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

openseries/simulation.py

@@ -2,8 +2,10 @@
 
 from __future__ import annotations
 
-import datetime as dt
-from typing import Optional, cast
+from typing import TYPE_CHECKING, cast
+
+if TYPE_CHECKING:
+    import datetime as dt  # pragma: no cover
 
 from numpy import multiply, sqrt
 from numpy.random import PCG64, Generator, SeedSequence
@@ -22,8 +24,8 @@ from pydantic import (
 )
 from typing_extensions import Self
 
-from openseries.datefixer import generate_calendar_date_range
-from openseries.types import (
+from .datefixer import generate_calendar_date_range
+from .types import (
     CountriesType,
     DaysInYearType,
     ValueType,
@@ -32,9 +34,8 @@ from openseries.types import (
 __all__ = ["ReturnSimulation"]
 
 
-def _random_generator(seed: Optional[int]) -> Generator:
-    """
-    Make a Numpy Random Generator object.
+def _random_generator(seed: int | None) -> Generator:
+    """Make a Numpy Random Generator object.
 
     Parameters
     ----------
@@ -48,14 +49,12 @@ def _random_generator(seed: Optional[int]) -> Generator:
 
     """
     ss = SeedSequence(entropy=seed)
-    bg = PCG64(seed=cast(Optional[int], ss))
+    bg = PCG64(seed=cast(int | None, ss))
     return Generator(bit_generator=bg)
 
 
 class ReturnSimulation(BaseModel):
-
-    """
-    The class ReturnSimulation allows for simulating financial timeseries.
+    """The class ReturnSimulation allows for simulating financial timeseries.
 
     Parameters
     ----------
@@ -91,7 +90,7 @@ class ReturnSimulation(BaseModel):
     jumps_lamda: NonNegativeFloat = 0.0
     jumps_sigma: NonNegativeFloat = 0.0
     jumps_mu: float = 0.0
-    seed: Optional[int] = None
+    seed: int | None = None
 
     model_config = ConfigDict(
         arbitrary_types_allowed=True,
@@ -101,8 +100,7 @@ class ReturnSimulation(BaseModel):
 
     @property
     def results(self: Self) -> DataFrame:
-        """
-        Simulation data.
+        """Simulation data.
 
         Returns
         -------
@@ -114,8 +112,7 @@ class ReturnSimulation(BaseModel):
 
     @property
     def realized_mean_return(self: Self) -> float:
-        """
-        Annualized arithmetic mean of returns.
+        """Annualized arithmetic mean of returns.
 
         Returns
         -------
@@ -133,8 +130,7 @@ class ReturnSimulation(BaseModel):
 
     @property
     def realized_vol(self: Self) -> float:
-        """
-        Annualized volatility.
+        """Annualized volatility.
 
         Returns
         -------
@@ -157,12 +153,11 @@ class ReturnSimulation(BaseModel):
         mean_annual_return: float,
         mean_annual_vol: PositiveFloat,
         trading_days: PositiveInt,
-        seed: int,
         trading_days_in_year: DaysInYearType = 252,
-        randomizer: Optional[Generator] = None,
+        seed: int | None = None,
+        randomizer: Generator | None = None,
     ) -> ReturnSimulation:
-        """
-        Create a Normal distribution simulation.
+        """Create a Normal distribution simulation.
 
         Parameters
         ----------
@@ -174,11 +169,10 @@ class ReturnSimulation(BaseModel):
             Mean return
         mean_annual_vol: PositiveFloat
             Mean standard deviation
-        seed: int
-            Seed for random process initiation
-        trading_days_in_year: DaysInYearType,
-            default: 252
+        trading_days_in_year: DaysInYearType, default: 252
             Number of trading days used to annualize
+        seed: int, optional
+            Seed for random process initiation
         randomizer: numpy.random.Generator, optional
             Random process generator
 
@@ -214,12 +208,11 @@ class ReturnSimulation(BaseModel):
         mean_annual_return: float,
         mean_annual_vol: PositiveFloat,
         trading_days: PositiveInt,
-        seed: int,
         trading_days_in_year: DaysInYearType = 252,
-        randomizer: Optional[Generator] = None,
+        seed: int | None = None,
+        randomizer: Generator | None = None,
     ) -> ReturnSimulation:
-        """
-        Create a Lognormal distribution simulation.
+        """Create a Lognormal distribution simulation.
 
