openseries 1.4.10__tar.gz → 1.4.12__tar.gz

{openseries-1.4.10 → openseries-1.4.12}/LICENSE.md

@@ -1,6 +1,6 @@
 # BSD 3-Clause License
 
-## Copyright (c) 2023, Captor Fund Management AB
+## Copyright (c) 2024, Captor Fund Management AB
 
 Redistribution and use in source and binary forms, with or without modification, are
 permitted provided that the following conditions are met:

{openseries-1.4.10 → openseries-1.4.12}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: openseries
-Version: 1.4.10
+Version: 1.4.12
 Summary: Package for analyzing financial timeseries.
 Home-page: https://github.com/CaptorAB/OpenSeries
 License: BSD-3-Clause

{openseries-1.4.10 → openseries-1.4.12}/openseries/_common_model.py

@@ -1,4 +1,5 @@
 """Defining the _CommonModel class."""
+
 from __future__ import annotations
 
 import datetime as dt
@@ -10,7 +11,7 @@ from secrets import choice
 from string import ascii_letters
 from typing import Any, Optional, Union, cast
 
-from numpy import Inf, float64, isnan, log, maximum, sqrt
+from numpy import float64, inf, isnan, log, maximum, sqrt
 from openpyxl.utils.dataframe import dataframe_to_rows
 from openpyxl.workbook.workbook import Workbook
 from openpyxl.worksheet.worksheet import Worksheet
@@ -484,7 +485,7 @@ class _CommonModel(BaseModel):
         if any([months_offset, from_dt, to_dt]):
             if months_offset is not None:
                 earlier = date_offset_foll(
-                    raw_date=self.tsdf.index[-1],
+                    raw_date=DatetimeIndex(self.tsdf.index)[-1],
                     months_offset=-months_offset,
                     adjust=False,
                     following=True,
@@ -537,8 +538,8 @@ class _CommonModel(BaseModel):
             An OpenFrame object
 
         """
-        startyear = self.tsdf.index[0].year
-        endyear = self.tsdf.index[-1].year
+        startyear = DatetimeIndex(self.tsdf.index)[0].year
+        endyear = DatetimeIndex(self.tsdf.index)[-1].year
         calendar = holiday_calendar(
             startyear=startyear,
             endyear=endyear,
@@ -629,7 +630,7 @@ class _CommonModel(BaseModel):
 
         """
         drawdown = self.tsdf.copy()
-        drawdown[isnan(drawdown)] = -Inf
+        drawdown[isnan(drawdown)] = -inf
         roll_max = maximum.accumulate(drawdown, axis=0)
         self.tsdf = DataFrame(drawdown / roll_max - 1.0)
         return self
@@ -1514,24 +1515,20 @@ class _CommonModel(BaseModel):
         )
         fraction = (later - earlier).days / 365.25
 
-        if (
-            zero in self.tsdf.loc[earlier].tolist()
-            or self.tsdf.loc[[earlier, later]].lt(0.0).any().any()
-        ):
+        any_below_zero = any(self.tsdf.loc[[earlier, later]].lt(0.0).any().to_numpy())
+        if zero in self.tsdf.loc[earlier].to_numpy() or any_below_zero:
             msg = (
                 "Geometric return cannot be calculated due to "
                 "an initial value being zero or a negative value."
             )
-            raise ValueError(
-                msg,
-            )
+            raise ValueError(msg)
 
         result = (self.tsdf.loc[later] / self.tsdf.loc[earlier]) ** (1 / fraction) - 1
 
         if self.tsdf.shape[1] == 1:
             return float(result.iloc[0])
         return Series(
-            data=result,
+            data=result.to_numpy(),
             index=self.tsdf.columns,
             name="Geometric return",
             dtype="float64",
@@ -1917,7 +1914,7 @@ class _CommonModel(BaseModel):
         if self.tsdf.shape[1] == 1:
             return float(result.iloc[0])
         return Series(
-            data=result,
+            data=result.to_numpy(),
             index=self.tsdf.columns,
             name="Simple return",
             dtype="float64",

