openseries 1.5.6__py3-none-any.whl → 1.6.0__py3-none-any.whl

openseries/__init__.py

@@ -1 +1,44 @@
 """openseries.openseries.__init__.py."""
+
+from .datefixer import (
+    date_fix,
+    date_offset_foll,
+    do_resample_to_business_period_ends,
+    generate_calendar_date_range,
+    get_previous_business_day_before_today,
+    holiday_calendar,
+    offset_business_days,
+)
+from .frame import OpenFrame
+from .load_plotly import load_plotly_dict
+from .portfoliotools import (
+    constrain_optimized_portfolios,
+    efficient_frontier,
+    prepare_plot_data,
+    sharpeplot,
+    simulate_portfolios,
+)
+from .series import OpenTimeSeries, timeseries_chain
+from .simulation import ReturnSimulation
+from .types import ValueType
+
+__all__ = [
+    "OpenFrame",
+    "constrain_optimized_portfolios",
+    "efficient_frontier",
+    "prepare_plot_data",
+    "sharpeplot",
+    "simulate_portfolios",
+    "date_fix",
+    "date_offset_foll",
+    "do_resample_to_business_period_ends",
+    "generate_calendar_date_range",
+    "get_previous_business_day_before_today",
+    "holiday_calendar",
+    "offset_business_days",
+    "load_plotly_dict",
+    "OpenTimeSeries",
+    "timeseries_chain",
+    "ReturnSimulation",
+    "ValueType",
+]

openseries/_common_model.py

@@ -9,9 +9,10 @@ from math import ceil
 from pathlib import Path
 from secrets import choice
 from string import ascii_letters
-from typing import Any, Optional, Union, cast
+from typing import Any, Optional, SupportsFloat, Union, cast
 
 from numpy import float64, inf, isnan, log, maximum, sqrt
+from numpy.typing import NDArray
 from openpyxl.utils.dataframe import dataframe_to_rows
 from openpyxl.workbook.workbook import Workbook
 from openpyxl.worksheet.worksheet import Worksheet
@@ -1132,7 +1133,7 @@ class _CommonModel(BaseModel):
         )
 
         if self.tsdf.shape[1] == 1:
-            return float(result.iloc[0])
+            return float(cast(SupportsFloat, result.iloc[0]))
         return Series(
             data=result,
             index=self.tsdf.columns,
@@ -1361,7 +1362,7 @@ class _CommonModel(BaseModel):
             label = f"Imp vol from VaR {level:.0%}"
 
         if self.tsdf.shape[1] == 1:
-            return float(result.iloc[0])
+            return float(cast(SupportsFloat, result.iloc[0]))
         return Series(
             data=result,
             index=self.tsdf.columns,
@@ -1593,7 +1594,7 @@ class _CommonModel(BaseModel):
             from_dt=from_date,
             to_dt=to_date,
         )
-        result = skew(
+        result: NDArray[float64] = skew(
             a=self.tsdf.loc[cast(int, earlier) : cast(int, later)]
             .pct_change(fill_method=cast(str, None))
             .to_numpy(),
@@ -1642,7 +1643,7 @@ class _CommonModel(BaseModel):
             from_dt=from_date,
             to_dt=to_date,
         )
-        result = kurtosis(
+        result: NDArray[float64] = kurtosis(
             self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change(
                 fill_method=cast(str, None),
             ),

openseries/_risk.py

@@ -6,19 +6,11 @@ from math import ceil
 from typing import Union, cast
 
 from numpy import (
-    divide,
-    float64,
-    isinf,
     mean,
-    nan,
     nan_to_num,
     quantile,
     sort,
-    sqrt,
-    square,
-    std,
 )
-from numpy.typing import NDArray
 from pandas import DataFrame, Series
 