         Parameters
         ----------
@@ -231,11 +224,10 @@ class ReturnSimulation(BaseModel):
             Mean return
         mean_annual_vol: PositiveFloat
             Mean standard deviation
-        seed: int
-            Seed for random process initiation
-        trading_days_in_year: DaysInYearType,
-            default: 252
+        trading_days_in_year: DaysInYearType, default: 252
             Number of trading days used to annualize
+        seed: int, optional
+            Seed for random process initiation
         randomizer: numpy.random.Generator, optional
             Random process generator
 
@@ -274,12 +266,11 @@ class ReturnSimulation(BaseModel):
         mean_annual_return: float,
         mean_annual_vol: PositiveFloat,
         trading_days: PositiveInt,
-        seed: int,
         trading_days_in_year: DaysInYearType = 252,
-        randomizer: Optional[Generator] = None,
+        seed: int | None = None,
+        randomizer: Generator | None = None,
     ) -> ReturnSimulation:
-        """
-        Create a Geometric Brownian Motion simulation.
+        """Create a Geometric Brownian Motion simulation.
 
         Parameters
         ----------
@@ -291,10 +282,10 @@ class ReturnSimulation(BaseModel):
             Mean return
         mean_annual_vol: PositiveFloat
             Mean standard deviation
-        seed: int
-            Seed for random process initiation
         trading_days_in_year: DaysInYearType, default: 252
             Number of trading days used to annualize
+        seed: int, optional
+            Seed for random process initiation
         randomizer: numpy.random.Generator, optional
             Random process generator
 
@@ -337,15 +328,14 @@ class ReturnSimulation(BaseModel):
         trading_days: PositiveInt,
         mean_annual_return: float,
         mean_annual_vol: PositiveFloat,
-        seed: int,
         jumps_lamda: NonNegativeFloat,
         jumps_sigma: NonNegativeFloat = 0.0,
         jumps_mu: float = 0.0,
         trading_days_in_year: DaysInYearType = 252,
-        randomizer: Optional[Generator] = None,
+        seed: int | None = None,
+        randomizer: Generator | None = None,
     ) -> ReturnSimulation:
-        """
-        Create a Merton Jump-Diffusion model simulation.
+        """Create a Merton Jump-Diffusion model simulation.
 
         Parameters
         ----------
@@ -357,8 +347,6 @@ class ReturnSimulation(BaseModel):
             Mean return
         mean_annual_vol: PositiveFloat
             Mean standard deviation
-        seed: int
-            Seed for random process initiation
         jumps_lamda: NonNegativeFloat
             This is the probability of a jump happening at each point in time
         jumps_sigma: NonNegativeFloat, default: 0.0
@@ -367,6 +355,8 @@ class ReturnSimulation(BaseModel):
             This is the average jump size
         trading_days_in_year: DaysInYearType, default: 252
             Number of trading days used to annualize
+        seed: int, optional
+            Seed for random process initiation
         randomizer: numpy.random.Generator, optional
             Random process generator
 
@@ -424,12 +414,11 @@ class ReturnSimulation(BaseModel):
     def to_dataframe(
         self: Self,
         name: str,
-        start: Optional[dt.date] = None,
-        end: Optional[dt.date] = None,
+        start: dt.date | None = None,
+        end: dt.date | None = None,
         countries: CountriesType = "SE",
     ) -> DataFrame:
-        """
-        Create a pandas.DataFrame from simulation(s).
+        """Create a pandas.DataFrame from simulation(s).
 
         Parameters
         ----------

openseries/types.py

@@ -33,7 +33,6 @@ CountriesType = Union[CountryListType, CountryStringType]  # type: ignore[valid-
 
 
 class Countries(BaseModel):
-
     """Declare Countries."""
 
     countryinput: CountriesType
@@ -53,7 +52,6 @@ CurrencyStringType = Annotated[
 
 
 class Currency(BaseModel):
-
     """Declare Currency."""
 
     ccy: CurrencyStringType
@@ -90,31 +88,29 @@ DatabaseIdStringType = Annotated[
 
 DaysInYearType = Annotated[int, Field(strict=True, ge=1, le=366)]
 
-DateType = Union[str, dt.date, dt.datetime, datetime64, Timestamp]
+DateType = str | dt.date | dt.datetime | datetime64 | Timestamp
 
