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

openseries/load_plotly.py

@@ -5,18 +5,19 @@ from __future__ import annotations
 from json import load
 from logging import warning
 from pathlib import Path
+from typing import TYPE_CHECKING
 
 import requests
 from requests.exceptions import ConnectionError
 
-from openseries.types import CaptorLogoType, PlotlyLayoutType
+if TYPE_CHECKING:
+    from .types import CaptorLogoType, PlotlyLayoutType  # pragma: no cover
 
 __all__ = ["load_plotly_dict"]
 
 
 def _check_remote_file_existence(url: str) -> bool:
-    """
-    Check if remote file exists.
+    """Check if remote file exists.
 
     Parameters
     ----------
@@ -44,8 +45,7 @@ def load_plotly_dict(
     *,
     responsive: bool = True,
 ) -> tuple[PlotlyLayoutType, CaptorLogoType]:
-    """
-    Load Plotly defaults.
+    """Load Plotly defaults.
 
     Parameters
     ----------
@@ -58,13 +58,13 @@ def load_plotly_dict(
         A dictionary with the Plotly config and layout template
 
     """
-    project_root = Path(__file__).resolve().parent.parent
+    project_root = Path(__file__).parent.parent
     layoutfile = project_root.joinpath("openseries").joinpath("plotly_layouts.json")
     logofile = project_root.joinpath("openseries").joinpath("plotly_captor_logo.json")
 
-    with Path.open(layoutfile, mode="r", encoding="utf-8") as layout_file:
+    with layoutfile.open(mode="r", encoding="utf-8") as layout_file:
         fig = load(layout_file)
-    with Path.open(logofile, mode="r", encoding="utf-8") as logo_file:
+    with logofile.open(mode="r", encoding="utf-8") as logo_file:
         logo = load(logo_file)
 
     if _check_remote_file_existence(url=logo["source"]) is False:

openseries/portfoliotools.py

@@ -5,7 +5,7 @@ from __future__ import annotations
 
 from inspect import stack
 from pathlib import Path
-from typing import Callable, Optional, Union, cast
+from typing import TYPE_CHECKING, Callable, cast
 
 from numpy import (
     append,
@@ -13,6 +13,7 @@ from numpy import (
     dot,
     float64,
     inf,
+    isnan,
     linspace,
     nan,
     sqrt,
@@ -30,15 +31,14 @@ from pandas import (
 from plotly.graph_objs import Figure  # type: ignore[import-untyped,unused-ignore]
 from plotly.io import to_html  # type: ignore[import-untyped,unused-ignore]
 from plotly.offline import plot  # type: ignore[import-untyped,unused-ignore]
-from pydantic import DirectoryPath
 from scipy.optimize import minimize  # type: ignore[import-untyped,unused-ignore]
 
+from .load_plotly import load_plotly_dict
+from .series import OpenTimeSeries
+
 # noinspection PyProtectedMember
-from openseries.frame import OpenFrame
-from openseries.load_plotly import load_plotly_dict
-from openseries.series import OpenTimeSeries
-from openseries.simulation import _random_generator
-from openseries.types import (
+from .simulation import _random_generator
+from .types import (
     LiteralLinePlotMode,
     LiteralMinimizeMethods,
     LiteralPlotlyJSlib,
@@ -46,6 +46,11 @@ from openseries.types import (
     ValueType,
 )
 
+if TYPE_CHECKING:  # pragma: no cover
+    from pydantic import DirectoryPath
+
+    from .frame import OpenFrame
+
 __all__ = [
     "constrain_optimized_portfolios",
     "efficient_frontier",
@@ -60,8 +65,7 @@ def simulate_portfolios(
     num_ports: int,
     seed: int,
 ) -> DataFrame:
-    """
-    Generate random weights for simulated portfolios.
+    """Generate random weights for simulated portfolios.
 