{openseries-1.4.10 → openseries-1.4.12}/openseries/_risk.py

@@ -5,11 +5,11 @@ from math import ceil
 from typing import Union, cast
 
 from numpy import (
-    NaN,
     divide,
     float64,
     isinf,
     mean,
+    nan,
     nan_to_num,
     quantile,
     sort,
@@ -139,6 +139,6 @@ def _calc_inv_vol_weights(returns: DataFrame) -> NDArray[float64]:
 
     """
     vol = divide(1.0, std(returns, axis=0, ddof=1))
-    vol[isinf(vol)] = NaN
+    vol[isinf(vol)] = nan
     volsum = vol.sum()
     return cast(NDArray[float64], divide(vol, volsum))

{openseries-1.4.10 → openseries-1.4.12}/openseries/frame.py

@@ -168,6 +168,7 @@ class OpenFrame(_CommonModel):
             An OpenFrame object
 
         """
+        lvl_zero = list(self.columns_lvl_zero)
         self.tsdf = reduce(
             lambda left, right: merge(
                 left=left,
@@ -178,14 +179,17 @@ class OpenFrame(_CommonModel):
             ),
             [x.tsdf for x in self.constituents],
         )
+
+        mapper = dict(zip(self.columns_lvl_zero, lvl_zero))
+        self.tsdf = self.tsdf.rename(columns=mapper, level=0)
+
         if self.tsdf.empty:
             msg = (
                 "Merging OpenTimeSeries DataFrames with "
                 f"argument how={how} produced an empty DataFrame."
             )
-            raise ValueError(
-                msg,
-            )
+            raise ValueError(msg)
+
         if how == "inner":
             for xerie in self.constituents:
                 xerie.tsdf = xerie.tsdf.loc[self.tsdf.index]
@@ -454,8 +458,8 @@ class OpenFrame(_CommonModel):
         tail = self.tsdf.loc[self.last_indices.min()].copy()
         dates = do_resample_to_business_period_ends(
             data=self.tsdf,
-            head=head,
-            tail=tail,
+            head=head,  # type: ignore[arg-type]
+            tail=tail,  # type: ignore[arg-type]
             freq=freq,
             countries=countries,
         )
@@ -1046,9 +1050,7 @@ class OpenFrame(_CommonModel):
                         .add(1)
                         .to_numpy()
                     )
-                    up_return = (
-                        uparray.prod() ** (1 / (len(uparray) / time_factor)) - 1
-                    )
+                    up_rtrn = uparray.prod() ** (1 / (len(uparray) / time_factor)) - 1
                     upidxarray = (
                         shortdf.pct_change(fill_method=cast(str, None))[
                             shortdf.pct_change(fill_method=cast(str, None)).to_numpy()
@@ -1060,7 +1062,7 @@ class OpenFrame(_CommonModel):
                     up_idx_return = (
                         upidxarray.prod() ** (1 / (len(upidxarray) / time_factor)) - 1
                     )
-                    ratios.append(up_return / up_idx_return)
+                    ratios.append(up_rtrn / up_idx_return)
                 elif ratio == "down":
                     downarray = (
                         longdf.pct_change(fill_method=cast(str, None))[
@@ -1095,9 +1097,7 @@ class OpenFrame(_CommonModel):
                         .add(1)
                         .to_numpy()
                     )
-                    up_return = (
-                        uparray.prod() ** (1 / (len(uparray) / time_factor)) - 1
-                    )
+                    up_rtrn = uparray.prod() ** (1 / (len(uparray) / time_factor)) - 1
                     upidxarray = (
                         shortdf.pct_change(fill_method=cast(str, None))[
                             shortdf.pct_change(fill_method=cast(str, None)).to_numpy()
@@ -1133,7 +1133,7 @@ class OpenFrame(_CommonModel):
                         - 1
                     )
                     ratios.append(
-                        (up_return / up_idx_return) / (down_return / down_idx_return),
+                        (up_rtrn / up_idx_return) / (down_return / down_idx_return),
                     )
 
