openseries 1.7.0__tar.gz → 1.7.2__tar.gz

{openseries-1.7.0 → openseries-1.7.2}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: openseries
-Version: 1.7.0
+Version: 1.7.2
 Summary: Tools for analyzing financial timeseries.
 Home-page: https://github.com/CaptorAB/openseries
 License: BSD-3-Clause
@@ -28,7 +28,7 @@ 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)
-Requires-Dist: scipy (>=1.11.4,<2.0.0)
+Requires-Dist: scipy (>=1.11.4,<1.14.1)
 Requires-Dist: statsmodels (>=0.14.0,<1.0.0)
 Project-URL: Repository, https://github.com/CaptorAB/openseries
 Description-Content-Type: text/markdown
@@ -261,7 +261,6 @@ make lint
 
 | Method                   | Applies to       | Description                                                                                                                                    |
 |:-------------------------|:-----------------|:-----------------------------------------------------------------------------------------------------------------------------------------------|
-| `setup_class`            | `OpenTimeSeries` | Class method that defines the `domestic` home currency and the `countries` home countries attributes.                                          |
 | `pandas_df`              | `OpenTimeSeries` | Method to create the `tsdf` pandas.DataFrame from the `dates` and `values`.                                                                    |
 | `set_new_label`          | `OpenTimeSeries` | Method to change the pandas.DataFrame column MultiIndex.                                                                                       |
 | `running_adjustment`     | `OpenTimeSeries` | Adjusts the series performance with a `float` factor.                                                                                          |

{openseries-1.7.0 → openseries-1.7.2}/README.md

@@ -226,7 +226,6 @@ make lint
 
 | Method                   | Applies to       | Description                                                                                                                                    |
 |:-------------------------|:-----------------|:-----------------------------------------------------------------------------------------------------------------------------------------------|
-| `setup_class`            | `OpenTimeSeries` | Class method that defines the `domestic` home currency and the `countries` home countries attributes.                                          |
 | `pandas_df`              | `OpenTimeSeries` | Method to create the `tsdf` pandas.DataFrame from the `dates` and `values`.                                                                    |
 | `set_new_label`          | `OpenTimeSeries` | Method to change the pandas.DataFrame column MultiIndex.                                                                                       |
 | `running_adjustment`     | `OpenTimeSeries` | Adjusts the series performance with a `float` factor.                                                                                          |

{openseries-1.7.0 → openseries-1.7.2}/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-1.7.0 → openseries-1.7.2}/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 +471,36 @@ 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
 
@@ -789,9 +783,7 @@ class _CommonModel(BaseModel):
         if labels:
             if len(labels) != self.tsdf.shape[1]:
                 msg = "Must provide same number of labels as items in frame."
-                raise ValueError(
-                    msg,
-                )
+                raise ValueError(msg)
         else:
             labels = list(self.tsdf.columns.get_level_values(0))
 
@@ -906,9 +898,7 @@ class _CommonModel(BaseModel):
         if labels:
             if len(labels) != self.tsdf.shape[1]:
                 msg = "Must provide same number of labels as items in frame."
-                raise ValueError(
-                    msg,
-                )
+                raise ValueError(msg)
         else:
             labels = list(self.tsdf.columns.get_level_values(0))
 
@@ -1936,9 +1926,7 @@ class _CommonModel(BaseModel):
                 "Simple return cannot be calculated due to "
                 f"an initial value being zero. ({self.tsdf.head(3)})"
             )
-            raise ValueError(
-                msg,
-            )
+            raise ValueError(msg)
 
         result = self.tsdf.loc[later] / self.tsdf.loc[earlier] - 1
 

{openseries-1.7.0 → openseries-1.7.2}/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",
@@ -94,9 +92,7 @@ def holiday_calendar(
             "Argument countries must be a string country code or "
             "a list of string country codes according to ISO 3166-1 alpha-2."
         )
-        raise ValueError(
-            msg,
-        )
+        raise ValueError(msg)
 
     return busdaycalendar(holidays=hols)
 
@@ -117,6 +113,7 @@ def date_fix(
         Parsed date
 
     """
+    msg = f"Unknown date format {fixerdate!s} of type {type(fixerdate)!s} encountered"
     if isinstance(fixerdate, (Timestamp, dt.datetime)):
         return fixerdate.date()
     if isinstance(fixerdate, dt.date):
@@ -127,10 +124,7 @@ def date_fix(
         )
     if isinstance(fixerdate, str):
         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,
-    )
+    raise TypeError(msg)
 
 
 def date_offset_foll(
@@ -374,15 +368,12 @@ def generate_calendar_date_range(
         "Provide one of start or end date, but not both. "
         "Date range is inferred from number of trading days."
     )
-    raise ValueError(
-        msg,
-    )
+    raise ValueError(msg)
 
