openseries 1.7.1__tar.gz → 1.7.3__tar.gz

{openseries-1.7.1 → openseries-1.7.3}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: openseries
-Version: 1.7.1
+Version: 1.7.3
 Summary: Tools for analyzing financial timeseries.
 Home-page: https://github.com/CaptorAB/openseries
 License: BSD-3-Clause
@@ -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-1.7.1 → openseries-1.7.3}/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-1.7.1 → openseries-1.7.3}/openseries/_common_model.py

@@ -18,7 +18,15 @@ if TYPE_CHECKING:
 from openpyxl.utils.dataframe import dataframe_to_rows
 from openpyxl.workbook.workbook import Workbook
 from openpyxl.worksheet.worksheet import Worksheet
-from pandas import DataFrame, DatetimeIndex, Index, MultiIndex, Series, date_range
+from pandas import (
+    DataFrame,
+    DatetimeIndex,
+    Index,
+    MultiIndex,
+    Series,
+    date_range,
+    to_datetime,
+)
 from pandas.tseries.offsets import CustomBusinessDay
 from plotly.graph_objs import Figure  # type: ignore[import-untyped,unused-ignore]
 from plotly.io import to_html  # type: ignore[import-untyped,unused-ignore]
@@ -351,9 +359,7 @@ class _CommonModel(BaseModel):
         """
         wmdf = self.tsdf.copy()
         wmdf.index = DatetimeIndex(wmdf.index)
-        result = (
-            wmdf.resample("BME").last().pct_change(fill_method=cast(str, None)).min()
-        )
+        result = wmdf.resample("BME").last().pct_change().min()
 
         if self.tsdf.shape[1] == 1:
             return float(result.iloc[0])
@@ -484,9 +490,7 @@ class _CommonModel(BaseModel):
                     "Argument months_offset implies start"
                     "date before first date in series."
                 )
-                raise ValueError(
-                    msg,
-                )
+                raise ValueError(msg)
             later = self.last_idx
         else:
             if from_dt is not None:
@@ -523,8 +527,8 @@ class _CommonModel(BaseModel):
             An OpenFrame object
 
         """
-        startyear = DatetimeIndex(self.tsdf.index)[0].year
-        endyear = DatetimeIndex(self.tsdf.index)[-1].year
+        startyear = to_datetime(self.tsdf.index[0]).year
+        endyear = to_datetime(self.tsdf.index[-1]).year
         calendar = holiday_calendar(
             startyear=startyear,
             endyear=endyear,
@@ -785,9 +789,7 @@ 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))
 
@@ -902,9 +904,7 @@ 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))
 
@@ -1027,9 +1027,7 @@ class _CommonModel(BaseModel):
             time_factor = how_many / fraction
 
         result = (
-            self.tsdf.loc[cast(int, earlier) : cast(int, later)]
-            .pct_change(fill_method=cast(str, None))
-            .mean()
+            self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change().mean()
             * time_factor
         )
 
@@ -1087,9 +1085,7 @@ class _CommonModel(BaseModel):
             time_factor = how_many / fraction
 
         data = self.tsdf.loc[cast(int, earlier) : cast(int, later)]
-        result = (
-            data.pct_change(fill_method=cast(str, None)).std().mul(sqrt(time_factor))
-        )
+        result = data.pct_change().std().mul(sqrt(time_factor))
 
