openseries 1.7.0__py3-none-any.whl → 1.7.1__py3-none-any.whl

openseries/__init__.py

@@ -3,7 +3,6 @@
 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,
@@ -31,7 +30,6 @@ __all__ = [
     "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",

openseries/_common_model.py

@@ -447,7 +447,7 @@ class _CommonModel(BaseModel):
         interpolation: LiteralQuantileInterp = "lower"
         return self.vol_from_var_func(level=level, interpolation=interpolation)
 
-    def calc_range(  # noqa: C901
+    def calc_range(
         self: Self,
         months_offset: int | None = None,
         from_dt: dt.date | None = None,
@@ -471,42 +471,38 @@ class _CommonModel(BaseModel):
             Start and end date of the chosen date range
 
         """
-        earlier, later = self.tsdf.index[0], self.tsdf.index[-1]
-        if any([months_offset, from_dt, to_dt]):
-            if months_offset is not None:
-                earlier = date_offset_foll(
-                    raw_date=DatetimeIndex(self.tsdf.index)[-1],
-                    months_offset=-months_offset,
-                    adjust=False,
-                    following=True,
+        earlier, later = self.first_idx, self.last_idx
+        if months_offset is not None:
+            earlier = date_offset_foll(
+                raw_date=self.last_idx,
+                months_offset=-months_offset,
+                adjust=False,
+                following=True,
+            )
+            if earlier < self.first_idx:
+                msg = (
+                    "Argument months_offset implies start"
+                    "date before first date in series."
                 )
-                if earlier < self.tsdf.index[0]:
-                    msg = "Function calc_range returned earlier date < series start"
-                    raise ValueError(
-                        msg,
-                    )
-                later = self.tsdf.index[-1]
-            elif from_dt is not None and to_dt is None:
-                if from_dt < self.tsdf.index[0]:
+                raise ValueError(
+                    msg,
+                )
+            later = self.last_idx
+        else:
+            if from_dt is not None:
+                if from_dt < self.first_idx:
                     msg = "Given from_dt date < series start"
                     raise ValueError(msg)
-                earlier, later = from_dt, self.tsdf.index[-1]
-            elif from_dt is None and to_dt is not None:
-                if to_dt > self.tsdf.index[-1]:
+                earlier = from_dt
+            if to_dt is not None:
+                if to_dt > self.last_idx:
                     msg = "Given to_dt date > series end"
                     raise ValueError(msg)
-                earlier, later = self.tsdf.index[0], to_dt
-            elif from_dt is not None and to_dt is not None:
-                if to_dt > self.tsdf.index[-1] or from_dt < self.tsdf.index[0]:
-                    msg = "Given from_dt or to_dt dates outside series range"
-                    raise ValueError(
-                        msg,
-                    )
-                earlier, later = from_dt, to_dt
-            while earlier not in self.tsdf.index.tolist():
-                earlier -= dt.timedelta(days=1)
-            while later not in self.tsdf.index.tolist():
-                later += dt.timedelta(days=1)
+                later = to_dt
+        while earlier not in self.tsdf.index:
+            earlier -= dt.timedelta(days=1)
+        while later not in self.tsdf.index:
+            later += dt.timedelta(days=1)
 
         return earlier, later
 

openseries/datefixer.py

@@ -15,15 +15,14 @@ from pandas import (
     DataFrame,
     DatetimeIndex,
     Index,
-    Series,
     Timestamp,
     concat,
     date_range,
 )
 from pandas.tseries.offsets import CustomBusinessDay
 
-if TYPE_CHECKING:  # pragma: no cover
-    from .types import (
+if TYPE_CHECKING:
+    from .types import (  # pragma: no cover
         CountriesType,
         DateType,
         HolidayType,
@@ -33,7 +32,6 @@ if TYPE_CHECKING:  # pragma: no cover
 __all__ = [
     "date_fix",
     "date_offset_foll",
-    "do_resample_to_business_period_ends",
     "generate_calendar_date_range",
     "get_previous_business_day_before_today",
     "holiday_calendar",
@@ -379,10 +377,9 @@ 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:
@@ -394,10 +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
@@ -410,25 +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))
+    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))
 
-    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])
-
-    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)
@@ -439,8 +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()

openseries/frame.py

@@ -43,7 +43,7 @@ from statsmodels.regression.linear_model import (  # type: ignore[import-untyped
 from typing_extensions import Self
 
 from ._common_model import _CommonModel
-from .datefixer import do_resample_to_business_period_ends
+from .datefixer import _do_resample_to_business_period_ends
 from .series import OpenTimeSeries
 from .types import (
     CountriesType,
@@ -443,21 +443,18 @@ class OpenFrame(_CommonModel):
             An OpenFrame object
 
         """
-        head: Series[float] = self.tsdf.loc[self.first_indices.max()].copy()
-        tail: Series[float] = self.tsdf.loc[self.last_indices.min()].copy()
-        dates = do_resample_to_business_period_ends(
-            data=self.tsdf,
-            head=head,
-            tail=tail,
-            freq=freq,
-            countries=countries,
-        )
-        self.tsdf = self.tsdf.reindex([deyt.date() for deyt in dates], method=method)
         for xerie in self.constituents:
+            dates = _do_resample_to_business_period_ends(
+                data=xerie.tsdf,
+                freq=freq,
+                countries=countries,
+            )
             xerie.tsdf = xerie.tsdf.reindex(
-                [deyt.date() for deyt in dates],
-                method=method,
+                [deyt.date() for deyt in dates], method=method,
             )
+
+        self._set_tsdf()
+
         return self
 
     def ewma_risk(
@@ -1111,6 +1108,9 @@ class OpenFrame(_CommonModel):
                     ratios.append(
                         (up_rtrn / up_idx_return) / (down_return / down_idx_return),
                     )
+                else:
+                    msg = "ratio must be one of 'up', 'down' or 'both'."
+                    raise ValueError(msg)
 
         if ratio == "up":
             resultname = f"Up Capture Ratios vs {short_label}"

openseries/portfoliotools.py

@@ -13,6 +13,7 @@ from numpy import (
     dot,
     float64,
     inf,
+    isnan,
     linspace,
     nan,
     sqrt,
@@ -182,10 +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)
@@ -286,7 +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),
@@ -509,6 +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"]))
@@ -543,11 +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