 
-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 +385,6 @@ 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 +397,16 @@ 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)
@@ -439,8 +417,8 @@ 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-1.7.0 → openseries-1.7.2}/openseries/frame.py

@@ -13,7 +13,6 @@ if TYPE_CHECKING:
 
 import statsmodels.api as sm  # type: ignore[import-untyped,unused-ignore]
 from numpy import (
-    array,
     cov,
     cumprod,
     divide,
@@ -43,7 +42,7 @@ 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 +442,18 @@ 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(
@@ -780,6 +776,7 @@ class OpenFrame(_CommonModel):
         earlier, later = self.calc_range(months_from_last, from_date, to_date)
         fraction = (later - earlier).days / 365.25
 
+        msg = "base_column should be a tuple[str, ValueType] or an integer."
         if isinstance(base_column, tuple):
             shortdf = self.tsdf.loc[cast(int, earlier) : cast(int, later)].loc[
                 :,
@@ -801,10 +798,7 @@ class OpenFrame(_CommonModel):
             ].name
             short_label = cast(tuple[str, str], self.tsdf.iloc[:, base_column].name)[0]
         else:
-            msg = "base_column should be a tuple[str, ValueType] or an integer."
-            raise TypeError(
-                msg,
-            )
+            raise TypeError(msg)
 
         if periods_in_a_year_fixed:
             time_factor = float(periods_in_a_year_fixed)
@@ -873,6 +867,7 @@ class OpenFrame(_CommonModel):
         earlier, later = self.calc_range(months_from_last, from_date, to_date)
         fraction = (later - earlier).days / 365.25
 
+        msg = "base_column should be a tuple[str, ValueType] or an integer."
         if isinstance(base_column, tuple):
             shortdf = self.tsdf.loc[cast(int, earlier) : cast(int, later)].loc[
                 :,
@@ -894,10 +889,7 @@ class OpenFrame(_CommonModel):
             ].name
             short_label = cast(tuple[str, str], self.tsdf.iloc[:, base_column].name)[0]
         else:
-            msg = "base_column should be a tuple[str, ValueType] or an integer."
-            raise TypeError(
-                msg,
-            )
+            raise TypeError(msg)
 
         if periods_in_a_year_fixed:
             time_factor = float(periods_in_a_year_fixed)
@@ -977,6 +969,7 @@ class OpenFrame(_CommonModel):
         earlier, later = self.calc_range(months_from_last, from_date, to_date)
         fraction = (later - earlier).days / 365.25
 
+        msg = "base_column should be a tuple[str, ValueType] or an integer."
         if isinstance(base_column, tuple):
             shortdf = self.tsdf.loc[cast(int, earlier) : cast(int, later)].loc[
                 :,
@@ -998,10 +991,7 @@ class OpenFrame(_CommonModel):
             ].name
             short_label = cast(tuple[str, str], self.tsdf.iloc[:, base_column].name)[0]
         else:
-            msg = "base_column should be a tuple[str, ValueType] or an integer."
-            raise TypeError(
-                msg,
-            )
+            raise TypeError(msg)
 
         if periods_in_a_year_fixed:
             time_factor = float(periods_in_a_year_fixed)
@@ -1017,6 +1007,7 @@ class OpenFrame(_CommonModel):
                     :,
                     item,
                 ]
+                msg = "ratio must be one of 'up', 'down' or 'both'."
                 if ratio == "up":
                     uparray = (
                         longdf.pct_change(fill_method=None)[
@@ -1111,6 +1102,8 @@ class OpenFrame(_CommonModel):
                     ratios.append(
                         (up_rtrn / up_idx_return) / (down_return / down_idx_return),
                     )
+                else:
+                    raise ValueError(msg)
 
