openseries 1.4.8__py3-none-any.whl → 1.4.10__py3-none-any.whl

openseries/frame.py

@@ -50,7 +50,6 @@ from openseries.types import (
     LiteralOlsFitCovType,
     LiteralOlsFitMethod,
     LiteralPandasReindexMethod,
-    LiteralPandasResampleConvention,
     LiteralPortfolioWeightings,
     LiteralRiskParityMethod,
     LiteralTrunc,
@@ -77,6 +76,7 @@ class OpenFrame(_CommonModel):
     -------
     OpenFrame
         Object of the class OpenFrame
+
     """
 
     constituents: list[OpenTimeSeries]
@@ -117,6 +117,7 @@ class OpenFrame(_CommonModel):
         -------
         OpenFrame
             Object of the class OpenFrame
+
         """
         super().__init__(  # type: ignore[call-arg]
             constituents=constituents,
@@ -145,6 +146,7 @@ class OpenFrame(_CommonModel):
         -------
         OpenFrame
             An OpenFrame object
+
         """
         return deepcopy(self)
 
@@ -164,6 +166,7 @@ class OpenFrame(_CommonModel):
         -------
         OpenFrame
             An OpenFrame object
+
         """
         self.tsdf = reduce(
             lambda left, right: merge(
@@ -204,6 +207,7 @@ class OpenFrame(_CommonModel):
         -------
         pandas.DataFrame
             Properties of the contituent OpenTimeSeries
+
         """
         if properties:
             props = OpenFramePropertiesList(*properties)
@@ -223,6 +227,7 @@ class OpenFrame(_CommonModel):
         -------
         Pandas.Series[int]
             Number of observations of all constituents
+
         """
         return Series(
             data=[int(self.tsdf.loc[:, d].count()) for d in self.tsdf],
@@ -240,6 +245,7 @@ class OpenFrame(_CommonModel):
         -------
         int
             Number of constituents
+
         """
         return len(self.constituents)
 
@@ -252,6 +258,7 @@ class OpenFrame(_CommonModel):
         -------
         list[str]
             Level 0 values of the MultiIndex columns in the .tsdf DataFrame
+
         """
         return list(self.tsdf.columns.get_level_values(0))
 
@@ -264,6 +271,7 @@ class OpenFrame(_CommonModel):
         -------
         list[ValueType]
             Level 1 values of the MultiIndex columns in the .tsdf DataFrame
+
         """
         return list(self.tsdf.columns.get_level_values(1))
 
@@ -276,6 +284,7 @@ class OpenFrame(_CommonModel):
         -------
         Pandas.Series[dt.date]
             The first dates in the timeseries of all constituents
+
         """
         return Series(
             data=[i.first_idx for i in self.constituents],
@@ -293,6 +302,7 @@ class OpenFrame(_CommonModel):
         -------
         Pandas.Series[dt.date]
             The last dates in the timeseries of all constituents
+
         """
         return Series(
             data=[i.last_idx for i in self.constituents],
@@ -311,6 +321,7 @@ class OpenFrame(_CommonModel):
         Pandas.Series[int]
             Number of days from the first date to the last for all
             items in the frame.
+
         """
         return Series(
             data=[c.span_of_days for c in self.constituents],
@@ -319,27 +330,6 @@ class OpenFrame(_CommonModel):
             dtype=Int64Dtype(),
         )
 
-    @property
-    def worst_month(self: Self) -> Series[float]:
-        """
-        Most negative month.
-
-        Returns
-        -------
-        Pandas.Series[float]
-            Most negative month
-        """
-        wdf = self.tsdf.copy()
-        wdf.index = DatetimeIndex(wdf.index)
-        return Series(
-            data=wdf.resample("BM")
-            .last()
-            .pct_change(fill_method=cast(str, None))
-            .min(),
-            name="Worst month",
-            dtype="float64",
-        )
-
     def value_to_ret(self: Self) -> Self:
         """
         Convert series of values into series of returns.
@@ -348,6 +338,7 @@ class OpenFrame(_CommonModel):
         -------
         OpenFrame
             The returns of the values in the series
+
         """
         self.tsdf = self.tsdf.pct_change(fill_method=cast(str, None))
         self.tsdf.iloc[0] = 0
@@ -370,6 +361,7 @@ class OpenFrame(_CommonModel):
         -------
         OpenFrame
             An OpenFrame object
+
         """
         self.tsdf = self.tsdf.diff(periods=periods)
         self.tsdf.iloc[0] = 0
@@ -386,6 +378,7 @@ class OpenFrame(_CommonModel):
         -------
         OpenFrame
             An OpenFrame object
+
         """
         if any(
             x == ValueType.PRICE
@@ -402,20 +395,21 @@ class OpenFrame(_CommonModel):
 
     def resample(
         self: Self,
-        freq: Union[LiteralBizDayFreq, str] = "BM",
+        freq: Union[LiteralBizDayFreq, str] = "BME",
     ) -> Self:
         """
         Resample the timeseries frequency.
 