         if self.tsdf.shape[1] == 1:
             return float(cast(SupportsFloat, result.iloc[0]))
@@ -1285,22 +1281,20 @@ class _CommonModel(BaseModel):
         if drift_adjust:
             imp_vol = (-sqrt(time_factor) / norm.ppf(level)) * (
                 self.tsdf.loc[cast(int, earlier) : cast(int, later)]
-                .pct_change(fill_method=cast(str, None))
+                .pct_change()
                 .quantile(1 - level, interpolation=interpolation)
                 - self.tsdf.loc[cast(int, earlier) : cast(int, later)]
-                .pct_change(fill_method=cast(str, None))
+                .pct_change()
                 .sum()
                 / len(
-                    self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change(
-                        fill_method=cast(str, None),
-                    ),
+                    self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change(),
                 )
             )
         else:
             imp_vol = (
                 -sqrt(time_factor)
                 * self.tsdf.loc[cast(int, earlier) : cast(int, later)]
-                .pct_change(fill_method=cast(str, None))
+                .pct_change()
                 .quantile(1 - level, interpolation=interpolation)
                 / norm.ppf(level)
             )
@@ -1363,14 +1357,14 @@ class _CommonModel(BaseModel):
         cvar_df = self.tsdf.loc[cast(int, earlier) : cast(int, later)].copy(deep=True)
         result = [
             cvar_df.loc[:, x]  # type: ignore[call-overload,index]
-            .pct_change(fill_method=cast(str, None))
+            .pct_change()
             .sort_values()
             .iloc[
                 : int(
                     ceil(
                         (1 - level)
                         * cvar_df.loc[:, x]  # type: ignore[index]
-                        .pct_change(fill_method=cast(str, None))
+                        .pct_change()
                         .count(),
                     ),
                 )
@@ -1430,7 +1424,7 @@ class _CommonModel(BaseModel):
         )
         how_many = (
             self.tsdf.loc[cast(int, earlier) : cast(int, later)]
-            .pct_change(fill_method=cast(str, None))
+            .pct_change()
             .count(numeric_only=True)
         )
         if periods_in_a_year_fixed:
@@ -1445,7 +1439,7 @@ class _CommonModel(BaseModel):
 
         dddf = (
             self.tsdf.loc[cast(int, earlier) : cast(int, later)]
-            .pct_change(fill_method=cast(str, None))
+            .pct_change()
             .sub(min_accepted_return / time_factor)
         )
 
@@ -1548,7 +1542,7 @@ class _CommonModel(BaseModel):
         )
         result: NDArray[float64] = skew(
             a=self.tsdf.loc[cast(int, earlier) : cast(int, later)]
-            .pct_change(fill_method=cast(str, None))
+            .pct_change()
             .to_numpy(),
             bias=True,
             nan_policy="omit",
@@ -1595,9 +1589,7 @@ class _CommonModel(BaseModel):
             to_dt=to_date,
         )
         result: NDArray[float64] = kurtosis(
-            self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change(
-                fill_method=cast(str, None),
-            ),
+            self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change(),
             fisher=True,
             bias=True,
             nan_policy="omit",
@@ -1693,19 +1685,13 @@ class _CommonModel(BaseModel):
         )
         pos = (
             self.tsdf.loc[cast(int, earlier) : cast(int, later)]
-            .pct_change(fill_method=cast(str, None))[1:][
-                self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change(
-                    fill_method=cast(str, None),
-                )[1:]
+            .pct_change()[1:][
+                self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change()[1:]
                 > zero
             ]
             .count()
         )
-        tot = (
-            self.tsdf.loc[cast(int, earlier) : cast(int, later)]
-            .pct_change(fill_method=cast(str, None))[1:]
-            .count()
-        )
+        tot = self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change().count()
         share = pos / tot
         if self.tsdf.shape[1] == 1:
             return float(share.iloc[0])
@@ -1881,9 +1867,7 @@ class _CommonModel(BaseModel):
             from_dt=from_date,
             to_dt=to_date,
         )
-        retdf = self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change(
-            fill_method=cast(str, None),
-        )
+        retdf = self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change()
         pos = retdf[retdf > min_accepted_return].sub(min_accepted_return).sum()
         neg = retdf[retdf < min_accepted_return].sub(min_accepted_return).sum()
         ratio = pos / -neg
@@ -1932,9 +1916,7 @@ 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
 
@@ -1973,7 +1955,7 @@ class _CommonModel(BaseModel):
             period = "-".join([str(year), str(month).zfill(2)])
         vrdf = self.tsdf.copy()
         vrdf.index = DatetimeIndex(vrdf.index)
-        resultdf = DataFrame(vrdf.pct_change(fill_method=None))  # type: ignore[arg-type]
+        resultdf = DataFrame(vrdf.pct_change())
         result = resultdf.loc[period] + 1
         cal_period = result.cumprod(axis="index").iloc[-1] - 1
         if self.tsdf.shape[1] == 1:
@@ -2025,7 +2007,7 @@ class _CommonModel(BaseModel):
         )
         result = (
             self.tsdf.loc[cast(int, earlier) : cast(int, later)]
-            .pct_change(fill_method=cast(str, None))
+            .pct_change()
             .quantile(1 - level, interpolation=interpolation)
         )
 
