openseries 1.5.1__tar.gz → 1.5.2__tar.gz
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- {openseries-1.5.1 → openseries-1.5.2}/PKG-INFO +25 -25
- {openseries-1.5.1 → openseries-1.5.2}/README.md +21 -21
- openseries-1.5.2/openseries/__init__.py +1 -0
- {openseries-1.5.1 → openseries-1.5.2}/openseries/_common_model.py +0 -1
- {openseries-1.5.1 → openseries-1.5.2}/openseries/datefixer.py +1 -1
- {openseries-1.5.1 → openseries-1.5.2}/openseries/simulation.py +0 -1
- {openseries-1.5.1 → openseries-1.5.2}/openseries/types.py +8 -5
- {openseries-1.5.1 → openseries-1.5.2}/pyproject.toml +11 -16
- openseries-1.5.1/openseries/__init__.py +0 -1
- {openseries-1.5.1 → openseries-1.5.2}/LICENSE.md +0 -0
- {openseries-1.5.1 → openseries-1.5.2}/openseries/_risk.py +0 -0
- {openseries-1.5.1 → openseries-1.5.2}/openseries/frame.py +0 -0
- {openseries-1.5.1 → openseries-1.5.2}/openseries/load_plotly.py +0 -0
- {openseries-1.5.1 → openseries-1.5.2}/openseries/plotly_captor_logo.json +0 -0
- {openseries-1.5.1 → openseries-1.5.2}/openseries/plotly_layouts.json +0 -0
- {openseries-1.5.1 → openseries-1.5.2}/openseries/series.py +0 -0
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Metadata-Version: 2.1
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Name: openseries
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Version: 1.5.
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Summary:
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Home-page: https://github.com/CaptorAB/
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Version: 1.5.2
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Summary: Tools for analyzing financial timeseries.
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Home-page: https://github.com/CaptorAB/openseries
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License: BSD-3-Clause
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Keywords: python,finance,fintech,data-science,timeseries,timeseries-data,timeseries-analysis,investment,investment-analysis,investing
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Author: Martin Karrin
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Requires-Dist: requests (>=2.20.0,<3.0.0)
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Requires-Dist: scipy (>=1.11.4,<2.0.0)
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Requires-Dist: statsmodels (>=0.14.0,<1.0.0)
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Project-URL: Repository, https://github.com/CaptorAB/
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Project-URL: Repository, https://github.com/CaptorAB/openseries
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Description-Content-Type: text/markdown
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<img src="https://sales.captor.se/captor_logo_sv_1600_icketransparent.png" alt="Captor
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<br><br>
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#
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# openseries
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[](https://pypi.org/project/openseries/)
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[](https://anaconda.org/conda-forge/openseries)
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[](https://anaconda.org/conda-forge/openseries)
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[](https://www.python.org/)
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[](https://github.com/CaptorAB/openseries/actions/workflows/test.yml)
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[](https://github.com/CaptorAB/openseries/actions/workflows/test.yml)
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[](https://github.com/CaptorAB/openseries/actions/workflows/check.yml)
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[](https://python-poetry.org/)
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[](https://beta.ruff.rs/docs/)
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[](https://opensource.org/licenses/BSD-3-Clause)
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`openseries` is a project with tools to analyse financial timeseries of a single
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asset or a group of assets. It is solely made for daily or less frequent data.
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<span style="font-size:2em;">[CHANGELOG](https://github.com/CaptorAB/
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<span style="font-size:2em;">[CHANGELOG](https://github.com/CaptorAB/openseries/blob/master/CHANGELOG.md)</span>
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## Basic Usage
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### Windows Powershell
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```powershell
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git clone https://github.com/CaptorAB/
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cd
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git clone https://github.com/CaptorAB/openseries.git
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cd openseries
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./make.ps1 make
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```
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### Mac Terminal/Linux
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```bash
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git clone https://github.com/CaptorAB/
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cd
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git clone https://github.com/CaptorAB/openseries.git
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cd openseries
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make
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source source_me
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make install
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are also used in the project's GitHub workflows and are run when the `lint`
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alternative is chosen in the below commands.