-HolidayType = Union[
-    dict[Union[dt.date, dt.datetime, str, float, int], str],
-    list[Union[dt.date, dt.datetime, str, float, int]],
-    dt.date,
-    dt.datetime,
-    str,
-    float,
-    int,
-]
+HolidayType = (
+    dict[dt.date | dt.datetime | str | float | int, str]
+    | list[dt.date | dt.datetime | str | float | int]
+    | dt.date
+    | dt.datetime
+    | str
+    | float
+    | int
+)
 
 PlotlyLayoutType = dict[
     str,
-    Union[
-        str,
-        int,
-        float,
-        bool,
-        list[str],
-        dict[str, Union[str, int, float, bool, list[str]]],
-    ],
+    str
+    | int
+    | float
+    | bool
+    | list[str]
+    | dict[str, str | int | float | bool | list[str]],
 ]
 
-CaptorLogoType = dict[str, Union[str, float]]
+CaptorLogoType = dict[str, str | float]
 
 LiteralJsonOutput = Literal["values", "tsdf"]
 LiteralTrunc = Literal["before", "after", "both"]
@@ -230,7 +226,6 @@ LiteralFrameProps = Literal[
 
 
 class OpenTimeSeriesPropertiesList(list[str]):
-
     """Allowed property arguments for the OpenTimeSeries class."""
 
     allowed_strings: ClassVar[set[str]] = {
@@ -287,7 +282,6 @@ class OpenTimeSeriesPropertiesList(list[str]):
 
 
 class OpenFramePropertiesList(list[str]):
-
     """Allowed property arguments for the OpenFrame class."""
 
     allowed_strings: ClassVar[set[str]] = {
@@ -339,7 +333,6 @@ class OpenFramePropertiesList(list[str]):
 
 
 class ValueType(str, Enum):
-
     """Enum types of OpenTimeSeries to identify the output."""
 
     EWMA = "EWMA"

{openseries-1.6.0.dist-info → openseries-1.7.1.dist-info}/LICENSE.md

@@ -1,6 +1,6 @@
 # BSD 3-Clause License
 
-## Copyright (c) 2024, Captor Fund Management AB
+## Copyright (c) Captor Fund Management AB
 
 Redistribution and use in source and binary forms, with or without modification, are
 permitted provided that the following conditions are met:

