openseries 1.5.2__tar.gz → 1.5.3__tar.gz

{openseries-1.5.2 → openseries-1.5.3}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: openseries
-Version: 1.5.2
+Version: 1.5.3
 Summary: Tools for analyzing financial timeseries.
 Home-page: https://github.com/CaptorAB/openseries
 License: BSD-3-Clause
@@ -25,7 +25,7 @@ Requires-Dist: numpy (>=1.23.2,<=2.0.0)
 Requires-Dist: openpyxl (>=3.1.2,<4.0.0)
 Requires-Dist: pandas (>=2.1.2,<3.0.0)
 Requires-Dist: plotly (>=5.18.0,<6.0.0)
-Requires-Dist: pyarrow (>=14.0.2,<16.0.0)
+Requires-Dist: pyarrow (>=14.0.2,<17.0.0)
 Requires-Dist: pydantic (>=2.5.2,<3.0.0)
 Requires-Dist: python-dateutil (>=2.8.2,<3.0.0)
 Requires-Dist: requests (>=2.20.0,<3.0.0)
@@ -289,6 +289,7 @@ make lint
 | `rolling_info_ratio`    | `OpenFrame` | Returns a pandas.DataFrame with the rolling [information ratio](https://www.investopedia.com/terms/i/informationratio.asp) between two series.                                     |
 | `rolling_beta`          | `OpenFrame` | Returns a pandas.DataFrame with the rolling [Beta](https://www.investopedia.com/terms/b/beta.asp) of an asset relative a market.                                                   |
 | `rolling_corr`          | `OpenFrame` | Calculates and adds a series of rolling [correlations](https://www.investopedia.com/terms/c/correlation.asp) between two other series.                                             |
+| `correl_matrix`         | `OpenFrame` | Returns a `pandas.DataFrame` with a correlation matrix.                                                                                                                            |
 | `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).                  |
 
 ### 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.
@@ -339,7 +340,6 @@ make lint
 | `skew`                  | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Skew](https://www.investopedia.com/terms/s/skewness.asp) of the return distribution.                                                                                                                                   |
 | `kurtosis`              | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Kurtosis](https://www.investopedia.com/terms/k/kurtosis.asp) of the return distribution.                                                                                                                               |
 | `z_score`               | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Z-score](https://www.investopedia.com/terms/z/zscore.asp) as (last return - mean return) / standard deviation of returns.                                                                                              |
-| `correl_matrix`         | `pandas.DataFrame`       | `OpenFrame`                   | A correlation matrix.                                                                                                                                                                                                   |
 
 ### Methods below are identical to the Numerical Properties above.
 

{openseries-1.5.2 → openseries-1.5.3}/README.md

@@ -253,6 +253,7 @@ make lint
 | `rolling_info_ratio`    | `OpenFrame` | Returns a pandas.DataFrame with the rolling [information ratio](https://www.investopedia.com/terms/i/informationratio.asp) between two series.                                     |
 | `rolling_beta`          | `OpenFrame` | Returns a pandas.DataFrame with the rolling [Beta](https://www.investopedia.com/terms/b/beta.asp) of an asset relative a market.                                                   |
 | `rolling_corr`          | `OpenFrame` | Calculates and adds a series of rolling [correlations](https://www.investopedia.com/terms/c/correlation.asp) between two other series.                                             |
+| `correl_matrix`         | `OpenFrame` | Returns a `pandas.DataFrame` with a correlation matrix.                                                                                                                            |
 | `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).                  |
 
 ### 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.
@@ -303,7 +304,6 @@ make lint
 | `skew`                  | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Skew](https://www.investopedia.com/terms/s/skewness.asp) of the return distribution.                                                                                                                                   |
 | `kurtosis`              | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Kurtosis](https://www.investopedia.com/terms/k/kurtosis.asp) of the return distribution.                                                                                                                               |
 | `z_score`               | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Z-score](https://www.investopedia.com/terms/z/zscore.asp) as (last return - mean return) / standard deviation of returns.                                                                                              |
-| `correl_matrix`         | `pandas.DataFrame`       | `OpenFrame`                   | A correlation matrix.                                                                                                                                                                                                   |
 