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Any silenced error codes can be found in the
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[pyproject.toml](https://github.com/CaptorAB/
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[pyproject.toml](https://github.com/CaptorAB/openseries/blob/master/pyproject.toml)
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file or in in-line comments.
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### Windows Powershell
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| File | Description |
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|:-----------------------------------------------------------------------------------------------------------------|:------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
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| [series.py](https://github.com/CaptorAB/
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| [frame.py](https://github.com/CaptorAB/
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| [simulation.py](https://github.com/CaptorAB/
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| [series.py](https://github.com/CaptorAB/openseries/blob/master/openseries/series.py) | Defines the class _OpenTimeSeries_ for managing and analyzing a single timeseries. The module also defines a function `timeseries_chain` that can be used to chain two timeseries objects together. |
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| [frame.py](https://github.com/CaptorAB/openseries/blob/master/openseries/frame.py) | Defines the class _OpenFrame_ for managing a group of timeseries, and e.g. calculate a portfolio timeseries from a rebalancing strategy between timeseries. The module also defines functions to simulate, optimize, and plot portfolios. |
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| [simulation.py](https://github.com/CaptorAB/openseries/blob/master/openseries/simulation.py) | Defines the class _ReturnSimulation_ to create simulated financial timeseries. Used in the project's test suite |
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### Class methods used to construct objects.
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| `from_fixed_rate` | `OpenTimeSeries` | Class method to create an OpenTimeSeries object from a fixed rate, number of days and an end date. |
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| `from_deepcopy` | `OpenTimeSeries`, `OpenFrame` | Creates a copy of an OpenTimeSeries object. |
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### Non-numerical or "helper" properties that apply only to the [OpenTimeSeries](https://github.com/CaptorAB/
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### Non-numerical or "helper" properties that apply only to the [OpenTimeSeries](https://github.com/CaptorAB/openseries/blob/master/openseries/series.py) class.
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| Property | type | Applies to | Description |
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| `countries` | `list` or `str` | `OpenTimeSeries` | (List of) country code(s) according to ISO 3166-1 alpha-2 used to generate business days. |
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| `valuetype` | `ValueType` | `OpenTimeSeries` | Field identifies the type of values in the series. ValueType is an Enum. |
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### Non-numerical or "helper" properties that apply only to the [OpenFrame](https://github.com/CaptorAB/
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### Non-numerical or "helper" properties that apply only to the [OpenFrame](https://github.com/CaptorAB/openseries/blob/master/openseries/frame.py) class.
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| Property | type | Applies to | Description |
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|:-------------------|:-----------------------|:------------|:-------------------------------------------------------------------------|
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| `lengths_of_items` | `pandas.Series` | `OpenFrame` | Number of items in each of the series in the OpenFrame. |
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| `span_of_days_all` | `pandas.Series` | `OpenFrame` | Number of days from the first to the last in each of the series. |
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### Non-numerical or "helper" properties that apply to both the [OpenTimeSeries](https://github.com/CaptorAB/
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### Non-numerical or "helper" properties that apply to both the [OpenTimeSeries](https://github.com/CaptorAB/openseries/blob/master/openseries/series.py) and the [OpenFrame](https://github.com/CaptorAB/openseries/blob/master/openseries/frame.py) class.
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| Property | type | Applies to | Description |
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| `periods_in_a_year` | `float` | `OpenTimeSeries`, `OpenFrame` | The number of observations in an average year for all days in the data. |
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| `yearfrac` | `float` | `OpenTimeSeries`, `OpenFrame` | Length of timeseries expressed as np.float64 fraction of a year with 365.25 days. |
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### Methods that apply only to the [OpenTimeSeries](https://github.com/CaptorAB/
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### Methods that apply only to the [OpenTimeSeries](https://github.com/CaptorAB/openseries/blob/master/openseries/series.py) class.
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| Method | Applies to | Description |
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| `from_1d_rate_to_cumret` | `OpenTimeSeries` | Converts a series of 1-day rates into a cumulative valueseries. |
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### Methods that apply only to the [OpenFrame](https://github.com/CaptorAB/
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### Methods that apply only to the [OpenFrame](https://github.com/CaptorAB/openseries/blob/master/openseries/frame.py) class.