@@ -2073,7 +2055,7 @@ class _CommonModel(BaseModel):
         )
         result = (
             self.tsdf.loc[cast(int, earlier) : cast(int, later)]
-            .pct_change(fill_method=cast(str, None))
+            .pct_change()
             .rolling(observations, min_periods=observations)
             .sum()
             .min()
@@ -2119,9 +2101,7 @@ class _CommonModel(BaseModel):
             from_dt=from_date,
             to_dt=to_date,
         )
-        zscframe = self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change(
-            fill_method=cast(str, None),
-        )
+        zscframe = self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change()
         result = (zscframe.iloc[-1] - zscframe.mean()) / zscframe.std()
 
         if self.tsdf.shape[1] == 1:
@@ -2190,7 +2170,7 @@ class _CommonModel(BaseModel):
         ret_label = cast(tuple[str], self.tsdf.iloc[:, column].name)[0]
         retseries = (
             self.tsdf.iloc[:, column]
-            .pct_change(fill_method=cast(str, None))
+            .pct_change()
             .rolling(observations, min_periods=observations)
             .sum()
         )
@@ -2267,7 +2247,7 @@ class _CommonModel(BaseModel):
         else:
             time_factor = self.periods_in_a_year
         vol_label = cast(tuple[str, ValueType], self.tsdf.iloc[:, column].name)[0]
-        dframe = self.tsdf.iloc[:, column].pct_change(fill_method=cast(str, None))
+        dframe = self.tsdf.iloc[:, column].pct_change()
         volseries = dframe.rolling(
             observations,
             min_periods=observations,

{openseries-1.7.1 → openseries-1.7.3}/openseries/datefixer.py

@@ -92,9 +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)
 
@@ -115,6 +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):
@@ -125,10 +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(
@@ -340,7 +336,7 @@ def generate_calendar_date_range(
         )
         calendar = holiday_calendar(
             startyear=start.year,
-            endyear=tmp_range[-1].year,
+            endyear=date_fix(tmp_range[-1]).year,
             countries=countries,
         )
         return [
@@ -355,7 +351,7 @@ def generate_calendar_date_range(
     if end and not start:
         tmp_range = date_range(end=end, periods=trading_days * 365 // 252, freq="D")
         calendar = holiday_calendar(
-            startyear=tmp_range[0].year,
+            startyear=date_fix(tmp_range[0]).year,
             endyear=end.year,
             countries=countries,
         )
@@ -372,12 +368,9 @@ 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)
 
 
-# noinspection PyUnusedLocal
 def _do_resample_to_business_period_ends(
     data: DataFrame,
     freq: LiteralBizDayFreq,
@@ -427,4 +420,4 @@ def _do_resample_to_business_period_ends(
         ]
         + [copydata.index[-1]],
     )
-    return dates.drop_duplicates()
+    return DatetimeIndex(dates.drop_duplicates())

{openseries-1.7.1 → openseries-1.7.3}/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,
@@ -337,7 +336,7 @@ class OpenFrame(_CommonModel):
             The returns of the values in the series
 
         """
-        self.tsdf = self.tsdf.pct_change(fill_method=None)
+        self.tsdf = self.tsdf.pct_change()
         self.tsdf.iloc[0] = 0
         new_labels = [ValueType.RTRN] * self.item_count
         arrays = [self.tsdf.columns.get_level_values(0), new_labels]
@@ -450,7 +449,8 @@ class OpenFrame(_CommonModel):
                 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()
@@ -589,7 +589,7 @@ class OpenFrame(_CommonModel):
             Correlation matrix
 
         """
-        corr_matrix = self.tsdf.pct_change(fill_method=None).corr(
+        corr_matrix = self.tsdf.pct_change().corr(
             method="pearson",
             min_periods=1,
         )
@@ -616,7 +616,6 @@ class OpenFrame(_CommonModel):
 
         """
         self.constituents += [new_series]
-        # noinspection PyUnreachableCode
         self.tsdf = concat([self.tsdf, new_series.tsdf], axis="columns", sort=True)
         return self
 