         Parameters
         ----------
-        freq: Union[LiteralBizDayFreq, str], default "BM"
+        freq: Union[LiteralBizDayFreq, str], default "BME"
             The date offset string that sets the resampled frequency
 
         Returns
         -------
         OpenFrame
             An OpenFrame object
+
         """
         self.tsdf.index = DatetimeIndex(self.tsdf.index)
         self.tsdf = self.tsdf.resample(freq).last()
@@ -431,9 +425,8 @@ class OpenFrame(_CommonModel):
 
     def resample_to_business_period_ends(
         self: Self,
-        freq: LiteralBizDayFreq = "BM",
+        freq: LiteralBizDayFreq = "BME",
         countries: CountriesType = "SE",
-        convention: LiteralPandasResampleConvention = "end",
         method: LiteralPandasReindexMethod = "nearest",
     ) -> Self:
         """
@@ -443,13 +436,11 @@ class OpenFrame(_CommonModel):
 
         Parameters
         ----------
-        freq: LiteralBizDayFreq, default "BM"
+        freq: LiteralBizDayFreq, default "BME"
             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
             to create a business day calendar used for date adjustments
-        convention: LiteralPandasResampleConvention, default; end
-            Controls whether to use the start or end of `rule`.
         method: LiteralPandasReindexMethod, default: nearest
             Controls the method used to align values across columns
 
@@ -457,6 +448,7 @@ class OpenFrame(_CommonModel):
         -------
         OpenFrame
             An OpenFrame object
+
         """
         head = self.tsdf.loc[self.first_indices.max()].copy()
         tail = self.tsdf.loc[self.last_indices.min()].copy()
@@ -466,7 +458,6 @@ class OpenFrame(_CommonModel):
             tail=tail,
             freq=freq,
             countries=countries,
-            convention=convention,
         )
         self.tsdf = self.tsdf.reindex([deyt.date() for deyt in dates], method=method)
         for xerie in self.constituents:
@@ -521,6 +512,7 @@ class OpenFrame(_CommonModel):
         -------
         Pandas.DataFrame
             Series volatilities and correlation
+
         """
         earlier, later = self.calc_range(months_from_last, from_date, to_date)
         if periods_in_a_year_fixed is None:
@@ -611,6 +603,7 @@ class OpenFrame(_CommonModel):
         -------
         Pandas.DataFrame
             Correlation matrix
+
         """
         corr_matrix = self.tsdf.pct_change(fill_method=cast(str, None)).corr(
             method="pearson",
@@ -637,6 +630,7 @@ class OpenFrame(_CommonModel):
         -------
         OpenFrame
             An OpenFrame object
+
         """
         self.constituents += [new_series]
         self.tsdf = concat([self.tsdf, new_series.tsdf], axis="columns", sort=True)
@@ -655,6 +649,7 @@ class OpenFrame(_CommonModel):
         -------
         OpenFrame
             An OpenFrame object
+
         """
         if self.weights:
             new_c, new_w = [], []
@@ -694,6 +689,7 @@ class OpenFrame(_CommonModel):
         -------
         OpenFrame
             An OpenFrame object
+
         """
         if not start_cut and where in ["before", "both"]:
             start_cut = self.first_indices.max()
@@ -743,6 +739,7 @@ class OpenFrame(_CommonModel):
         base_zero: bool, default: True
             If set to False 1.0 is added to allow for a capital base and
             to allow a volatility calculation
+
         """
         rel_label = (
             cast(tuple[str, str], self.tsdf.iloc[:, long_column].name)[0]
@@ -795,6 +792,7 @@ class OpenFrame(_CommonModel):
         -------
         Pandas.Series[float]
             Tracking Errors
+
         """
         earlier, later = self.calc_range(months_from_last, from_date, to_date)
         fraction = (later - earlier).days / 365.25
@@ -888,6 +886,7 @@ class OpenFrame(_CommonModel):
         -------
         Pandas.Series[float]
             Information Ratios
+
         """
         earlier, later = self.calc_range(months_from_last, from_date, to_date)
         fraction = (later - earlier).days / 365.25
@@ -992,6 +991,7 @@ class OpenFrame(_CommonModel):
         -------
         Pandas.Series[float]
             Capture Ratios
+
         """
         loss_limit: float = 0.0
         earlier, later = self.calc_range(months_from_last, from_date, to_date)
@@ -1172,6 +1172,7 @@ class OpenFrame(_CommonModel):
         -------
         float
             Beta as Co-variance of x & y divided by Variance of x
+
         """
         if all(
             x_value == ValueType.RTRN
@@ -1261,6 +1262,7 @@ class OpenFrame(_CommonModel):
         -------
         OLSResults
             The Statsmodels regression output
+
         """
         if isinstance(y_column, tuple):
             y_value = self.tsdf.loc[:, y_column]
@@ -1327,6 +1329,7 @@ class OpenFrame(_CommonModel):
         -------
         float
             Jensen's alpha
+
         """
         full_year = 1.0
         if all(
@@ -1478,6 +1481,7 @@ class OpenFrame(_CommonModel):
         -------
         Pandas.DataFrame
             A basket timeseries
+
         """
         if self.weights is None and weight_strat is None:
             msg = (
@@ -1562,6 +1566,7 @@ class OpenFrame(_CommonModel):
         -------
         Pandas.DataFrame
             Rolling Information Ratios
+
         """
         long_label = cast(
             tuple[str, str],
@@ -1624,6 +1629,7 @@ class OpenFrame(_CommonModel):
         -------
         Pandas.DataFrame
             Rolling Betas
+
         """
         market_label = cast(tuple[str, str], self.tsdf.iloc[:, market_column].name)[0]
         asset_label = cast(tuple[str, str], self.tsdf.iloc[:, asset_column].name)[0]
@@ -1679,6 +1685,7 @@ class OpenFrame(_CommonModel):
         -------
         Pandas.DataFrame
             Rolling Correlations
+
         """
         corr_label = (
             cast(tuple[str, str], self.tsdf.iloc[:, first_column].name)[0]