{openseries-1.6.0.dist-info → openseries-1.7.1.dist-info}/METADATA

@@ -1,13 +1,13 @@
 Metadata-Version: 2.1
 Name: openseries
-Version: 1.6.0
+Version: 1.7.1
 Summary: Tools for analyzing financial timeseries.
 Home-page: https://github.com/CaptorAB/openseries
 License: BSD-3-Clause
 Keywords: python,finance,fintech,data-science,timeseries,timeseries-data,timeseries-analysis,investment,investment-analysis,investing
 Author: Martin Karrin
 Author-email: martin.karrin@captor.se
-Requires-Python: >=3.9,<3.13
+Requires-Python: >=3.10,<3.13
 Classifier: Development Status :: 5 - Production/Stable
 Classifier: Framework :: Pydantic
 Classifier: Intended Audience :: Financial and Insurance Industry
@@ -15,7 +15,6 @@ Classifier: License :: OSI Approved :: BSD License
 Classifier: Natural Language :: English
 Classifier: Operating System :: OS Independent
 Classifier: Programming Language :: Python :: 3
-Classifier: Programming Language :: Python :: 3.9
 Classifier: Programming Language :: Python :: 3.10
 Classifier: Programming Language :: Python :: 3.11
 Classifier: Programming Language :: Python :: 3.12
@@ -25,7 +24,7 @@ Requires-Dist: numpy (>=1.23.2,<=3.0.0)
 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,<17.0.0)
+Requires-Dist: pyarrow (>=14.0.2,<18.0.0)
 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)
@@ -80,7 +79,7 @@ The code snippet can be pasted into a Python console to run it.
 Install openseries and yfinance first.
 
 ```python
-from openseries.series import OpenTimeSeries
+from openseries import OpenTimeSeries
 import yfinance as yf
 
 msft=yf.Ticker("MSFT")

openseries-1.7.1.dist-info/RECORD

@@ -0,0 +1,16 @@
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+openseries/_common_model.py,sha256=qa0MejnuLcLszaeF9IGbrRycv94O3Xf1rBnAjASI-M4,73805
+openseries/_risk.py,sha256=PReIfkzhInvIgJkzI4k1wYvhmLZ4cCurYKuQAvlHLlE,2082
+openseries/datefixer.py,sha256=Gj9r8xXGm0jcWiDlC0IR0mN64vceaZAnXrei-sXcuqE,12345
+openseries/frame.py,sha256=rl0MNUWrQMffS1beNQWzyLHwuLO9AL_9DI_chUoQweA,55466
+openseries/load_plotly.py,sha256=Uuk_-iIY4_C6Z5U3rAneOh8ZlGYWbkuis9s4Amxzko4,1921
+openseries/plotly_captor_logo.json,sha256=F5nhMzEyxKywtjvQqMTKgKRCJQYMDIiBgDSxdte8Clo,178
+openseries/plotly_layouts.json,sha256=ahx8-dL4_RPzvHtBOX0SiL0AH7xQJzNRSDhGrSmU-Og,1429
+openseries/portfoliotools.py,sha256=0H3IKq3kA2nol-NJcbytIflC3cVMde7xWWzh4ebQkyM,18961
+openseries/series.py,sha256=Jn_2NEYGUGrdWhP-Nm3LBA041FzFClqTvmWg6eHhG7E,27882
+openseries/simulation.py,sha256=P5nkX7o3O_3pOL22MAZTqL_i4TB2IUmPGCodegsAM04,13932
+openseries/types.py,sha256=KoqDGI-DOJGP3zPzhx0an7IGIttWG0zYw-VJqolc1xA,7908
+openseries-1.7.1.dist-info/LICENSE.md,sha256=IQ8_IMXgHxyv4M48G14fJsjcrkiSASdalASTXWCOsj4,1515
+openseries-1.7.1.dist-info/METADATA,sha256=sDuycWQUg_jmcAv9LY4uTuZp97rnSIjgfg0gz9Epnis,44166
+openseries-1.7.1.dist-info/WHEEL,sha256=sP946D7jFCHeNz5Iq4fL4Lu-PrWrFsgfLXbbkciIZwg,88
+openseries-1.7.1.dist-info/RECORD,,

openseries-1.6.0.dist-info/RECORD

@@ -1,16 +0,0 @@
-openseries/__init__.py,sha256=k2r-yXfmxqBT7_voQ-4HL5dBxfkQIItsm-o77ot3aDQ,1116
-openseries/_common_model.py,sha256=qDrEjLLz7FmXbfMl07eocz7i892JdighGpigWCFBpmo,75623
-openseries/_risk.py,sha256=etureOLszoEgD48NEOZkx24gaK8I-PfjRXV4Ymjkh7w,2072
-openseries/datefixer.py,sha256=rNHH5yT8gV9iHgd_TCiVuwTMNB5TcxeqSsvIAq36dXU,12717
-openseries/frame.py,sha256=w6eZgfPx9gRnmUj_i0--KdurBoy5p18B7k0kpGwSoTM,56440
-openseries/load_plotly.py,sha256=GLsYrbRYEC3HcKHb7vwZIrlRl3ZjnRhSXoMGJsO8weA,1888
-openseries/plotly_captor_logo.json,sha256=F5nhMzEyxKywtjvQqMTKgKRCJQYMDIiBgDSxdte8Clo,178
-openseries/plotly_layouts.json,sha256=ahx8-dL4_RPzvHtBOX0SiL0AH7xQJzNRSDhGrSmU-Og,1429
-openseries/portfoliotools.py,sha256=r6Y1ZRuTV4nsRL4s7WEJfv1u6__6kkc3d5Rb-MhQn2k,18807
-openseries/series.py,sha256=gZCASMtN6Drw7CcmRTNtKBT66YCsnP7Ei7Jhdytp-oE,28236
-openseries/simulation.py,sha256=LlssueX0tXHvnEZqiubkfsluOkdd9oQE57RbHZDD7_k,13942
-openseries/types.py,sha256=hIEPm-5BFs_ZIXoMw2DWnbJWe2xFmWDYkSQsEYlLEEA,7968
-openseries-1.6.0.dist-info/LICENSE.md,sha256=cPUabMxJ6-ziqzqS6aLGkR-ilIOKe_s3Qtyp0ioTmo0,1521
-openseries-1.6.0.dist-info/METADATA,sha256=wD4JNrn68QfVpJtZRm7y8BgN7c6jykxMWUmOhHJVH1M,44222
-openseries-1.6.0.dist-info/WHEEL,sha256=sP946D7jFCHeNz5Iq4fL4Lu-PrWrFsgfLXbbkciIZwg,88
-openseries-1.6.0.dist-info/RECORD,,