 ### Methods below are identical to the Numerical Properties above.
 

{openseries-1.5.2 → openseries-1.5.3}/openseries/_common_model.py

@@ -1,4 +1,5 @@
 """Defining the _CommonModel class."""
+
 from __future__ import annotations
 
 import datetime as dt

{openseries-1.5.2 → openseries-1.5.3}/openseries/_risk.py

@@ -1,4 +1,5 @@
 """Various risk related functions."""
+
 from __future__ import annotations
 
 from math import ceil

{openseries-1.5.2 → openseries-1.5.3}/openseries/datefixer.py

@@ -1,4 +1,5 @@
 """Date related utilities."""
+
 from __future__ import annotations
 
 import datetime as dt

{openseries-1.5.2 → openseries-1.5.3}/openseries/frame.py

@@ -1934,8 +1934,9 @@ def efficient_frontier(  # noqa: C901
     limit_small = 0.0001
     line_df = line_df.mask(line_df.abs() < limit_small, 0.0)
     line_df["text"] = line_df.apply(
-        lambda c: "<br>".join(
-            [f"{c[nm]:.1%} - {nm}" for nm in eframe.columns_lvl_zero],
+        lambda c: "<br><br>Weights:<br>"
+        + "<br>".join(
+            [f"{c[nm]:.1%}  {nm}" for nm in eframe.columns_lvl_zero],
         ),
         axis="columns",
     )
@@ -2038,9 +2039,9 @@ def prepare_plot_data(
         The data prepared with mean returns, volatility and weights
 
     """
-    txt = "<br>".join(
+    txt = "<br><br>Weights:<br>" + "<br>".join(
         [
-            f"{wgt:.1%} - {nm}"
+            f"{wgt:.1%}  {nm}"
             for wgt, nm in zip(
                 cast(list[float], assets.weights),
                 assets.columns_lvl_zero,
@@ -2048,12 +2049,10 @@ def prepare_plot_data(
         ],
     )
 
-    opt_text = "<br>".join(
-        [
-            f"{wgt:.1%} - {nm}"
-            for wgt, nm in zip(optimized[3:], assets.columns_lvl_zero)
-        ],
-    )
+    opt_text_list = [
+        f"{wgt:.1%}  {nm}" for wgt, nm in zip(optimized[3:], assets.columns_lvl_zero)
+    ]
+    opt_text = "<br><br>Weights:<br>" + "<br>".join(opt_text_list)
     vol: Series[float] = assets.vol
     plotframe = DataFrame(
         data=[
@@ -2166,7 +2165,10 @@ def sharpeplot(  # noqa: C901
             x=line_frame.loc[:, "stdev"],
             y=line_frame.loc[:, "ret"],
             text=line_frame.loc[:, "text"],
-            hovertemplate="%{text}<br>Return %{y}<br>Vol %{x}",
+            xhoverformat=".2%",
+            yhoverformat=".2%",
+            hovertemplate="Return %{y}<br>Vol %{x}%{text}",
+            hoverlabel_align="right",
             line={"width": 2.5, "dash": "solid"},
             mode="lines",
             name="Efficient frontier",
@@ -2182,11 +2184,12 @@ def sharpeplot(  # noqa: C901
             risk.extend([point_frame.loc["stdev", col]])
             figure.add_scatter(
                 x=[point_frame.loc["stdev", col]],
-                xhoverformat=".2%",
                 y=[point_frame.loc["ret", col]],
+                xhoverformat=".2%",
                 yhoverformat=".2%",
                 hovertext=[point_frame.loc["text", col]],
-                hoverinfo="x+y+text+name",
+                hovertemplate=("Return %{y}<br>Vol %{x}%{hovertext}"),
+                hoverlabel_align="right",
                 marker={"size": 20, "color": clr},
                 mode=point_frame_mode,
                 name=col,

{openseries-1.5.2 → openseries-1.5.3}/openseries/load_plotly.py

@@ -1,4 +1,5 @@
 """Function to load plotly layout and configuration from local json file."""
+
 from __future__ import annotations
 
 from json import load

{openseries-1.5.2 → openseries-1.5.3}/openseries/series.py

@@ -1,4 +1,5 @@
 """Defining the OpenTimeSeries class."""
+
 from __future__ import annotations
 
 import datetime as dt

{openseries-1.5.2 → openseries-1.5.3}/openseries/simulation.py

@@ -1,4 +1,5 @@
 """Defining the ReturnSimulation class."""
+
 from __future__ import annotations
 
 import datetime as dt
@@ -76,8 +77,6 @@ class ReturnSimulation(BaseModel):
         This is the average jump size
     seed: int, optional
         Seed for random process initiation
-    randomizer: numpy.random.Generator, optional
-        Random process generator
 