     Parameters
     ----------
@@ -130,14 +134,13 @@ def efficient_frontier(  # noqa: C901
     eframe: OpenFrame,
     num_ports: int = 5000,
     seed: int = 71,
-    bounds: Optional[tuple[tuple[float]]] = None,
+    bounds: tuple[tuple[float]] | None = None,
     frontier_points: int = 200,
     minimize_method: LiteralMinimizeMethods = "SLSQP",
     *,
     tweak: bool = True,
 ) -> tuple[DataFrame, DataFrame, NDArray[float64]]:
-    """
-    Identify an efficient frontier.
+    """Identify an efficient frontier.
 
     Parameters
     ----------
@@ -180,10 +183,11 @@ def efficient_frontier(  # noqa: C901
     simulated = simulate_portfolios(simframe=copi, num_ports=num_ports, seed=seed)
 
     frontier_min = simulated.loc[simulated["stdev"].idxmin()]["ret"]
-    arithmetic_mean = log_ret.mean() * copi.periods_in_a_year
-    frontier_max = 0.0
-    if isinstance(arithmetic_mean, Series):
-        frontier_max = arithmetic_mean.max()
+
+    arithmetic_means = array(log_ret.mean() * copi.periods_in_a_year)
+    cleaned_arithmetic_means = arithmetic_means[~isnan(arithmetic_means)]
+
+    frontier_max = cleaned_arithmetic_means.max()
 
     def _check_sum(weights: NDArray[float64]) -> float64:
         return cast(float64, npsum(weights) - 1)
@@ -258,7 +262,7 @@ def efficient_frontier(  # noqa: C901
 
     for possible_return in frontier_y:
         cons = cast(
-            dict[str, Union[str, Callable[[float, NDArray[float64]], float64]]],
+            dict[str, str | Callable[[float, NDArray[float64]], float64]],
             (
                 {"type": "eq", "fun": _check_sum},
                 {
@@ -284,7 +288,6 @@ def efficient_frontier(  # noqa: C901
         frontier_x.append(result["fun"])
         frontier_weights.append(result["x"])
 
-    # noinspection PyUnreachableCode
     line_df = concat(
         [
             DataFrame(data=frontier_weights, columns=eframe.columns_lvl_zero),
@@ -319,11 +322,10 @@ def constrain_optimized_portfolios(
     portfolioname: str = "Current Portfolio",
     simulations: int = 10000,
     curve_points: int = 200,
-    bounds: Optional[tuple[tuple[float]]] = None,
+    bounds: tuple[tuple[float]] | None = None,
     minimize_method: LiteralMinimizeMethods = "SLSQP",
 ) -> tuple[OpenFrame, OpenTimeSeries, OpenFrame, OpenTimeSeries]:
-    """
-    Constrain optimized portfolios to those that improve on the current one.
+    """Constrain optimized portfolios to those that improve on the current one.
 
     Parameters
     ----------
@@ -391,8 +393,7 @@ def prepare_plot_data(
     current: OpenTimeSeries,
     optimized: NDArray[float64],
 ) -> DataFrame:
-    """
-    Prepare date to be used as point_frame in the sharpeplot function.
+    """Prepare date to be used as point_frame in the sharpeplot function.
 
     Parameters
     ----------
@@ -443,13 +444,13 @@ def prepare_plot_data(
 
 
 def sharpeplot(  # noqa: C901
-    sim_frame: Optional[DataFrame] = None,
-    line_frame: Optional[DataFrame] = None,
-    point_frame: Optional[DataFrame] = None,
+    sim_frame: DataFrame | None = None,
+    line_frame: DataFrame | None = None,
+    point_frame: DataFrame | None = None,
     point_frame_mode: LiteralLinePlotMode = "markers",
-    filename: Optional[str] = None,
-    directory: Optional[DirectoryPath] = None,
-    titletext: Optional[str] = None,
+    filename: str | None = None,
+    directory: DirectoryPath | None = None,
+    titletext: str | None = None,
     output_type: LiteralPlotlyOutput = "file",
     include_plotlyjs: LiteralPlotlyJSlib = "cdn",
     *,
@@ -457,8 +458,7 @@ def sharpeplot(  # noqa: C901
     add_logo: bool = True,
     auto_open: bool = True,
 ) -> tuple[Figure, str]:
-    """
-    Create scatter plot coloured by Sharpe Ratio.
+    """Create scatter plot coloured by Sharpe Ratio.
 