 from openseries.types import LiteralQuantileInterp
@@ -87,56 +79,3 @@ def _var_down_calc(
         clean = nan_to_num(data)
     ret = clean[1:] / clean[:-1] - 1
     return cast(float, quantile(ret, 1 - level, method=interpolation))
-
-
-def _ewma_calc(
-    reeturn: float,
-    prev_ewma: float,
-    time_factor: float,
-    lmbda: float = 0.94,
-) -> float:
-    """
-    Calculate Exponentially Weighted Moving Average volatility.
-
-    Parameters
-    ----------
-    reeturn : float
-        Return value
-    prev_ewma : float
-        Previous EWMA volatility value
-    time_factor : float
-        Scaling factor to annualize
-    lmbda: float, default: 0.94
-        Scaling factor to determine weighting.
-
-    Returns
-    -------
-    float
-        EWMA volatility value
-
-    """
-    return cast(
-        float,
-        sqrt(square(reeturn) * time_factor * (1 - lmbda) + square(prev_ewma) * lmbda),
-    )
-
-
-def _calc_inv_vol_weights(returns: DataFrame) -> NDArray[float64]:
-    """
-    Calculate weights proportional to inverse volatility.
-
-    Parameters
-    ----------
-    returns: pandas.DataFrame
-        returns data
-
-    Returns
-    -------
-    NDArray[float64]
-        Calculated weights
-
-    """
-    vol = divide(1.0, std(returns, axis=0, ddof=1))
-    vol[isinf(vol)] = nan
-    volsum = vol.sum()
-    return cast(NDArray[float64], divide(vol, volsum))

openseries/datefixer.py

@@ -30,6 +30,16 @@ from openseries.types import (
     LiteralBizDayFreq,
 )
 
+__all__ = [
+    "date_fix",
+    "date_offset_foll",
+    "do_resample_to_business_period_ends",
+    "generate_calendar_date_range",
+    "get_previous_business_day_before_today",
+    "holiday_calendar",
+    "offset_business_days",
+]
+
 
 def holiday_calendar(
     startyear: int,
@@ -62,7 +72,7 @@ def holiday_calendar(
     endyear += 1
     if startyear == endyear:
         endyear += 1
-    years = list(range(int(startyear), int(endyear)))
+    years = list(range(startyear, endyear))
 
     if isinstance(countries, str) and countries in list_supported_countries():
         staging = country_holidays(country=countries, years=years)
@@ -116,15 +126,11 @@ def date_fix(
     if isinstance(fixerdate, datetime64):
         return (
             dt.datetime.strptime(str(fixerdate)[:10], "%Y-%m-%d")
-            .replace(tzinfo=dt.timezone.utc)
+            .astimezone()
             .date()
         )
     if isinstance(fixerdate, str):
-        return (
-            dt.datetime.strptime(fixerdate, "%Y-%m-%d")
-            .replace(tzinfo=dt.timezone.utc)
-            .date()
-        )
+        return dt.datetime.strptime(fixerdate, "%Y-%m-%d").astimezone().date()
     msg = f"Unknown date format {fixerdate!s} of type {type(fixerdate)!s} encountered"
     raise TypeError(
         msg,
@@ -212,7 +218,7 @@ def get_previous_business_day_before_today(
 
     """
     if today is None:
-        today = dt.datetime.now(tz=dt.timezone.utc).date()
+        today = dt.datetime.now().astimezone().date()
 
     return date_offset_foll(
         today - dt.timedelta(days=1),
@@ -241,8 +247,8 @@ def offset_business_days(
     ddate: datetime.date
         A starting date that does not have to be a business day
     days: int
-        The number of business days to offset from the business day that is
-        the closest preceding the day given
+        The number of business days to offset from the business day that is given
+        If days is set as anything other than an integer its value is set to zero
     countries: CountriesType, default: "SE"
         (List of) country code(s) according to ISO 3166-1 alpha-2
     custom_holidays: HolidayType, optional
@@ -255,6 +261,11 @@ def offset_business_days(
         The new offset business day
 
     """
+    try:
+        days = int(days)
+    except TypeError:
+        days = 0
+
     if days <= 0:
         scaledtoyeardays = int((days * 372 / 250) // 1) - 365
         ndate = ddate + dt.timedelta(days=scaledtoyeardays)