@@ -777,6 +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[
                 :,
@@ -798,10 +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)
@@ -817,10 +814,9 @@ class OpenFrame(_CommonModel):
                     :,
                     item,
                 ]
-                # noinspection PyTypeChecker
                 relative = 1.0 + longdf - shortdf
                 vol = float(
-                    relative.pct_change(fill_method=None).std() * sqrt(time_factor),
+                    relative.pct_change().std() * sqrt(time_factor),
                 )
                 terrors.append(vol)
 
@@ -870,6 +866,7 @@ 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[
                 :,
@@ -891,10 +888,7 @@ 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)
@@ -910,13 +904,12 @@ class OpenFrame(_CommonModel):
                     :,
                     item,
                 ]
-                # noinspection PyTypeChecker
                 relative = 1.0 + longdf - shortdf
                 ret = float(
-                    relative.pct_change(fill_method=None).mean() * time_factor,
+                    relative.pct_change().mean() * time_factor,
                 )
                 vol = float(
-                    relative.pct_change(fill_method=None).std() * sqrt(time_factor),
+                    relative.pct_change().std() * sqrt(time_factor),
                 )
                 ratios.append(ret / vol)
 
@@ -974,6 +967,7 @@ 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[
                 :,
@@ -995,10 +989,7 @@ 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)
@@ -1014,20 +1005,19 @@ class OpenFrame(_CommonModel):
                     :,
                     item,
                 ]
+                msg = "ratio must be one of 'up', 'down' or 'both'."
                 if ratio == "up":
                     uparray = (
-                        longdf.pct_change(fill_method=None)[
-                            shortdf.pct_change(fill_method=None).to_numpy()
-                            > loss_limit
+                        longdf.pct_change()[
+                            shortdf.pct_change().to_numpy() > loss_limit
                         ]
                         .add(1)
                         .to_numpy()
                     )
                     up_rtrn = uparray.prod() ** (1 / (len(uparray) / time_factor)) - 1
                     upidxarray = (
-                        shortdf.pct_change(fill_method=None)[
-                            shortdf.pct_change(fill_method=None).to_numpy()
-                            > loss_limit
+                        shortdf.pct_change()[
+                            shortdf.pct_change().to_numpy() > loss_limit
                         ]
                         .add(1)
                         .to_numpy()
@@ -1038,9 +1028,8 @@ class OpenFrame(_CommonModel):
                     ratios.append(up_rtrn / up_idx_return)
                 elif ratio == "down":
                     downarray = (
-                        longdf.pct_change(fill_method=None)[
-                            shortdf.pct_change(fill_method=None).to_numpy()
-                            < loss_limit
+                        longdf.pct_change()[
+                            shortdf.pct_change().to_numpy() < loss_limit
                         ]
                         .add(1)
                         .to_numpy()
@@ -1049,9 +1038,8 @@ class OpenFrame(_CommonModel):
                         downarray.prod() ** (1 / (len(downarray) / time_factor)) - 1
                     )
                     downidxarray = (
-                        shortdf.pct_change(fill_method=None)[
-                            shortdf.pct_change(fill_method=None).to_numpy()
-                            < loss_limit
+                        shortdf.pct_change()[
+                            shortdf.pct_change().to_numpy() < loss_limit
                         ]
                         .add(1)
                         .to_numpy()
@@ -1063,18 +1051,16 @@ class OpenFrame(_CommonModel):
                     ratios.append(down_return / down_idx_return)
                 elif ratio == "both":
                     uparray = (
-                        longdf.pct_change(fill_method=None)[
-                            shortdf.pct_change(fill_method=None).to_numpy()
-                            > loss_limit
+                        longdf.pct_change()[
+                            shortdf.pct_change().to_numpy() > loss_limit
                         ]
                         .add(1)
                         .to_numpy()
                     )
                     up_rtrn = uparray.prod() ** (1 / (len(uparray) / time_factor)) - 1
                     upidxarray = (
-                        shortdf.pct_change(fill_method=None)[
-                            shortdf.pct_change(fill_method=None).to_numpy()
-                            > loss_limit
+                        shortdf.pct_change()[
+                            shortdf.pct_change().to_numpy() > loss_limit
                         ]
                         .add(1)
                         .to_numpy()
@@ -1083,9 +1069,8 @@ class OpenFrame(_CommonModel):
                         upidxarray.prod() ** (1 / (len(upidxarray) / time_factor)) - 1
                     )
                     downarray = (
-                        longdf.pct_change(fill_method=None)[
-                            shortdf.pct_change(fill_method=None).to_numpy()
-                            < loss_limit
+                        longdf.pct_change()[
+                            shortdf.pct_change().to_numpy() < loss_limit
                         ]
                         .add(1)
                         .to_numpy()
@@ -1094,9 +1079,8 @@ class OpenFrame(_CommonModel):
                         downarray.prod() ** (1 / (len(downarray) / time_factor)) - 1
                     )
                     downidxarray = (
-                        shortdf.pct_change(fill_method=None)[
-                            shortdf.pct_change(fill_method=None).to_numpy()
-                            < loss_limit
+                        shortdf.pct_change()[
+                            shortdf.pct_change().to_numpy() < loss_limit
                         ]
                         .add(1)
                         .to_numpy()
@@ -1109,7 +1093,6 @@ class OpenFrame(_CommonModel):
                         (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":
@@ -1156,25 +1139,23 @@ 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 +1165,9 @@ 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 +1177,7 @@ 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 +1218,7 @@ 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 +1229,9 @@ 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 +1242,7 @@ 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 +1288,7 @@ 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 +1296,9 @@ 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 +1306,9 @@ 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 +1340,9 @@ 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 +1374,7 @@ 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]
@@ -1439,16 +1406,16 @@ 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
             for x in self.tsdf.columns.get_level_values(1).to_numpy()
         ):
-            dframe = dframe.pct_change(fill_method=None)
+            dframe = dframe.pct_change()
             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 +1424,10 @@ 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",
@@ -1515,13 +1482,11 @@ class OpenFrame(_CommonModel):
         )
 