         if ratio == "up":
@@ -1154,6 +1154,7 @@ class OpenFrame(_CommonModel):
         self: Self,
         asset: Union[tuple[str, ValueType], int],
         market: Union[tuple[str, ValueType], int],
+        dlta_degr_freedms: int = 1,
     ) -> float:
         """
         Market Beta.
@@ -1167,6 +1168,8 @@ class OpenFrame(_CommonModel):
             The column of the asset
         market: Union[tuple[str, ValueType], int]
             The column of the market against which Beta is measured
+        dlta_degr_freedms: int, default: 1
+            Variance bias factor taking the value 0 or 1.
 
         Returns
         -------
@@ -1224,7 +1227,7 @@ class OpenFrame(_CommonModel):
                     msg,
                 )
 
-        covariance = cov(y_value, x_value, ddof=1)
+        covariance = cov(y_value, x_value, ddof=dlta_degr_freedms)
         beta = covariance[0, 1] / covariance[1, 1]
 
         return float(beta)
@@ -1305,6 +1308,7 @@ class OpenFrame(_CommonModel):
         asset: Union[tuple[str, ValueType], int],
         market: Union[tuple[str, ValueType], int],
         riskfree_rate: float = 0.0,
+        dlta_degr_freedms: int = 1,
     ) -> float:
         """
         Jensen's alpha.
@@ -1324,6 +1328,8 @@ class OpenFrame(_CommonModel):
             The column of the market against which Jensen's alpha is measured
         riskfree_rate : float, default: 0.0
             The return of the zero volatility riskfree asset
+        dlta_degr_freedms: int, default: 1
+            Variance bias factor taking the value 0 or 1.
 
         Returns
         -------
@@ -1430,7 +1436,7 @@ class OpenFrame(_CommonModel):
                     msg,
                 )
 
-        covariance = cov(asset_log, market_log, ddof=1)
+        covariance = cov(asset_log, market_log, ddof=dlta_degr_freedms)
         beta = covariance[0, 1] / covariance[1, 1]
 
         return float(asset_cagr - riskfree_rate - beta * (market_cagr - riskfree_rate))
@@ -1609,6 +1615,7 @@ class OpenFrame(_CommonModel):
         asset_column: int = 0,
         market_column: int = 1,
         observations: int = 21,
+        dlta_degr_freedms: int = 1,
     ) -> DataFrame:
         """
         Calculate rolling Market Beta.
@@ -1624,6 +1631,8 @@ class OpenFrame(_CommonModel):
             Column of timeseries that is the market.
         observations: int, default: 21
             The length of the rolling window to use is set as number of observations.
+        dlta_degr_freedms: int, default: 1
+            Variance bias factor taking the value 0 or 1.
 
         Returns
         -------
@@ -1635,13 +1644,13 @@ class OpenFrame(_CommonModel):
         asset_label = cast(tuple[str, str], self.tsdf.iloc[:, asset_column].name)[0]
         beta_label = f"{asset_label} / {market_label}"
 
-        rolling = self.tsdf.copy()
+        rolling: DataFrame = self.tsdf.copy()
         rolling = rolling.pct_change(fill_method=cast(str, None)).rolling(
             observations,
             min_periods=observations,
         )
 