     """
 
@@ -91,7 +90,6 @@ class ReturnSimulation(BaseModel):
     jumps_sigma: NonNegativeFloat = 0.0
     jumps_mu: float = 0.0
     seed: Optional[int] = None
-    randomizer: Optional[Generator] = None
 
     model_config = ConfigDict(
         arbitrary_types_allowed=True,
@@ -159,6 +157,7 @@ class ReturnSimulation(BaseModel):
         trading_days: PositiveInt,
         seed: int,
         trading_days_in_year: DaysInYearType = 252,
+        randomizer: Optional[Generator] = None,
     ) -> ReturnSimulation:
         """
         Create a Normal distribution simulation.
@@ -178,6 +177,8 @@ class ReturnSimulation(BaseModel):
         trading_days_in_year: DaysInYearType,
             default: 252
             Number of trading days used to annualize
+        randomizer: numpy.random.Generator, optional
+            Random process generator
 
         Returns
         -------
@@ -185,9 +186,10 @@ class ReturnSimulation(BaseModel):
             Normal distribution simulation
 
         """
-        cls.randomizer = random_generator(seed=seed)
+        if not randomizer:
+            randomizer = random_generator(seed=seed)
 
-        returns = cls.randomizer.normal(
+        returns = randomizer.normal(
             loc=mean_annual_return / trading_days_in_year,
             scale=mean_annual_vol / sqrt(trading_days_in_year),
             size=(number_of_sims, trading_days),
@@ -201,7 +203,6 @@ class ReturnSimulation(BaseModel):
             mean_annual_vol=mean_annual_vol,
             dframe=DataFrame(data=returns, dtype="float64"),
             seed=seed,
-            randomizer=cls.randomizer,
         )
 
     @classmethod
@@ -213,6 +214,7 @@ class ReturnSimulation(BaseModel):
         trading_days: PositiveInt,
         seed: int,
         trading_days_in_year: DaysInYearType = 252,
+        randomizer: Optional[Generator] = None,
     ) -> ReturnSimulation:
         """
         Create a Lognormal distribution simulation.
@@ -232,6 +234,8 @@ class ReturnSimulation(BaseModel):
         trading_days_in_year: DaysInYearType,
             default: 252
             Number of trading days used to annualize
+        randomizer: numpy.random.Generator, optional
+            Random process generator
 
         Returns
         -------
@@ -239,10 +243,11 @@ class ReturnSimulation(BaseModel):
             Lognormal distribution simulation
 
         """
-        cls.randomizer = random_generator(seed=seed)
+        if not randomizer:
+            randomizer = random_generator(seed=seed)
 
         returns = (
-            cls.randomizer.lognormal(
+            randomizer.lognormal(
                 mean=mean_annual_return / trading_days_in_year,
                 sigma=mean_annual_vol / sqrt(trading_days_in_year),
                 size=(number_of_sims, trading_days),
@@ -258,7 +263,6 @@ class ReturnSimulation(BaseModel):
             mean_annual_vol=mean_annual_vol,
             dframe=DataFrame(data=returns, dtype="float64"),
             seed=seed,
-            randomizer=cls.randomizer,
         )
 
     @classmethod
@@ -270,6 +274,7 @@ class ReturnSimulation(BaseModel):
         trading_days: PositiveInt,
         seed: int,
         trading_days_in_year: DaysInYearType = 252,
+        randomizer: Optional[Generator] = None,
     ) -> ReturnSimulation:
         """
         Create a Geometric Brownian Motion simulation.
@@ -288,6 +293,8 @@ class ReturnSimulation(BaseModel):
             Seed for random process initiation
         trading_days_in_year: DaysInYearType, default: 252
             Number of trading days used to annualize
+        randomizer: numpy.random.Generator, optional
+            Random process generator
 
         Returns
         -------
@@ -295,14 +302,15 @@ class ReturnSimulation(BaseModel):
             Geometric Brownian Motion simulation
 