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| Method | Applies to | Description |
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| `rolling_corr` | `OpenFrame` | Calculates and adds a series of rolling [correlations](https://www.investopedia.com/terms/c/correlation.asp) between two other series. |
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| `ewma_risk` | `OpenFrame` | Returns a `pandas.DataFrame` with volatility and correlation based on [Exponentially Weighted Moving Average](https://www.investopedia.com/articles/07/ewma.asp). |
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### Methods that apply to both the [OpenTimeSeries](https://github.com/CaptorAB/
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### Methods that apply to both the [OpenTimeSeries](https://github.com/CaptorAB/openseries/blob/master/openseries/series.py) and the [OpenFrame](https://github.com/CaptorAB/openseries/blob/master/openseries/frame.py) class.
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| `rolling_cvar_down` | `OpenTimeSeries`, `OpenFrame` | Returns a pandas.DataFrame with rolling CVaR figures. |
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| `calc_range` | `OpenTimeSeries`, `OpenFrame` | Returns the start and end dates of a range from specific period definitions. Used by the below numerical methods and not meant to be used independently. |
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### Numerical properties available for individual [OpenTimeSeries](https://github.com/CaptorAB/
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### Numerical properties available for individual [OpenTimeSeries](https://github.com/CaptorAB/openseries/blob/master/openseries/series.py) or on all series in an [OpenFrame](https://github.com/CaptorAB/openseries/blob/master/openseries/frame.py).
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# openseries
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[](https://github.com/CaptorAB/openseries/actions/workflows/test.yml)
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[](https://github.com/CaptorAB/openseries/actions/workflows/test.yml)
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[](https://github.com/CaptorAB/openseries/actions/workflows/check.yml)
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[](https://python-poetry.org/)
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[](https://beta.ruff.rs/docs/)
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[](https://opensource.org/licenses/BSD-3-Clause)
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<span style="font-size:2em;">[CHANGELOG](https://github.com/CaptorAB/openseries/blob/master/CHANGELOG.md)</span>
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## Basic Usage
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### Windows Powershell
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[pyproject.toml](https://github.com/CaptorAB/openseries/blob/master/pyproject.toml)
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### Windows Powershell
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| [series.py](https://github.com/CaptorAB/
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| [simulation.py](https://github.com/CaptorAB/
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| [series.py](https://github.com/CaptorAB/openseries/blob/master/openseries/series.py) | Defines the class _OpenTimeSeries_ for managing and analyzing a single timeseries. The module also defines a function `timeseries_chain` that can be used to chain two timeseries objects together. |
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| [frame.py](https://github.com/CaptorAB/openseries/blob/master/openseries/frame.py) | Defines the class _OpenFrame_ for managing a group of timeseries, and e.g. calculate a portfolio timeseries from a rebalancing strategy between timeseries. The module also defines functions to simulate, optimize, and plot portfolios. |
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| [simulation.py](https://github.com/CaptorAB/openseries/blob/master/openseries/simulation.py) | Defines the class _ReturnSimulation_ to create simulated financial timeseries. Used in the project's test suite |
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### Non-numerical or "helper" properties that apply only to the [OpenTimeSeries](https://github.com/CaptorAB/
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### Non-numerical or "helper" properties that apply only to the [OpenTimeSeries](https://github.com/CaptorAB/openseries/blob/master/openseries/series.py) class.
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| `countries` | `list` or `str` | `OpenTimeSeries` | (List of) country code(s) according to ISO 3166-1 alpha-2 used to generate business days. |
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### Non-numerical or "helper" properties that apply only to the [OpenFrame](https://github.com/CaptorAB/
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### Non-numerical or "helper" properties that apply only to the [OpenFrame](https://github.com/CaptorAB/openseries/blob/master/openseries/frame.py) class.