openseries/load_plotly.py

@@ -23,6 +23,7 @@ def _check_remote_file_existence(url: str) -> bool:
     -------
     bool
         True if url is valid and False otherwise
+
     """
     ok_code = 200
 
@@ -51,6 +52,7 @@ def load_plotly_dict(
     -------
     tuple[PlotlyLayoutType, CaptorLogoType]
         A dictionary with the Plotly config and layout template
+
     """
     project_root = Path(__file__).resolve().parent.parent
     layoutfile = project_root.joinpath("openseries").joinpath("plotly_layouts.json")

openseries/series.py

@@ -41,7 +41,6 @@ from openseries.types import (
     DaysInYearType,
     LiteralBizDayFreq,
     LiteralPandasReindexMethod,
-    LiteralPandasResampleConvention,
     LiteralSeriesProps,
     OpenTimeSeriesPropertiesList,
     ValueListType,
@@ -89,6 +88,7 @@ class OpenTimeSeries(_CommonModel):
         ISO 6166 identifier code of the associated instrument
     label : str, optional
         Placeholder for a name of the timeseries
+
     """
 
     timeseries_id: DatabaseIdStringType
@@ -141,6 +141,7 @@ class OpenTimeSeries(_CommonModel):
             Currency code according to ISO 4217
         countries: CountriesType, default: "SE"
             (List of) country code(s) according to ISO 3166-1 alpha-2
+
         """
         _ = Currency(ccy=domestic_ccy)
         _ = Countries(countryinput=countries)
@@ -190,6 +191,7 @@ class OpenTimeSeries(_CommonModel):
         -------
         OpenTimeSeries
             An OpenTimeSeries object
+
         """
         return cls(
             name=name,
@@ -240,6 +242,7 @@ class OpenTimeSeries(_CommonModel):
         -------
         OpenTimeSeries
             An OpenTimeSeries object
+
         """
         if isinstance(dframe, Series):
             if isinstance(dframe.name, tuple):
@@ -334,6 +337,7 @@ class OpenTimeSeries(_CommonModel):
         -------
         OpenTimeSeries
             An OpenTimeSeries object
+
         """
         if not isinstance(d_range, DatetimeIndex) and all([days, end_dt]):
             d_range = DatetimeIndex(
@@ -381,6 +385,7 @@ class OpenTimeSeries(_CommonModel):
         -------
         OpenTimeSeries
             An OpenTimeSeries object
+
         """
         return deepcopy(self)
 