@@ -25,11 +25,11 @@ from pandas import (
     Series,
     date_range,
 )
-from pydantic import model_validator
+from pydantic import field_validator, model_validator
 from typing_extensions import Self
 
 from ._common_model import _CommonModel
-from .datefixer import date_fix, do_resample_to_business_period_ends
+from .datefixer import _do_resample_to_business_period_ends, date_fix
 from .types import (
     Countries,
     CountriesType,
@@ -105,6 +105,20 @@ class OpenTimeSeries(_CommonModel):
     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:
         """Pydantic validator to ensure dates and values are validated."""
@@ -126,28 +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],
@@ -247,8 +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],
@@ -270,6 +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(
@@ -584,12 +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,
         )

openseries/simulation.py

@@ -153,8 +153,8 @@ class ReturnSimulation(BaseModel):
         mean_annual_return: float,
         mean_annual_vol: PositiveFloat,
         trading_days: PositiveInt,
-        seed: int,
         trading_days_in_year: DaysInYearType = 252,
+        seed: int | None = None,
         randomizer: Generator | None = None,
     ) -> ReturnSimulation:
         """Create a Normal distribution simulation.
@@ -169,11 +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
 
@@ -209,8 +208,8 @@ class ReturnSimulation(BaseModel):
         mean_annual_return: float,
         mean_annual_vol: PositiveFloat,
         trading_days: PositiveInt,
-        seed: int,
         trading_days_in_year: DaysInYearType = 252,
+        seed: int | None = None,
         randomizer: Generator | None = None,
     ) -> ReturnSimulation:
         """Create a Lognormal distribution simulation.
@@ -225,11 +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
 
@@ -268,8 +266,8 @@ class ReturnSimulation(BaseModel):
         mean_annual_return: float,
         mean_annual_vol: PositiveFloat,
         trading_days: PositiveInt,
-        seed: int,
         trading_days_in_year: DaysInYearType = 252,
+        seed: int | None = None,
         randomizer: Generator | None = None,
     ) -> ReturnSimulation:
         """Create a Geometric Brownian Motion simulation.
@@ -284,10 +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
 
@@ -330,11 +328,11 @@ 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,
+        seed: int | None = None,
         randomizer: Generator | None = None,
     ) -> ReturnSimulation:
         """Create a Merton Jump-Diffusion model simulation.
@@ -349,8 +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
@@ -359,6 +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
 

{openseries-1.7.0.dist-info → openseries-1.7.1.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: openseries
-Version: 1.7.0
+Version: 1.7.1
 Summary: Tools for analyzing financial timeseries.
 Home-page: https://github.com/CaptorAB/openseries
 License: BSD-3-Clause

openseries-1.7.1.dist-info/RECORD

@@ -0,0 +1,16 @@
+openseries/__init__.py,sha256=gD2dMKRTJ9HMXLca_5sR67xGiU5sWExwaNUi-9N_RGQ,1032
+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-1.7.0.dist-info/RECORD

@@ -1,16 +0,0 @@
-openseries/__init__.py,sha256=k2r-yXfmxqBT7_voQ-4HL5dBxfkQIItsm-o77ot3aDQ,1116
-openseries/_common_model.py,sha256=smkqaErhDGbcihsqzFeF7tbwstlmlkgcPF2C1KaaGbU,74369
-openseries/_risk.py,sha256=PReIfkzhInvIgJkzI4k1wYvhmLZ4cCurYKuQAvlHLlE,2082
-openseries/datefixer.py,sha256=CFsZfooXIl2q7w8x8O2xRwfmQP67offwbWEaNYpEJGU,12778
-openseries/frame.py,sha256=6u5UGLSVyaBC3YdB84mF3iBSw70Gwnrk4iBQiNeJppg,55580
-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=asD8n8m8roEN0SuJK_LoLc5OnTcPmFVl64598dG2sUQ,18749
-openseries/series.py,sha256=WqDSGOEBFuVQkfdrysXS4PBi2B7HFT-v9f41vt9JaSA,27984
-openseries/simulation.py,sha256=QpeEC2nsG3DAqd51spAccrYWhUbsFWfCyyCkrjCMd7Y,13860
-openseries/types.py,sha256=KoqDGI-DOJGP3zPzhx0an7IGIttWG0zYw-VJqolc1xA,7908
-openseries-1.7.0.dist-info/LICENSE.md,sha256=IQ8_IMXgHxyv4M48G14fJsjcrkiSASdalASTXWCOsj4,1515
-openseries-1.7.0.dist-info/METADATA,sha256=G82OxH9BK1fRJVI45Lr-PNu_hbHKmdo1uKnZZa8JIx0,44166
-openseries-1.7.0.dist-info/WHEEL,sha256=sP946D7jFCHeNz5Iq4fL4Lu-PrWrFsgfLXbbkciIZwg,88
-openseries-1.7.0.dist-info/RECORD,,