openseries 1.6.0__py3-none-any.whl → 1.7.1__py3-none-any.whl

openseries/_risk.py

@@ -3,7 +3,7 @@
 from __future__ import annotations
 
 from math import ceil
-from typing import Union, cast
+from typing import TYPE_CHECKING, cast
 
 from numpy import (
     mean,
@@ -13,21 +13,21 @@ from numpy import (
 )
 from pandas import DataFrame, Series
 
-from openseries.types import LiteralQuantileInterp
+if TYPE_CHECKING:
+    from .types import LiteralQuantileInterp  # pragma: no cover
 
 
 def _cvar_down_calc(
-    data: Union[DataFrame, Series[float], list[float]],
+    data: DataFrame | Series[float] | list[float],
     level: float = 0.95,
 ) -> float:
-    """
-    Calculate downside Conditional Value at Risk (CVaR).
+    """Calculate downside Conditional Value at Risk (CVaR).
 
     https://www.investopedia.com/terms/c/conditional_value_at_risk.asp.
 
     Parameters
     ----------
-    data: Union[DataFrame, Series[float], list[float]]
+    data: DataFrame | Series[float] | list[float]
         The data to perform the calculation over
     level: float, default: 0.95
         The sought CVaR level
@@ -48,19 +48,18 @@ def _cvar_down_calc(
 
 
 def _var_down_calc(
-    data: Union[DataFrame, Series[float], list[float]],
+    data: DataFrame | Series[float] | list[float],
     level: float = 0.95,
     interpolation: LiteralQuantileInterp = "lower",
 ) -> float:
-    """
-    Calculate downside Value At Risk (VaR).
+    """Calculate downside Value At Risk (VaR).
 
     The equivalent of percentile.inc([...], 1-level) over returns in MS Excel
     https://www.investopedia.com/terms/v/var.asp.
 
     Parameters
     ----------
-    data: Union[DataFrame, Series[float], list[float]]
+    data: DataFrame | Series[float] | list[float]
         The data to perform the calculation over
     level: float, default: 0.95
         The sought VaR level

openseries/datefixer.py

@@ -3,7 +3,7 @@
 from __future__ import annotations
 
 import datetime as dt
-from typing import Optional, Union, cast
+from typing import TYPE_CHECKING, cast
 
 from dateutil.relativedelta import relativedelta
 from holidays import (
@@ -15,25 +15,23 @@ from pandas import (
     DataFrame,
     DatetimeIndex,
     Index,
-    Series,
     Timestamp,
     concat,
     date_range,
 )
 from pandas.tseries.offsets import CustomBusinessDay
-from pydantic import PositiveInt
 
-from openseries.types import (
-    CountriesType,
-    DateType,
-    HolidayType,
-    LiteralBizDayFreq,
-)
+if TYPE_CHECKING:
+    from .types import (  # pragma: no cover
+        CountriesType,
+        DateType,
+        HolidayType,
+        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",
@@ -45,10 +43,9 @@ def holiday_calendar(
     startyear: int,
     endyear: int,
     countries: CountriesType = "SE",
-    custom_holidays: Optional[HolidayType] = None,
+    custom_holidays: HolidayType | None = None,
 ) -> busdaycalendar:
-    """
-    Generate a business calendar.
+    """Generate a business calendar.
 
     Parameters
     ----------
@@ -83,7 +80,7 @@ def holiday_calendar(
         country in list_supported_countries() for country in countries
     ):
         country: str
-        countryholidays: list[Union[dt.date, str]] = []
+        countryholidays: list[dt.date | str] = []
         for i, country in enumerate(countries):
             staging = country_holidays(country=country, years=years)
             if i == 0 and custom_holidays is not None:
@@ -105,8 +102,7 @@ def holiday_calendar(
 def date_fix(
     fixerdate: DateType,
 ) -> dt.date:
-    """
-    Parse different date formats into datetime.date.
+    """Parse different date formats into datetime.date.
 
     Parameters
     ----------
@@ -125,9 +121,7 @@ def date_fix(
         return fixerdate
     if isinstance(fixerdate, datetime64):
         return (
-            dt.datetime.strptime(str(fixerdate)[:10], "%Y-%m-%d")
-            .astimezone()
-            .date()
+            dt.datetime.strptime(str(fixerdate)[:10], "%Y-%m-%d").astimezone().date()
         )
     if isinstance(fixerdate, str):
         return dt.datetime.strptime(fixerdate, "%Y-%m-%d").astimezone().date()
@@ -141,13 +135,12 @@ def date_offset_foll(
     raw_date: DateType,
     months_offset: int = 12,
     countries: CountriesType = "SE",
-    custom_holidays: Optional[HolidayType] = None,
+    custom_holidays: HolidayType | None = None,
     *,
     adjust: bool = False,
     following: bool = True,
 ) -> dt.date:
-    """
-    Offset dates according to a given calendar.
+    """Offset dates according to a given calendar.
 