         if ratio == "up":
             resultname = f"Up Capture Ratios vs {short_label}"
@@ -1156,25 +1149,23 @@ class OpenFrame(_CommonModel):
             x_value == ValueType.RTRN
             for x_value in self.tsdf.columns.get_level_values(1).to_numpy()
         ):
+            msg = "asset should be a tuple[str, ValueType] or an integer."
             if isinstance(asset, tuple):
                 y_value = self.tsdf.loc[:, asset]
             elif isinstance(asset, int):
                 y_value = self.tsdf.iloc[:, asset]
             else:
-                msg = "asset should be a tuple[str, ValueType] or an integer."
-                raise TypeError(
-                    msg,
-                )
+                raise TypeError(msg)
+
+            msg = "market should be a tuple[str, ValueType] or an integer."
             if isinstance(market, tuple):
                 x_value = self.tsdf.loc[:, market]
             elif isinstance(market, int):
                 x_value = self.tsdf.iloc[:, market]
             else:
-                msg = "market should be a tuple[str, ValueType] or an integer."
-                raise TypeError(
-                    msg,
-                )
+                raise TypeError(msg)
         else:
+            msg = "asset should be a tuple[str, ValueType] or an integer."
             if isinstance(asset, tuple):
                 y_value = log(
                     self.tsdf.loc[:, asset] / self.tsdf.loc[:, asset].iloc[0],
@@ -1184,10 +1175,9 @@ class OpenFrame(_CommonModel):
                     self.tsdf.iloc[:, asset] / cast(float, self.tsdf.iloc[0, asset]),
                 )
             else:
-                msg = "asset should be a tuple[str, ValueType] or an integer."
-                raise TypeError(
-                    msg,
-                )
+                raise TypeError(msg)
+
+            msg = "market should be a tuple[str, ValueType] or an integer."
             if isinstance(market, tuple):
                 x_value = log(
                     self.tsdf.loc[:, market] / self.tsdf.loc[:, market].iloc[0],
@@ -1197,10 +1187,7 @@ class OpenFrame(_CommonModel):
                     self.tsdf.iloc[:, market] / cast(float, self.tsdf.iloc[0, market]),
                 )
             else:
-                msg = "market should be a tuple[str, ValueType] or an integer."
-                raise TypeError(
-                    msg,
-                )
+                raise TypeError(msg)
 
         covariance = cov(y_value, x_value, ddof=dlta_degr_freedms)
         beta = covariance[0, 1] / covariance[1, 1]
@@ -1241,6 +1228,7 @@ class OpenFrame(_CommonModel):
             The Statsmodels regression output
 
         """
+        msg = "y_column should be a tuple[str, ValueType] or an integer."
         if isinstance(y_column, tuple):
             y_value = self.tsdf.loc[:, y_column]
             y_label = cast(
@@ -1251,11 +1239,9 @@ class OpenFrame(_CommonModel):
             y_value = self.tsdf.iloc[:, y_column]
             y_label = cast(tuple[str, str], self.tsdf.iloc[:, y_column].name)[0]
         else:
-            msg = "y_column should be a tuple[str, ValueType] or an integer."
-            raise TypeError(
-                msg,
-            )
+            raise TypeError(msg)
 
+        msg = "x_column should be a tuple[str, ValueType] or an integer."
         if isinstance(x_column, tuple):
             x_value = self.tsdf.loc[:, x_column]
             x_label = cast(
@@ -1266,10 +1252,7 @@ class OpenFrame(_CommonModel):
             x_value = self.tsdf.iloc[:, x_column]
             x_label = cast(tuple[str, str], self.tsdf.iloc[:, x_column].name)[0]
         else:
-            msg = "x_column should be a tuple[str, ValueType] or an integer."
-            raise TypeError(
-                msg,
-            )
+            raise TypeError(msg)
 