         retseries = (
-            relative.pct_change(fill_method=None)
-            .rolling(observations, min_periods=observations)
-            .sum()
+            relative.pct_change().rolling(observations, min_periods=observations).sum()
         )
         retdf = retseries.dropna().to_frame()
 
-        voldf = relative.pct_change(fill_method=None).rolling(
+        voldf = relative.pct_change().rolling(
             observations,
             min_periods=observations,
         ).std() * sqrt(time_factor)
@@ -1565,7 +1530,7 @@ class OpenFrame(_CommonModel):
         asset_label = cast(tuple[str, str], self.tsdf.iloc[:, asset_column].name)[0]
         beta_label = f"{asset_label} / {market_label}"
 
-        rolling = self.tsdf.pct_change(fill_method=None).rolling(
+        rolling = self.tsdf.pct_change().rolling(
             observations,
             min_periods=observations,
         )
@@ -1622,12 +1587,10 @@ class OpenFrame(_CommonModel):
         )
         first_series = (
             self.tsdf.iloc[:, first_column]
-            .pct_change(fill_method=None)[1:]
+            .pct_change()[1:]
             .rolling(observations, min_periods=observations)
         )
-        second_series = self.tsdf.iloc[:, second_column].pct_change(
-            fill_method=None,
-        )[1:]
+        second_series = self.tsdf.iloc[:, second_column].pct_change()[1:]
         corrdf = first_series.corr(other=second_series).dropna().to_frame()
         corrdf.columns = MultiIndex.from_arrays(
             [

{openseries-1.7.1 → openseries-1.7.3}/openseries/portfoliotools.py

@@ -10,7 +10,6 @@ from typing import TYPE_CHECKING, Callable, cast
 from numpy import (
     append,
     array,
-    dot,
     float64,
     inf,
     isnan,
@@ -107,17 +106,13 @@ def simulate_portfolios(
         all_weights[x, :] = weights
 
         vol_arr[x] = sqrt(
-            dot(
-                weights.T,
-                dot(log_ret.cov() * simframe.periods_in_a_year, weights),
-            ),
+            weights.T @ (log_ret.cov() * simframe.periods_in_a_year @ weights),
         )
 
         ret_arr[x] = npsum(log_ret.mean() * weights * simframe.periods_in_a_year)
 
         sharpe_arr[x] = ret_arr[x] / vol_arr[x]
 