-        rcov = rolling.cov()
+        rcov = rolling.cov(ddof=dlta_degr_freedms)
         rcov = rcov.dropna()
 
         rollbetaseries = rcov.iloc[:, asset_column].xs(
@@ -1692,17 +1701,15 @@ class OpenFrame(_CommonModel):
             + "_VS_"
             + cast(tuple[str, str], self.tsdf.iloc[:, second_column].name)[0]
         )
-        corrseries = (
+        first_series = (
             self.tsdf.iloc[:, first_column]
             .pct_change(fill_method=cast(str, None))[1:]
             .rolling(observations, min_periods=observations)
-            .corr(
-                self.tsdf.iloc[:, second_column].pct_change(
-                    fill_method=cast(str, None),
-                )[1:],
-            )
         )
-        corrdf = corrseries.dropna().to_frame()
+        second_series = self.tsdf.iloc[:, second_column].pct_change(
+            fill_method=cast(str, None),
+        )[1:]
+        corrdf = first_series.corr(other=second_series).dropna().to_frame()
         corrdf.columns = MultiIndex.from_arrays(
             [
                 [corr_label],

{openseries-1.4.10 → openseries-1.4.12}/openseries/simulation.py

@@ -63,6 +63,12 @@ class ReturnSimulation(BaseModel):
         Mean annual standard deviation of the distribution
     dframe: pandas.DataFrame
         Pandas DataFrame object holding the resulting values
+    jumps_lamda: NonNegativeFloat, default: 0.0
+        This is the probability of a jump happening at each point in time
+    jumps_sigma: NonNegativeFloat, default: 0.0
+        This is the volatility of the jump size
+    jumps_mu: float, default: 0.0
+        This is the average jump size
     seed: int, optional
         Seed for random process initiation
     randomizer: numpy.random.Generator, optional
@@ -76,6 +82,9 @@ class ReturnSimulation(BaseModel):
     mean_annual_return: float
     mean_annual_vol: PositiveFloat
     dframe: DataFrame
+    jumps_lamda: NonNegativeFloat = 0.0
+    jumps_sigma: NonNegativeFloat = 0.0
+    jumps_mu: float = 0.0
     seed: Optional[int] = None
     randomizer: Optional[Generator] = None
 
@@ -387,6 +396,9 @@ class ReturnSimulation(BaseModel):
             trading_days_in_year=trading_days_in_year,
             mean_annual_return=mean_annual_return,
             mean_annual_vol=mean_annual_vol,
+            jumps_lamda=jumps_lamda,
+            jumps_sigma=jumps_sigma,
+            jumps_mu=jumps_mu,
             dframe=DataFrame(data=returns, dtype="float64"),
             seed=seed,
             randomizer=cls.randomizer,

{openseries-1.4.10 → openseries-1.4.12}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "openseries"
-version = "1.4.10"
+version = "1.4.12"
 description = "Package for analyzing financial timeseries."
 authors = ["Martin Karrin <martin.karrin@captor.se>"]
 repository = "https://github.com/CaptorAB/OpenSeries"
@@ -50,14 +50,14 @@ statsmodels = ">=0.14.0,<1.0.0"
 coverage = "^7.4.1"
 coverage-badge = "^1.1.0"
 mypy = "^1.8.0"
-pre-commit = "^3.6.0"
-pytest = "^8.0.0"
-ruff = "^0.1.14"
+pre-commit = "^3.6.1"
+pytest = "^8.0.1"
+ruff = "^0.2.2"
 toml = "^0.10.2"
-types-openpyxl = "^3.1.0.20240106"
+types-openpyxl = "^3.1.0.20240205"
 pandas-stubs = "^2.1.4.231227"
 types-python-dateutil = "^2.8.19.20240106"
-types-requests = "^2.31.0.20240125"
+types-requests = "^2.31.0.20240218"
 types-toml = "^0.10.8.7"
 
 [build-system]
@@ -105,15 +105,17 @@ init_typed = true
 warn_required_dynamic_aliases = true
 
 [tool.ruff]
+line-length = 87
+
+[tool.ruff.lint]
 select = ["ALL"]
 ignore = ["D211", "D212", "TCH"]
 fixable = ["ALL"]
-line-length = 87
 
-[tool.ruff.pylint]
+[tool.ruff.lint.pylint]
 max-args = 12
 max-branches = 22
 max-statements = 54
 
-[tool.ruff.pyupgrade]
+[tool.ruff.lint.pyupgrade]
 keep-runtime-typing = true