     Parameters
     ----------
@@ -510,6 +510,10 @@ def sharpeplot(  # noqa: C901
     fig, logo = load_plotly_dict()
     figure = Figure(fig)
 
+    if sim_frame is None and line_frame is None and point_frame is None:
+        msg = "One of sim_frame, line_frame or point_frame must be provided."
+        raise ValueError(msg)
+
     if sim_frame is not None:
         returns.extend(list(sim_frame.loc[:, "ret"]))
         risk.extend(list(sim_frame.loc[:, "stdev"]))
@@ -544,11 +548,11 @@ def sharpeplot(  # noqa: C901
             name="Efficient frontier",
         )
 
-    colorway = fig["layout"].get("colorway")[  # type: ignore[union-attr]
-        : len(cast(DataFrame, point_frame).columns)
-    ]
-
     if point_frame is not None:
+        colorway = cast(
+            dict[str, str | int | float | bool | list[str]],
+            fig["layout"],
+        ).get("colorway")[: len(point_frame.columns)]
         for col, clr in zip(point_frame.columns, colorway):
             returns.extend([point_frame.loc["ret", col]])
             risk.extend([point_frame.loc["stdev", col]])

openseries/series.py

@@ -5,7 +5,7 @@ from __future__ import annotations
 import datetime as dt
 from copy import deepcopy
 from logging import warning
-from typing import Any, Optional, TypeVar, Union, cast
+from typing import Any, TypeVar, cast
 
 from numpy import (
     append,
@@ -25,12 +25,12 @@ from pandas import (
     Series,
     date_range,
 )
-from pydantic import model_validator
+from pydantic import field_validator, model_validator
 from typing_extensions import Self
 
-from openseries._common_model import _CommonModel
-from openseries.datefixer import date_fix, do_resample_to_business_period_ends
-from openseries.types import (
+from ._common_model import _CommonModel
+from .datefixer import _do_resample_to_business_period_ends, date_fix
+from .types import (
     Countries,
     CountriesType,
     Currency,
@@ -53,9 +53,7 @@ TypeOpenTimeSeries = TypeVar("TypeOpenTimeSeries", bound="OpenTimeSeries")
 
 # noinspection PyUnresolvedReferences
 class OpenTimeSeries(_CommonModel):
-
-    """
-    OpenTimeSeries objects are at the core of the openseries package.
+    """OpenTimeSeries objects are at the core of the openseries package.
 
     The intended use is to allow analyses of financial timeseries.
     It is only intended for daily or less frequent data samples.
@@ -104,8 +102,22 @@ class OpenTimeSeries(_CommonModel):
     currency: CurrencyStringType
     domestic: CurrencyStringType = "SEK"
     countries: CountriesType = "SE"
-    isin: Optional[str] = None
-    label: Optional[str] = None
+    isin: str | None = None
+    label: str | None = None
+
+    @field_validator("domestic", mode="before")
+    @classmethod
+    def validate_domestic(cls, value: CurrencyStringType) -> CurrencyStringType:
+        """Pydantic validator to ensure domestic field is validated."""
+        _ = Currency(ccy=value)
+        return value
+
+    @field_validator("countries", mode="before")
+    @classmethod
+    def validate_countries(cls, value: CountriesType) -> CountriesType:
+        """Pydantic validator to ensure countries field is validated."""
+        _ = Countries(countryinput=value)
+        return value
 
