIQkHFNoJUs1k1WK89Y,178
+openseries/plotly_layouts.json,sha256=xhrMOqW8LXb4QMtPiNBGdkPX518OHThiIJ68jpQk524,1429
+openseries/risk.py,sha256=u2BZwmm5Ydbu03HdT-XjwHWkV-vZ0tUY3-Ok58qobVc,6312
+openseries/series.py,sha256=GRPZpbhzwDSJR4mHY9Su33-K_Qaez-XXNZV9Iqn9UCw,30889
+openseries/simulation.py,sha256=kPPIC4j0ceCLpvlSS21RCHJrIlC3s1SWWggyti1iMbw,35741
+openseries/types.py,sha256=oZVcAT2-5-_ZMEU_r7FQZUFPU11REhHyUNOFu4joWk8,7775
+openseries-1.3.9.dist-info/LICENSE.md,sha256=NJjeq3wyB7EnnHLmsdK1EK6zT00T1eB3FgAmHAPT_vM,1521
+openseries-1.3.9.dist-info/METADATA,sha256=Q-g0RdwIf8vOOdctp-UonZKZELBauthls_j-a2iZC5Y,47751
+openseries-1.3.9.dist-info/WHEEL,sha256=d2fvjOD7sXsVzChCqf0Ty0JbHKBaLYwDbGQDwQTnJ50,88
+openseries-1.3.9.dist-info/RECORD,,

openseries-1.3.7.dist-info/RECORD

@@ -1,15 +0,0 @@
-openseries/__init__.py,sha256=hA7I5IFk88EnX6eyBbI1KLT_FGcmPIKF49xa5g3T8Yg,41
-openseries/common_model.py,sha256=QA0Ulwd8oeABaM1bYEgg4fai3P0ESANAeTYHARleapo,65754
-openseries/datefixer.py,sha256=HkHXkajI0QhkdAcvecH2yLki8B6Ne4Bk1iir-mKK5pw,15939
-openseries/frame.py,sha256=W34WKd8yUM__tUqRCIxlaY_wCnclai1KKDW4yQDaBSI,61778
-openseries/load_plotly.py,sha256=B6cKzd7ZnG9WWj3-oJS2v5UiEQUldPAz_npoq7OyLXs,1113
-openseries/plotly_captor_logo.json,sha256=pGMuPVu4cEO3ZsCH1wU03hxqbIQkHFNoJUs1k1WK89Y,178
-openseries/plotly_layouts.json,sha256=xhrMOqW8LXb4QMtPiNBGdkPX518OHThiIJ68jpQk524,1429
-openseries/risk.py,sha256=u2BZwmm5Ydbu03HdT-XjwHWkV-vZ0tUY3-Ok58qobVc,6312
-openseries/series.py,sha256=wpWpFGIJrn67ueoF4kdcgCjN4C8RLjsiZUcTWKCAZec,30925
-openseries/simulation.py,sha256=LSKHma-uVnUdGJlRvDK0TuPunp2snpby1gF93TYNe34,35789
-openseries/types.py,sha256=oZVcAT2-5-_ZMEU_r7FQZUFPU11REhHyUNOFu4joWk8,7775
-openseries-1.3.7.dist-info/LICENSE.md,sha256=NJjeq3wyB7EnnHLmsdK1EK6zT00T1eB3FgAmHAPT_vM,1521
-openseries-1.3.7.dist-info/METADATA,sha256=gZcCs6GDMcuZ8Yd9MNkjAors2423IGxg8ZLy3M1pP2E,47751
-openseries-1.3.7.dist-info/WHEEL,sha256=d2fvjOD7sXsVzChCqf0Ty0JbHKBaLYwDbGQDwQTnJ50,88
-openseries-1.3.7.dist-info/RECORD,,