@@ -392,6 +397,7 @@ class OpenTimeSeries(_CommonModel):
         -------
         OpenTimeSeries
             An OpenTimeSeries object
+
         """
         dframe = DataFrame(
             data=self.values,
@@ -419,6 +425,7 @@ class OpenTimeSeries(_CommonModel):
         -------
         pandas.DataFrame
             Properties of the OpenTimeSeries
+
         """
         if not properties:
             properties = cast(
@@ -431,27 +438,6 @@ class OpenTimeSeries(_CommonModel):
         pdf.columns = self.tsdf.columns
         return pdf
 
-    @property
-    def worst_month(self: Self) -> float:
-        """
-        Most negative month.
-
-        Returns
-        -------
-        float
-            Most negative month
-        """
-        resdf = self.tsdf.copy()
-        resdf.index = DatetimeIndex(resdf.index)
-        return float(
-            (
-                resdf.resample("BM")
-                .last()
-                .pct_change(fill_method=cast(str, None))
-                .min()
-            ).iloc[0],
-        )
-
     def value_to_ret(self: Self) -> Self:
         """
         Convert series of values into series of returns.
@@ -460,6 +446,7 @@ class OpenTimeSeries(_CommonModel):
         -------
         OpenTimeSeries
             The returns of the values in the series
+
         """
         self.tsdf = self.tsdf.pct_change(fill_method=cast(str, None))
         self.tsdf.iloc[0] = 0
@@ -486,6 +473,7 @@ class OpenTimeSeries(_CommonModel):
         -------
         OpenTimeSeries
             An OpenTimeSeries object
+
         """
         self.tsdf = self.tsdf.diff(periods=periods)
         self.tsdf.iloc[0] = 0
@@ -506,6 +494,7 @@ class OpenTimeSeries(_CommonModel):
         -------
         OpenTimeSeries
             An OpenTimeSeries object
+
         """
         if not any(
             x == ValueType.RTRN
@@ -543,6 +532,7 @@ class OpenTimeSeries(_CommonModel):
         -------
         OpenTimeSeries
             An OpenTimeSeries object
+
         """
         arr = array(self.values) / divider
 
@@ -563,21 +553,21 @@ class OpenTimeSeries(_CommonModel):
 
     def resample(
         self: Self,
-        freq: Union[LiteralBizDayFreq, str] = "BM",
+        freq: Union[LiteralBizDayFreq, str] = "BME",
     ) -> Self:
         """
         Resamples the timeseries frequency.
 
         Parameters
         ----------
-        freq: Union[LiteralBizDayFreq, str], default "BM"
+        freq: Union[LiteralBizDayFreq, str], default "BME"
             The date offset string that sets the resampled frequency
-            Examples are "7D", "B", "M", "BM", "Q", "BQ", "A", "BA"
 
         Returns
         -------
         OpenTimeSeries
             An OpenTimeSeries object
+
         """
         self.tsdf.index = DatetimeIndex(self.tsdf.index)
         self.tsdf = self.tsdf.resample(freq).last()
@@ -586,8 +576,7 @@ class OpenTimeSeries(_CommonModel):
 
     def resample_to_business_period_ends(
         self: Self,
-        freq: LiteralBizDayFreq = "BM",
-        convention: LiteralPandasResampleConvention = "end",
+        freq: LiteralBizDayFreq = "BME",
         method: LiteralPandasReindexMethod = "nearest",
     ) -> Self:
         """
@@ -597,10 +586,8 @@ class OpenTimeSeries(_CommonModel):
 
         Parameters
         ----------
-        freq: LiteralBizDayFreq, default BM
+        freq: LiteralBizDayFreq, default BME
             The date offset string that sets the resampled frequency
-        convention: LiteralPandasResampleConvention, default; end
-            Controls whether to use the start or end of `rule`.
         method: LiteralPandasReindexMethod, default: nearest
             Controls the method used to align values across columns
 