     @model_validator(mode="after")  # type: ignore[misc,unused-ignore]
     def dates_and_values_validate(self: Self) -> Self:
@@ -128,29 +140,6 @@ class OpenTimeSeries(_CommonModel):
             raise ValueError(msg)
         return self
 
-    @classmethod
-    def setup_class(
-        cls: type[OpenTimeSeries],
-        domestic_ccy: CurrencyStringType = "SEK",
-        countries: CountriesType = "SE",
-    ) -> None:
-        """
-        Set the domestic currency and calendar of the user.
-
-        Parameters
-        ----------
-        domestic_ccy : CurrencyStringType, default: "SEK"
-            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)
-
-        cls.domestic = domestic_ccy
-        cls.countries = countries
-
     @classmethod
     def from_arrays(
         cls: type[OpenTimeSeries],
@@ -160,13 +149,12 @@ class OpenTimeSeries(_CommonModel):
         valuetype: ValueType = ValueType.PRICE,
         timeseries_id: DatabaseIdStringType = "",
         instrument_id: DatabaseIdStringType = "",
-        isin: Optional[str] = None,
+        isin: str | None = None,
         baseccy: CurrencyStringType = "SEK",
         *,
         local_ccy: bool = True,
     ) -> OpenTimeSeries:
-        """
-        Create series from a Pandas DataFrame or Series.
+        """Create series from a Pandas DataFrame or Series.
 
         Parameters
         ----------
@@ -217,19 +205,18 @@ class OpenTimeSeries(_CommonModel):
     @classmethod
     def from_df(
         cls: type[OpenTimeSeries],
-        dframe: Union[DataFrame, Series[float]],
+        dframe: DataFrame | Series[float],
         column_nmbr: int = 0,
         valuetype: ValueType = ValueType.PRICE,
         baseccy: CurrencyStringType = "SEK",
         *,
         local_ccy: bool = True,
     ) -> OpenTimeSeries:
-        """
-        Create series from a Pandas DataFrame or Series.
+        """Create series from a Pandas DataFrame or Series.
 
         Parameters
         ----------
-        dframe: Union[DataFrame, Series[float]]
+        dframe: DataFrame | Series[float]
             Pandas DataFrame or Series
         column_nmbr : int, default: 0
             Using iloc[:, column_nmbr] to pick column
@@ -252,8 +239,8 @@ class OpenTimeSeries(_CommonModel):
             else:
                 label = dframe.name
             values = dframe.to_numpy().tolist()
-        else:
-            values = cast(DataFrame, dframe).iloc[:, column_nmbr].tolist()
+        elif isinstance(dframe, DataFrame):
+            values = dframe.iloc[:, column_nmbr].to_list()
             if isinstance(dframe.columns, MultiIndex):
                 if _check_if_none(
                     dframe.columns.get_level_values(0).to_numpy()[column_nmbr],
@@ -275,6 +262,10 @@ class OpenTimeSeries(_CommonModel):
                     ]
             else:
                 label = cast(MultiIndex, dframe.columns).to_numpy()[column_nmbr]
+        else:
+            msg = "Argument dframe must be pandas Series or DataFrame."
+            raise TypeError(msg)
+
         dates = [date_fix(d).strftime("%Y-%m-%d") for d in dframe.index]
 
         return cls(
@@ -299,17 +290,16 @@ class OpenTimeSeries(_CommonModel):
     def from_fixed_rate(
         cls: type[OpenTimeSeries],
         rate: float,
-        d_range: Optional[DatetimeIndex] = None,
-        days: Optional[int] = None,
-        end_dt: Optional[dt.date] = None,
+        d_range: DatetimeIndex | None = None,
+        days: int | None = None,
+        end_dt: dt.date | None = None,
         label: str = "Series",
         valuetype: ValueType = ValueType.PRICE,
         baseccy: CurrencyStringType = "SEK",
         *,
         local_ccy: bool = True,
     ) -> OpenTimeSeries:
-        """
-        Create series from values accruing with a given fixed rate return.
+        """Create series from values accruing with a given fixed rate return.
 