         results = sm.OLS(y_value, x_value).fit(method=method, cov_type=cov_type)
         if fitted_series:
@@ -1315,6 +1298,7 @@ class OpenFrame(_CommonModel):
             x == ValueType.RTRN
             for x in self.tsdf.columns.get_level_values(1).to_numpy()
         ):
+            msg = "asset should be a tuple[str, ValueType] or an integer."
             if isinstance(asset, tuple):
                 asset_log = self.tsdf.loc[:, asset]
                 asset_cagr = asset_log.mean()
@@ -1322,10 +1306,9 @@ class OpenFrame(_CommonModel):
                 asset_log = self.tsdf.iloc[:, asset]
                 asset_cagr = asset_log.mean()
             else:
-                msg = "asset should be a tuple[str, ValueType] or an integer."
-                raise TypeError(
-                    msg,
-                )
+                raise TypeError(msg)
+
+            msg = "market should be a tuple[str, ValueType] or an integer."
             if isinstance(market, tuple):
                 market_log = self.tsdf.loc[:, market]
                 market_cagr = market_log.mean()
@@ -1333,11 +1316,9 @@ class OpenFrame(_CommonModel):
                 market_log = self.tsdf.iloc[:, market]
                 market_cagr = market_log.mean()
             else:
-                msg = "market should be a tuple[str, ValueType] or an integer."
-                raise TypeError(
-                    msg,
-                )
+                raise TypeError(msg)
         else:
+            msg = "asset should be a tuple[str, ValueType] or an integer."
             if isinstance(asset, tuple):
                 asset_log = log(
                     self.tsdf.loc[:, asset] / self.tsdf.loc[:, asset].iloc[0],
@@ -1369,10 +1350,9 @@ class OpenFrame(_CommonModel):
                         - 1
                     )
             else:
-                msg = "asset should be a tuple[str, ValueType] or an integer."
-                raise TypeError(
-                    msg,
-                )
+                raise TypeError(msg)
+
+            msg = "market should be a tuple[str, ValueType] or an integer."
             if isinstance(market, tuple):
                 market_log = log(
                     self.tsdf.loc[:, market] / self.tsdf.loc[:, market].iloc[0],
@@ -1404,10 +1384,7 @@ class OpenFrame(_CommonModel):
                         - 1
                     )
             else:
-                msg = "market should be a tuple[str, ValueType] or an integer."
-                raise TypeError(
-                    msg,
-                )
+                raise TypeError(msg)
 
         covariance = cov(asset_log, market_log, ddof=dlta_degr_freedms)
         beta = covariance[0, 1] / covariance[1, 1]
@@ -1439,9 +1416,7 @@ class OpenFrame(_CommonModel):
                 "OpenFrame weights property must be provided "
                 "to run the make_portfolio method."
             )
-            raise ValueError(
-                msg,
-            )
+            raise ValueError(msg)
         dframe = self.tsdf.copy()
         if not any(
             x == ValueType.RTRN
@@ -1449,6 +1424,8 @@ class OpenFrame(_CommonModel):
         ):
             dframe = dframe.pct_change(fill_method=None)
             dframe.iloc[0] = 0
+
+        msg = "Weight strategy not implemented"
         if weight_strat:
             if weight_strat == "eq_weights":
                 self.weights = [1.0 / self.item_count] * self.item_count
@@ -1457,10 +1434,10 @@ class OpenFrame(_CommonModel):
                 vol[isinf(vol)] = nan
                 self.weights = list(divide(vol, vol.sum()))
             else:
-                msg = "Weight strategy not implemented"
                 raise NotImplementedError(msg)
+
         return DataFrame(
-            data=dframe.dot(other=array(self.weights)).add(1.0).cumprod(),
+            data=(dframe @ self.weights).add(1.0).cumprod(),
             index=self.tsdf.index,
             columns=[[name], [ValueType.PRICE]],
             dtype="float64",

{openseries-1.7.0 → openseries-1.7.2}/openseries/portfoliotools.py

@@ -10,9 +10,9 @@ from typing import TYPE_CHECKING, Callable, cast
 from numpy import (
     append,
     array,
-    dot,
     float64,
     inf,
+    isnan,
     linspace,
     nan,
     sqrt,
@@ -105,11 +105,8 @@ def simulate_portfolios(
         weights = weights / npsum(weights)
         all_weights[x, :] = weights
 
-        vol_arr[x] = sqrt(
-            dot(
-                weights.T,
-                dot(log_ret.cov() * simframe.periods_in_a_year, weights),
-            ),
+        vol_arr[x] = sqrt(weights.T @
+                (log_ret.cov() * simframe.periods_in_a_year @ weights),
         )
 
         ret_arr[x] = npsum(log_ret.mean() * weights * simframe.periods_in_a_year)
@@ -182,10 +179,11 @@ 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)
@@ -196,7 +194,7 @@ def efficient_frontier(  # noqa: C901
         per_in_yr: float,
     ) -> NDArray[float64]:
         ret = npsum(lg_ret.mean() * weights) * per_in_yr
-        volatility = sqrt(dot(weights.T, dot(lg_ret.cov() * per_in_yr, weights)))
+        volatility = sqrt(weights.T @ (lg_ret.cov() * per_in_yr @ weights))
         sr = ret / volatility
         return cast(NDArray[float64], array([ret, volatility, sr]))
 
@@ -509,6 +507,10 @@ 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 +545,11 @@ 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-1.7.0 → openseries-1.7.2}/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,
@@ -105,8 +105,22 @@ 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:
+    def _dates_and_values_validate(self: Self) -> Self:
         """Pydantic validator to ensure dates and values are validated."""
         values_list_length = len(self.values)
         dates_list_length = len(self.dates)
@@ -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],
@@ -241,14 +233,17 @@ class OpenTimeSeries(_CommonModel):
             An OpenTimeSeries object
 