-    # noinspection PyUnreachableCode
     simdf = concat(
         [
             DataFrame({"stdev": vol_arr, "ret": ret_arr, "sharpe": sharpe_arr}),
@@ -198,7 +193,7 @@ 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]))
 

{openseries-1.7.1 → openseries-1.7.3}/openseries/series.py

@@ -107,20 +107,20 @@ class OpenTimeSeries(_CommonModel):
 
     @field_validator("domestic", mode="before")
     @classmethod
-    def validate_domestic(cls, value: CurrencyStringType) -> CurrencyStringType:
+    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:
+    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)
@@ -205,7 +205,7 @@ class OpenTimeSeries(_CommonModel):
     @classmethod
     def from_df(
         cls: type[OpenTimeSeries],
-        dframe: DataFrame | Series[float],
+        dframe: Series[float] | DataFrame,
         column_nmbr: int = 0,
         valuetype: ValueType = ValueType.PRICE,
         baseccy: CurrencyStringType = "SEK",
@@ -233,6 +233,7 @@ class OpenTimeSeries(_CommonModel):
             An OpenTimeSeries object
 
         """
+        msg = "Argument dframe must be pandas Series or DataFrame."
         if isinstance(dframe, Series):
             if isinstance(dframe.name, tuple):
                 label, _ = dframe.name
@@ -263,7 +264,6 @@ 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]
@@ -337,9 +337,7 @@ 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(
             [
@@ -436,7 +434,7 @@ class OpenTimeSeries(_CommonModel):
             The returns of the values in the series
 
         """
-        self.tsdf = self.tsdf.pct_change(fill_method=None)  # type: ignore[arg-type]
+        self.tsdf = self.tsdf.pct_change()
         self.tsdf.iloc[0] = 0
         self.valuetype = ValueType.RTRN
         self.tsdf.columns = MultiIndex.from_arrays(
@@ -696,7 +694,7 @@ class OpenTimeSeries(_CommonModel):
             returns_input = True
         else:
             values = [cast(float, self.tsdf.iloc[0, 0])]
-            ra_df = self.tsdf.pct_change(fill_method=None)  # type: ignore[arg-type]
+            ra_df = self.tsdf.pct_change()
             returns_input = False
         ra_df = ra_df.dropna()
 

{openseries-1.7.1 → openseries-1.7.3}/openseries/simulation.py

@@ -122,10 +122,7 @@ class ReturnSimulation(BaseModel):
         """
         return cast(
             float,
-            (
-                self.results.pct_change(fill_method=cast(str, None)).mean()
-                * self.trading_days_in_year
-            ).iloc[0],
+            (self.results.pct_change().mean() * self.trading_days_in_year).iloc[0],
         )
 
     @property
@@ -140,10 +137,9 @@ class ReturnSimulation(BaseModel):
         """
         return cast(
             float,
-            (
-                self.results.pct_change(fill_method=cast(str, None)).std()
-                * sqrt(self.trading_days_in_year)
-            ).iloc[0],
+            (self.results.pct_change().std() * sqrt(self.trading_days_in_year)).iloc[
+                0
+            ],
         )
 
     @classmethod

{openseries-1.7.1 → openseries-1.7.3}/openseries/types.py

@@ -4,6 +4,7 @@ from __future__ import annotations
 
 import datetime as dt
 from enum import Enum
+from pprint import pformat
 from typing import Annotated, ClassVar, Literal, Union
 
 from numpy import datetime64
@@ -225,8 +226,8 @@ LiteralFrameProps = Literal[
 ]
 
 
-class OpenTimeSeriesPropertiesList(list[str]):
-    """Allowed property arguments for the OpenTimeSeries class."""
+class PropertiesList(list[str]):
+    """Base class for allowed property arguments definition."""
 