         Providing a date_range of type Pandas DatetimeIndex takes priority over
         providing a combination of days and an end date.
@@ -380,8 +370,7 @@ class OpenTimeSeries(_CommonModel):
         )
 
     def from_deepcopy(self: Self) -> Self:
-        """
-        Create copy of OpenTimeSeries object.
+        """Create copy of OpenTimeSeries object.
 
         Returns
         -------
@@ -392,8 +381,7 @@ class OpenTimeSeries(_CommonModel):
         return deepcopy(self)
 
     def pandas_df(self: Self) -> Self:
-        """
-        Populate .tsdf Pandas DataFrame from the .dates and .values lists.
+        """Populate .tsdf Pandas DataFrame from the .dates and .values lists.
 
         Returns
         -------
@@ -413,10 +401,9 @@ class OpenTimeSeries(_CommonModel):
 
     def all_properties(
         self: Self,
-        properties: Optional[list[LiteralSeriesProps]] = None,
+        properties: list[LiteralSeriesProps] | None = None,
     ) -> DataFrame:
-        """
-        Calculate chosen properties.
+        """Calculate chosen properties.
 
         Parameters
         ----------
@@ -441,8 +428,7 @@ class OpenTimeSeries(_CommonModel):
         return pdf
 
     def value_to_ret(self: Self) -> Self:
-        """
-        Convert series of values into series of returns.
+        """Convert series of values into series of returns.
 
         Returns
         -------
@@ -450,7 +436,7 @@ class OpenTimeSeries(_CommonModel):
             The returns of the values in the series
 
         """
-        self.tsdf = self.tsdf.pct_change(fill_method=cast(str, None))
+        self.tsdf = self.tsdf.pct_change(fill_method=None)  # type: ignore[arg-type]
         self.tsdf.iloc[0] = 0
         self.valuetype = ValueType.RTRN
         self.tsdf.columns = MultiIndex.from_arrays(
@@ -462,8 +448,7 @@ class OpenTimeSeries(_CommonModel):
         return self
 
     def value_to_diff(self: Self, periods: int = 1) -> Self:
-        """
-        Convert series of values to series of their period differences.
+        """Convert series of values to series of their period differences.
 
         Parameters
         ----------
@@ -489,8 +474,7 @@ class OpenTimeSeries(_CommonModel):
         return self
 
     def to_cumret(self: Self) -> Self:
-        """
-        Convert series of returns into cumulative series of values.
+        """Convert series of returns into cumulative series of values.
 
         Returns
         -------
@@ -520,8 +504,7 @@ class OpenTimeSeries(_CommonModel):
         days_in_year: int = 365,
         divider: float = 1.0,
     ) -> Self:
-        """
-        Convert series of 1-day rates into series of cumulative values.
+        """Convert series of 1-day rates into series of cumulative values.
 
         Parameters
         ----------
@@ -555,14 +538,13 @@ class OpenTimeSeries(_CommonModel):
 
     def resample(
         self: Self,
-        freq: Union[LiteralBizDayFreq, str] = "BME",
+        freq: LiteralBizDayFreq | str = "BME",
     ) -> Self:
-        """
-        Resamples the timeseries frequency.
+        """Resamples the timeseries frequency.
 
         Parameters
         ----------
-        freq: Union[LiteralBizDayFreq, str], default "BME"
+        freq: LiteralBizDayFreq | str, default "BME"
             The date offset string that sets the resampled frequency
 
         Returns
@@ -581,8 +563,7 @@ class OpenTimeSeries(_CommonModel):
         freq: LiteralBizDayFreq = "BME",
         method: LiteralPandasReindexMethod = "nearest",
     ) -> Self:
-        """
-        Resamples timeseries frequency to the business calendar month end dates.
+        """Resamples timeseries frequency to the business calendar month end dates.
 