         """
-        cls.randomizer = random_generator(seed=seed)
+        if not randomizer:
+            randomizer = random_generator(seed=seed)
 
         drift = (mean_annual_return - 0.5 * mean_annual_vol**2.0) * (
             1.0 / trading_days_in_year
         )
 
         normal_mean = 0.0
-        wiener = cls.randomizer.normal(
+        wiener = randomizer.normal(
             loc=normal_mean,
             scale=sqrt(1.0 / trading_days_in_year) * mean_annual_vol,
             size=(number_of_sims, trading_days),
@@ -318,7 +326,6 @@ class ReturnSimulation(BaseModel):
             mean_annual_vol=mean_annual_vol,
             dframe=DataFrame(data=returns, dtype="float64"),
             seed=seed,
-            randomizer=cls.randomizer,
         )
 
     @classmethod
@@ -333,6 +340,7 @@ class ReturnSimulation(BaseModel):
         jumps_sigma: NonNegativeFloat = 0.0,
         jumps_mu: float = 0.0,
         trading_days_in_year: DaysInYearType = 252,
+        randomizer: Optional[Generator] = None,
     ) -> ReturnSimulation:
         """
         Create a Merton Jump-Diffusion model simulation.
@@ -357,6 +365,8 @@ class ReturnSimulation(BaseModel):
             This is the average jump size
         trading_days_in_year: DaysInYearType, default: 252
             Number of trading days used to annualize
+        randomizer: numpy.random.Generator, optional
+            Random process generator
 
         Returns
         -------
@@ -364,21 +374,22 @@ class ReturnSimulation(BaseModel):
             Merton Jump-Diffusion model simulation
 
         """
-        cls.randomizer = random_generator(seed=seed)
+        if not randomizer:
+            randomizer = random_generator(seed=seed)
 
         normal_mean = 0.0
-        wiener = cls.randomizer.normal(
+        wiener = randomizer.normal(
             loc=normal_mean,
             scale=sqrt(1.0 / trading_days_in_year) * mean_annual_vol,
             size=(number_of_sims, trading_days),
         )
 
         poisson_jumps = multiply(
-            cls.randomizer.poisson(
+            randomizer.poisson(
                 lam=jumps_lamda * (1.0 / trading_days_in_year),
                 size=(number_of_sims, trading_days),
             ),
-            cls.randomizer.normal(
+            randomizer.normal(
                 loc=jumps_mu,
                 scale=jumps_sigma,
                 size=(number_of_sims, trading_days),
@@ -406,7 +417,6 @@ class ReturnSimulation(BaseModel):
             jumps_mu=jumps_mu,
             dframe=DataFrame(data=returns, dtype="float64"),
             seed=seed,
-            randomizer=cls.randomizer,
         )
 
     def to_dataframe(

{openseries-1.5.2 → openseries-1.5.3}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "openseries"
-version = "1.5.2"
+version = "1.5.3"
 description = "Tools for analyzing financial timeseries."
 authors = ["Martin Karrin <martin.karrin@captor.se>"]
 repository = "https://github.com/CaptorAB/openseries"
@@ -39,7 +39,7 @@ numpy = ">=1.23.2,<=2.0.0"
 openpyxl = ">=3.1.2,<4.0.0"
 pandas = ">=2.1.2,<3.0.0"
 plotly = ">=5.18.0,<6.0.0"
-pyarrow = ">=14.0.2,<16.0.0"
+pyarrow = ">=14.0.2,<17.0.0"
 pydantic = ">=2.5.2,<3.0.0"
 python-dateutil = ">=2.8.2,<3.0.0"
 requests = ">=2.20.0,<3.0.0"
@@ -47,14 +47,14 @@ scipy = ">=1.11.4,<2.0.0"
 statsmodels = ">=0.14.0,<1.0.0"
 
 [tool.poetry.group.dev.dependencies]
-coverage = "^7.4.4"
-coverage-badge = "^1.1.0"
-mypy = "^1.9.0"
+coverage = "^7.5.0"
+coverage-badge = "^1.1.1"
+mypy = "^1.10.0"
 pandas-stubs = "^2.2.1.240316"
 pre-commit = "^3.7.0"
-pytest = "^8.1.1"
-ruff = "^0.3.7"
-types-openpyxl = "^3.1.0.20240408"
+pytest = "^8.2.0"
+ruff = "^0.4.2"
+types-openpyxl = "^3.1.0.20240428"
 types-python-dateutil = "^2.9.0.20240316"
 types-requests = "^2.31.0.20240406"