         """
-        if isinstance(dframe, Series):
-            if isinstance(dframe.name, tuple):
+        msg = "Argument dframe must be pandas Series or DataFrame."
+        if isinstance(dframe, Series):  # type: ignore[unreachable,unused-ignore]
+            if isinstance(  # type: ignore[unreachable,unused-ignore]
+                    dframe.name, tuple,
+            ):
                 label, _ = dframe.name
             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 +265,9 @@ class OpenTimeSeries(_CommonModel):
                     ]
             else:
                 label = cast(MultiIndex, dframe.columns).to_numpy()[column_nmbr]
+        else:
+            raise TypeError(msg)
+
         dates = [date_fix(d).strftime("%Y-%m-%d") for d in dframe.index]
 
         return cls(
@@ -341,9 +339,7 @@ class OpenTimeSeries(_CommonModel):
             )
         elif not isinstance(d_range, DatetimeIndex) and not all([days, end_dt]):
             msg = "If d_range is not provided both days and end_dt must be."
-            raise ValueError(
-                msg,
-            )
+            raise ValueError(msg)
 
         deltas = array(
             [
@@ -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-1.7.0 → openseries-1.7.2}/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 → openseries-1.7.2}/openseries/types.py

@@ -272,9 +272,7 @@ class OpenTimeSeriesPropertiesList(list[str]):
                 msg = (
                     f"Invalid string: {item}. Allowed strings: {self.allowed_strings}"
                 )
-                raise ValueError(
-                    msg,
-                )
+                raise ValueError(msg)
             if item in seen:
                 msg = f"Duplicate string: {item}"
                 raise ValueError(msg)
@@ -323,9 +321,7 @@ class OpenFramePropertiesList(list[str]):
                 msg = (
                     f"Invalid string: {item}. Allowed strings: {self.allowed_strings}"
                 )
-                raise ValueError(
-                    msg,
-                )
+                raise ValueError(msg)
             if item in seen:
                 msg = f"Duplicate string: {item}"
                 raise ValueError(msg)

{openseries-1.7.0 → openseries-1.7.2}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "openseries"
-version = "1.7.0"
+version = "1.7.2"
 description = "Tools for analyzing financial timeseries."
 authors = ["Martin Karrin <martin.karrin@captor.se>"]
 repository = "https://github.com/CaptorAB/openseries"
@@ -42,18 +42,18 @@ pyarrow = ">=14.0.2,<18.0.0"
 pydantic = ">=2.5.2,<3.0.0"
 python-dateutil = ">=2.8.2,<3.0.0"
 requests = ">=2.20.0,<3.0.0"
-scipy = ">=1.11.4,<2.0.0"
+scipy = ">=1.11.4,<1.14.1"
 statsmodels = ">=0.14.0,<1.0.0"
 
 [tool.poetry.group.dev.dependencies]
 black = ">=24.4.2,<25.0.0"
 coverage = ">=7.6.0,<8.0.0"
-coverage-badge = ">=1.1.1,<2.0.0"
-mypy = "^1.11.0"
+genbadge = {version = ">=1.1.1,<2.0.0", extras = ["coverage"]}
+mypy = "^1.11.1"
 pandas-stubs = ">=2.1.2,<3.0.0"
 pre-commit = ">=3.7.1,<4.0.0"
 pytest = ">=8.2.2,<9.0.0"
-ruff = "^0.5.5"
+ruff = "^0.6.2"
 types-openpyxl = ">=3.1.2,<4.0.0"
 types-python-dateutil = ">=2.8.2,<3.0.0"
 types-requests = ">=2.20.0,<3.0.0"
@@ -63,18 +63,23 @@ requires = ["poetry-core>=1.8.3"]
 build-backend = "poetry.core.masonry.api"
 
 [tool.coverage.run]
+branch = true
 omit = ["venv/*"]
 include = ["openseries/*"]
 
 [tool.coverage.report]
 skip_empty = true
+show_missing = true
 fail_under = 99
 
+[tool.coverage.xml]
+output = "coverage.xml"
+
 [tool.mypy]
 exclude = ["venv/*"]
 strict = true
 pretty = true
-warn_unreachable = false
+warn_unreachable = true
 warn_redundant_casts = true
 warn_unused_ignores = true
 disallow_any_generics = true