     allowed_strings: ClassVar[set[str]] = {
         "value_ret",
@@ -246,9 +247,38 @@ class OpenTimeSeriesPropertiesList(list[str]):
         "vol_from_var",
         "worst",
         "worst_month",
-        "max_drawdown_cal_year",
         "max_drawdown",
         "max_drawdown_date",
+        "max_drawdown_cal_year",
+    }
+
+    def _validate(self: Self) -> None:
+        """Validate the string input of the all_properties method."""
+        seen = set()
+        invalids = set()
+        duplicates = set()
+        msg = ""
+        for item in self:
+            if item not in self.allowed_strings:
+                invalids.add(item)
+            if item in seen:
+                duplicates.add(item)
+            seen.add(item)
+        if len(invalids) != 0:
+            msg += (
+                f"Invalid string(s): {list(invalids)}.\nAllowed strings are:"
+                f"\n{pformat(self.allowed_strings)}\n"
+            )
+        if len(duplicates) != 0:
+            msg += f"Duplicate string(s): {list(duplicates)}."
+        if len(msg) != 0:
+            raise ValueError(msg)
+
+
+class OpenTimeSeriesPropertiesList(PropertiesList):
+    """Allowed property arguments for the OpenTimeSeries class."""
+
+    allowed_strings: ClassVar[set[str]] = PropertiesList.allowed_strings | {
         "first_idx",
         "last_idx",
         "length",
@@ -265,46 +295,11 @@ class OpenTimeSeriesPropertiesList(list[str]):
         super().__init__(args)
         self._validate()
 
-    def _validate(self: Self) -> None:
-        seen = set()
-        for item in self:
-            if item not in self.allowed_strings:
-                msg = (
-                    f"Invalid string: {item}. Allowed strings: {self.allowed_strings}"
-                )
-                raise ValueError(
-                    msg,
-                )
-            if item in seen:
-                msg = f"Duplicate string: {item}"
-                raise ValueError(msg)
-            seen.add(item)
-
 
-class OpenFramePropertiesList(list[str]):
+class OpenFramePropertiesList(PropertiesList):
     """Allowed property arguments for the OpenFrame class."""
 
-    allowed_strings: ClassVar[set[str]] = {
-        "value_ret",
-        "geo_ret",
-        "arithmetic_ret",
-        "vol",
-        "downside_deviation",
-        "ret_vol_ratio",
-        "sortino_ratio",
-        "omega_ratio",
-        "z_score",
-        "skew",
-        "kurtosis",
-        "positive_share",
-        "var_down",
-        "cvar_down",
-        "vol_from_var",
-        "worst",
-        "worst_month",
-        "max_drawdown",
-        "max_drawdown_date",
-        "max_drawdown_cal_year",
+    allowed_strings: ClassVar[set[str]] = PropertiesList.allowed_strings | {
         "first_indices",
         "last_indices",
         "lengths_of_items",
@@ -316,21 +311,6 @@ class OpenFramePropertiesList(list[str]):
         super().__init__(args)
         self._validate()
 
-    def _validate(self: Self) -> None:
-        seen = set()
-        for item in self:
-            if item not in self.allowed_strings:
-                msg = (
-                    f"Invalid string: {item}. Allowed strings: {self.allowed_strings}"
-                )
-                raise ValueError(
-                    msg,
-                )
-            if item in seen:
-                msg = f"Duplicate string: {item}"
-                raise ValueError(msg)
-            seen.add(item)
-
 
 class ValueType(str, Enum):
     """Enum types of OpenTimeSeries to identify the output."""

{openseries-1.7.1 → openseries-1.7.3}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "openseries"
-version = "1.7.1"
+version = "1.7.3"
 description = "Tools for analyzing financial timeseries."
 authors = ["Martin Karrin <martin.karrin@captor.se>"]
 repository = "https://github.com/CaptorAB/openseries"
@@ -49,11 +49,11 @@ statsmodels = ">=0.14.0,<1.0.0"
 black = ">=24.4.2,<25.0.0"
 coverage = ">=7.6.0,<8.0.0"
 genbadge = {version = ">=1.1.1,<2.0.0", extras = ["coverage"]}
-mypy = "^1.11.1"
+mypy = "^1.11.2"
 pandas-stubs = ">=2.1.2,<3.0.0"
 pre-commit = ">=3.7.1,<4.0.0"
 pytest = ">=8.2.2,<9.0.0"
-ruff = "^0.5.7"
+ruff = "^0.6.5"
 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"
@@ -79,7 +79,7 @@ output = "coverage.xml"
 exclude = ["venv/*"]
 strict = true
 pretty = true
-warn_unreachable = false
+warn_unreachable = true
 warn_redundant_casts = true
 warn_unused_ignores = true
 disallow_any_generics = true