         Stubs left in place. Stubs will be aligned to the shortest stub.
 
@@ -599,12 +580,8 @@ class OpenTimeSeries(_CommonModel):
             An OpenTimeSeries object
 
         """
-        head = self.tsdf.iloc[0].copy()
-        tail = self.tsdf.iloc[-1].copy()
-        dates = do_resample_to_business_period_ends(
+        dates = _do_resample_to_business_period_ends(
             data=self.tsdf,
-            head=head,
-            tail=tail,
             freq=freq,
             countries=self.countries,
         )
@@ -616,13 +593,12 @@ class OpenTimeSeries(_CommonModel):
         lmbda: float = 0.94,
         day_chunk: int = 11,
         dlta_degr_freedms: int = 0,
-        months_from_last: Optional[int] = None,
-        from_date: Optional[dt.date] = None,
-        to_date: Optional[dt.date] = None,
-        periods_in_a_year_fixed: Optional[DaysInYearType] = None,
+        months_from_last: int | None = None,
+        from_date: dt.date | None = None,
+        to_date: dt.date | None = None,
+        periods_in_a_year_fixed: DaysInYearType | None = None,
     ) -> Series[float]:
-        """
-        Exponentially Weighted Moving Average Model for Volatility.
+        """Exponentially Weighted Moving Average Model for Volatility.
 
         https://www.investopedia.com/articles/07/ewma.asp.
 
@@ -694,8 +670,7 @@ class OpenTimeSeries(_CommonModel):
         adjustment: float,
         days_in_year: int = 365,
     ) -> Self:
-        """
-        Add or subtract a fee from the timeseries return.
+        """Add or subtract a fee from the timeseries return.
 
         Parameters
         ----------
@@ -721,7 +696,7 @@ class OpenTimeSeries(_CommonModel):
             returns_input = True
         else:
             values = [cast(float, self.tsdf.iloc[0, 0])]
-            ra_df = self.tsdf.pct_change(fill_method=cast(str, None))
+            ra_df = self.tsdf.pct_change(fill_method=None)  # type: ignore[arg-type]
             returns_input = False
         ra_df = ra_df.dropna()
 
@@ -754,13 +729,12 @@ class OpenTimeSeries(_CommonModel):
 
     def set_new_label(
         self: Self,
-        lvl_zero: Optional[str] = None,
-        lvl_one: Optional[ValueType] = None,
+        lvl_zero: str | None = None,
+        lvl_one: ValueType | None = None,
         *,
         delete_lvl_one: bool = False,
     ) -> Self:
-        """
-        Set the column labels of the .tsdf Pandas Dataframe.
+        """Set the column labels of the .tsdf Pandas Dataframe.
 
         Parameters
         ----------
@@ -799,9 +773,8 @@ def timeseries_chain(
     front: TypeOpenTimeSeries,
     back: TypeOpenTimeSeries,
     old_fee: float = 0.0,
-) -> Union[TypeOpenTimeSeries, OpenTimeSeries]:
-    """
-    Chain two timeseries together.
+) -> TypeOpenTimeSeries | OpenTimeSeries:
+    """Chain two timeseries together.
 
     The function assumes that the two series have at least one date in common.
 
@@ -816,7 +789,7 @@ def timeseries_chain(
 
     Returns
     -------
-    Union[TypeOpenTimeSeries, OpenTimeSeries]
+    TypeOpenTimeSeries | OpenTimeSeries
         An OpenTimeSeries object or a subclass thereof
 
     """
@@ -887,8 +860,7 @@ def timeseries_chain(
 
 
 def _check_if_none(item: Any) -> bool:  # noqa: ANN401
-    """
-    Check if a variable is None or equivalent.
+    """Check if a variable is None or equivalent.
 
     Parameters
     ----------