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| Property | type | Applies to | Description |
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|:-------------------|:-----------------------|:------------|:-------------------------------------------------------------------------|
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| `lengths_of_items` | `pandas.Series` | `OpenFrame` | Number of items in each of the series in the OpenFrame. |
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| `span_of_days_all` | `pandas.Series` | `OpenFrame` | Number of days from the first to the last in each of the series. |
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### Non-numerical or "helper" properties that apply to both the [OpenTimeSeries](https://github.com/CaptorAB/
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### Non-numerical or "helper" properties that apply to both the [OpenTimeSeries](https://github.com/CaptorAB/openseries/blob/master/openseries/series.py) and the [OpenFrame](https://github.com/CaptorAB/openseries/blob/master/openseries/frame.py) class.
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|:--------------------|:---------------------------------|:------------------------------|:----------------------------------------------------------------------------------|
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| `periods_in_a_year` | `float` | `OpenTimeSeries`, `OpenFrame` | The number of observations in an average year for all days in the data. |
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| `yearfrac` | `float` | `OpenTimeSeries`, `OpenFrame` | Length of timeseries expressed as np.float64 fraction of a year with 365.25 days. |
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### Methods that apply only to the [OpenTimeSeries](https://github.com/CaptorAB/
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### Methods that apply only to the [OpenTimeSeries](https://github.com/CaptorAB/openseries/blob/master/openseries/series.py) class.
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| Method | Applies to | Description |
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|:-------------------------|:-----------------|:-----------------------------------------------------------------------------------------------------------------------------------------------|
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| `from_1d_rate_to_cumret` | `OpenTimeSeries` | Converts a series of 1-day rates into a cumulative valueseries. |
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### Methods that apply only to the [OpenFrame](https://github.com/CaptorAB/
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### Methods that apply only to the [OpenFrame](https://github.com/CaptorAB/openseries/blob/master/openseries/frame.py) class.
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| Method | Applies to | Description |
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| `rolling_corr` | `OpenFrame` | Calculates and adds a series of rolling [correlations](https://www.investopedia.com/terms/c/correlation.asp) between two other series. |
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| `ewma_risk` | `OpenFrame` | Returns a `pandas.DataFrame` with volatility and correlation based on [Exponentially Weighted Moving Average](https://www.investopedia.com/articles/07/ewma.asp). |
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### Methods that apply to both the [OpenTimeSeries](https://github.com/CaptorAB/
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### Methods that apply to both the [OpenTimeSeries](https://github.com/CaptorAB/openseries/blob/master/openseries/series.py) and the [OpenFrame](https://github.com/CaptorAB/openseries/blob/master/openseries/frame.py) class.
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| `rolling_cvar_down` | `OpenTimeSeries`, `OpenFrame` | Returns a pandas.DataFrame with rolling CVaR figures. |
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| `calc_range` | `OpenTimeSeries`, `OpenFrame` | Returns the start and end dates of a range from specific period definitions. Used by the below numerical methods and not meant to be used independently. |
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### Numerical properties available for individual [OpenTimeSeries](https://github.com/CaptorAB/
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### Numerical properties available for individual [OpenTimeSeries](https://github.com/CaptorAB/openseries/blob/master/openseries/series.py) or on all series in an [OpenFrame](https://github.com/CaptorAB/openseries/blob/master/openseries/frame.py).
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@@ -0,0 +1 @@
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1
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"""openseries.openseries.__init__.py."""
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@@ -5,7 +5,7 @@ import datetime as dt
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from typing import Optional, Union, cast
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from dateutil.relativedelta import relativedelta
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from holidays import (
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+
from holidays import (
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country_holidays,
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list_supported_countries,
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)
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@@ -1,4 +1,5 @@
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1
1
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"""Declaring types used throughout the project."""