@@ -608,6 +595,7 @@ class OpenTimeSeries(_CommonModel):
         -------
         OpenTimeSeries
             An OpenTimeSeries object
+
         """
         head = self.tsdf.iloc[0].copy()
         tail = self.tsdf.iloc[-1].copy()
@@ -617,7 +605,6 @@ class OpenTimeSeries(_CommonModel):
             tail=tail,
             freq=freq,
             countries=self.countries,
-            convention=convention,
         )
         self.tsdf = self.tsdf.reindex([deyt.date() for deyt in dates], method=method)
         return self
@@ -659,6 +646,7 @@ class OpenTimeSeries(_CommonModel):
         -------
         Pandas.Series[float]
             Series EWMA volatility
+
         """
         earlier, later = self.calc_range(months_from_last, from_date, to_date)
         if periods_in_a_year_fixed:
@@ -722,6 +710,7 @@ class OpenTimeSeries(_CommonModel):
         -------
         OpenTimeSeries
             An OpenTimeSeries object
+
         """
         values: list[float]
         if any(
@@ -787,6 +776,7 @@ class OpenTimeSeries(_CommonModel):
         -------
         OpenTimeSeries
             An OpenTimeSeries object
+
         """
         if lvl_zero is None and lvl_one is None:
             self.tsdf.columns = MultiIndex.from_arrays(
@@ -814,6 +804,8 @@ def timeseries_chain(
     """
     Chain two timeseries together.
 
+    The function assumes that the two series have at least one date in common.
+
     Parameters
     ----------
     front: TypeOpenTimeSeries
@@ -827,6 +819,7 @@ def timeseries_chain(
     -------
     Union[TypeOpenTimeSeries, OpenTimeSeries]
         An OpenTimeSeries object or a subclass thereof
+
     """
     old = front.from_deepcopy()
     old.running_adjustment(old_fee)
@@ -907,6 +900,7 @@ def _check_if_none(item: Any) -> bool:  # noqa: ANN401
     -------
     bool
         Answer to whether the variable is None or equivalent
+
     """
     try:
         return cast(bool, isnan(item))

openseries/simulation.py

@@ -37,6 +37,7 @@ def random_generator(seed: Optional[int]) -> Generator:
     -------
     numpy.random.Generator
         Numpy random process generator
+
     """
     ss = SeedSequence(entropy=seed)
     bg = PCG64(seed=cast(Optional[int], ss))
@@ -66,6 +67,7 @@ class ReturnSimulation(BaseModel):
         Seed for random process initiation
     randomizer: numpy.random.Generator, optional
         Random process generator
+
     """
 
     number_of_sims: PositiveInt
@@ -92,6 +94,7 @@ class ReturnSimulation(BaseModel):
         -------
         pandas.DataFrame
             Simulation data
+
         """
         return self.dframe.add(1.0).cumprod(axis="columns").T
 
@@ -104,6 +107,7 @@ class ReturnSimulation(BaseModel):
         -------
         float
             Annualized arithmetic mean of returns
+
         """
         return cast(
             float,
@@ -122,6 +126,7 @@ class ReturnSimulation(BaseModel):
         -------
         float
             Annualized volatility
+
         """
         return cast(
             float,
@@ -164,6 +169,7 @@ class ReturnSimulation(BaseModel):
         -------
         ReturnSimulation
             Normal distribution simulation
+
         """
         cls.randomizer = random_generator(seed=seed)
 
@@ -217,6 +223,7 @@ class ReturnSimulation(BaseModel):
         -------
         ReturnSimulation
             Lognormal distribution simulation
+
         """
         cls.randomizer = random_generator(seed=seed)
 
@@ -272,6 +279,7 @@ class ReturnSimulation(BaseModel):
         -------
         ReturnSimulation
             Geometric Brownian Motion simulation
+
         """
         cls.randomizer = random_generator(seed=seed)
 
@@ -340,6 +348,7 @@ class ReturnSimulation(BaseModel):
         -------
         ReturnSimulation
             Merton Jump-Diffusion model simulation
+
         """
         cls.randomizer = random_generator(seed=seed)
 
@@ -408,6 +417,7 @@ class ReturnSimulation(BaseModel):
         -------
         pandas.DataFrame
             Object based on the simulation(s)
+
         """
         d_range = generate_calendar_date_range(
             trading_days=self.trading_days,

openseries/types.py

@@ -122,8 +122,7 @@ LiteralLinePlotMode = Literal[
 ]
 LiteralHowMerge = Literal["outer", "inner"]
 LiteralQuantileInterp = Literal["linear", "lower", "higher", "midpoint", "nearest"]
-LiteralBizDayFreq = Literal["BM", "BQ", "BA"]
-LiteralPandasResampleConvention = Literal["start", "s", "end", "e"]
+LiteralBizDayFreq = Literal["B", "BME", "BQE", "BYE"]
 LiteralPandasReindexMethod = Literal[
     None,
     "pad",