     Parameters
     ----------
@@ -194,12 +187,11 @@ def date_offset_foll(
 
 
 def get_previous_business_day_before_today(
-    today: Optional[dt.date] = None,
+    today: dt.date | None = None,
     countries: CountriesType = "SE",
-    custom_holidays: Optional[HolidayType] = None,
+    custom_holidays: HolidayType | None = None,
 ) -> dt.date:
-    """
-    Bump date backwards to find the previous business day.
+    """Bump date backwards to find the previous business day.
 
     Parameters
     ----------
@@ -234,10 +226,9 @@ def offset_business_days(
     ddate: dt.date,
     days: int,
     countries: CountriesType = "SE",
-    custom_holidays: Optional[HolidayType] = None,
+    custom_holidays: HolidayType | None = None,
 ) -> dt.date:
-    """
-    Bump date by business days.
+    """Bump date by business days.
 
     It first adjusts to a valid business day and then bumps with given
     number of business days from there.
@@ -313,18 +304,17 @@ def offset_business_days(
 
 
 def generate_calendar_date_range(
-    trading_days: PositiveInt,
-    start: Optional[dt.date] = None,
-    end: Optional[dt.date] = None,
+    trading_days: int,
+    start: dt.date | None = None,
+    end: dt.date | None = None,
     countries: CountriesType = "SE",
 ) -> list[dt.date]:
-    """
-    Generate a list of business day calendar dates.
+    """Generate a list of business day calendar dates.
 
     Parameters
     ----------
-    trading_days: PositiveInt
-        Number of days to generate
+    trading_days: int
+        Number of days to generate. Must be greater than zero
     start: datetime.date, optional
         Date when the range starts
     end: datetime.date, optional
@@ -338,6 +328,10 @@ def generate_calendar_date_range(
         List of business day calendar dates
 
     """
+    if trading_days < 1:
+        msg = "Argument trading_days must be greater than zero."
+        raise ValueError(msg)
+
     if start and not end:
         tmp_range = date_range(
             start=start,
@@ -383,15 +377,13 @@ def generate_calendar_date_range(
     )
 
 
-def do_resample_to_business_period_ends(
+# noinspection PyUnusedLocal
+def _do_resample_to_business_period_ends(
     data: DataFrame,
-    head: Series[float],
-    tail: Series[float],
     freq: LiteralBizDayFreq,
     countries: CountriesType,
 ) -> DatetimeIndex:
-    """
-    Resample timeseries frequency to business calendar month end dates.
+    """Resample timeseries frequency to business calendar month end dates.
 
     Stubs left in place. Stubs will be aligned to the shortest stub.
 
@@ -399,10 +391,6 @@ def do_resample_to_business_period_ends(
     ----------
     data: pandas.DataFrame
         The timeseries data
-    head: pandas:Series[float]
-        Data point at maximum first date of all series
-    tail: pandas:Series[float]
-        Data point at minimum last date of all series
     freq: LiteralBizDayFreq
         The date offset string that sets the resampled frequency
     countries: CountriesType
@@ -415,25 +403,16 @@ def do_resample_to_business_period_ends(
         A date range aligned to business period ends
 
     """
-    newhead = head.to_frame().T
-    newtail = tail.to_frame().T
-    data.index = DatetimeIndex(data.index)
-    data = data.resample(rule=freq).last()
-    data = data.drop(index=data.index[-1])
-    data.index = Index(d.date() for d in DatetimeIndex(data.index))
-
-    if newhead.index[0] not in data.index:
-        # noinspection PyUnreachableCode
-        data = concat([data, newhead])
-
-    if newtail.index[0] not in data.index:
-        # noinspection PyUnreachableCode
-        data = concat([data, newtail])
+    copydata = data.copy()
+    copydata.index = DatetimeIndex(copydata.index)
+    copydata = copydata.resample(rule=freq).last()
+    copydata = copydata.drop(index=copydata.index[-1])
+    copydata.index = Index(d.date() for d in DatetimeIndex(copydata.index))
 
-    data = data.sort_index()
+    copydata = concat([data.head(n=1), copydata, data.tail(n=1)]).sort_index()
 
     dates = DatetimeIndex(
-        [data.index[0]]
+        [copydata.index[0]]
         + [
             date_offset_foll(
                 dt.date(d.year, d.month, 1)
@@ -444,8 +423,8 @@ def do_resample_to_business_period_ends(
                 adjust=True,
                 following=False,
             )
-            for d in data.index[1:-1]
+            for d in copydata.index[1:-1]
         ]
-        + [data.index[-1]],
+        + [copydata.index[-1]],
     )
     return dates.drop_duplicates()