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from __future__ import annotations
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import datetime as dt
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from numpy import datetime64
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from pandas import Timestamp
|
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from pydantic import BaseModel, Field, StringConstraints, conlist, conset
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from typing_extensions import Self
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CountryStringType = Annotated[
|
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str,
|
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@@ -119,6 +121,7 @@ LiteralLinePlotMode = Literal[
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"markers+text",
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None,
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]
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LiteralHowMerge = Literal["outer", "inner"]
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LiteralQuantileInterp = Literal["linear", "lower", "higher", "midpoint", "nearest"]
|
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@@ -137,7 +140,7 @@ LiteralBarPlotMode = Literal["stack", "group", "overlay", "relative"]
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LiteralPlotlyOutput = Literal["file", "div"]
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LiteralPlotlyJSlib = Literal[True, False, "cdn"]
|
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LiteralOlsFitMethod = Literal["pinv", "qr"]
|
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140
|
-
LiteralPortfolioWeightings = Literal["eq_weights", "
|
|
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|
+
LiteralPortfolioWeightings = Literal["eq_weights", "inv_vol"]
|
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LiteralOlsFitCovType = Literal[
|
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"nonrobust",
|
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"fixed scale",
|
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@@ -238,14 +241,14 @@ class OpenTimeSeriesPropertiesList(list[str]):
|
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}
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def __init__(
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self:
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self: Self,
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*args: LiteralSeriesProps,
|
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) -> None:
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"""Property arguments for the OpenTimeSeries class."""
|
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super().__init__(args)
|
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self._validate()
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def _validate(self:
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def _validate(self: Self) -> None:
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for item in self:
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}
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def __init__(self:
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def __init__(self: Self, *args: LiteralFrameProps) -> None:
|
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"""Property arguments for the OpenFrame class."""
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def _validate(self:
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def _validate(self: Self) -> None:
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@@ -1,9 +1,9 @@
|
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1
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|
[tool.poetry]
|
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|
name = "openseries"
|
|
3
|
-
version = "1.5.
|
|
4
|
-
description = "
|
|
3
|
+
version = "1.5.2"
|
|
4
|
+
description = "Tools for analyzing financial timeseries."
|
|
5
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|
authors = ["Martin Karrin <martin.karrin@captor.se>"]
|
|
6
|
-
repository = "https://github.com/CaptorAB/
|
|
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|
+
repository = "https://github.com/CaptorAB/openseries"
|
|
7
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|
license = "BSD-3-Clause"
|
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|
readme = "README.md"
|
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|
classifiers = [
|
|
@@ -53,25 +53,18 @@ mypy = "^1.9.0"
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pandas-stubs = "^2.2.1.240316"
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pre-commit = "^3.7.0"
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pytest = "^8.1.1"
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ruff = "^0.3.
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types-openpyxl = "^3.1.0.
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ruff = "^0.3.7"
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types-openpyxl = "^3.1.0.20240408"
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types-python-dateutil = "^2.9.0.20240316"
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types-requests = "^2.31.0.
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types-requests = "^2.31.0.20240406"
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[build-system]
|
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requires = ["poetry-core>=1.8.2"]
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build-backend = "poetry.core.masonry.api"
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|
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|
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[tool.setuptools_scm]
|
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|
|
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|
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[poetry.virtualenvs]
|
|
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|
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create = true
|
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|
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in-project = true
|
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|
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path = "venv"
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|
|
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|
[tool.pytest.ini_options]
|
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|
filterwarnings = [
|
|
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|
-
"ignore::
|
|
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|
+
"ignore::DeprecationWarning:openpyxl.*:"
|
|
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68
|
]
|
|
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|
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|
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|
[tool.coverage.run]
|
|
@@ -83,15 +76,17 @@ skip_empty = true
|
|
|
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|
fail_under = 99
|
|
84
77
|
|
|
85
78
|
[tool.mypy]
|
|
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|
+
exclude = ["venv/*"]
|
|
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80
|
strict = true
|
|
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|
-
|
|
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|
+
pretty = true
|
|
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|
+
warn_unreachable = false
|
|
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|
warn_redundant_casts = true
|
|
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84
|
warn_unused_ignores = true
|
|
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|
disallow_any_generics = true
|
|
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|
check_untyped_defs = true
|
|
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|
no_implicit_reexport = true
|
|
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|
disallow_untyped_defs = true
|
|
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|
-
|
|
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|
+
follow_imports = "normal"
|
|
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|
plugins = [
|
|
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|
"pydantic.mypy",
|
|
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|
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|
|
@@ -1 +0,0 @@
|
|
|
1
|
-
"""OpenSeries.openseries.__init__.py."""
|
|
File without changes
|
|
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|
|
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|
|
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|
|
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|
|
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|
|
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|