openseries 1.7.4__tar.gz → 1.7.6__tar.gz

{openseries-1.7.4 → openseries-1.7.6}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: openseries
-Version: 1.7.4
+Version: 1.7.6
 Summary: Tools for analyzing financial timeseries.
 Home-page: https://github.com/CaptorAB/openseries
 License: BSD-3-Clause
@@ -20,16 +20,16 @@ Classifier: Programming Language :: Python :: 3.11
 Classifier: Programming Language :: Python :: 3.12
 Classifier: Topic :: Office/Business :: Financial :: Investment
 Requires-Dist: holidays (>=0.30,<1.0)
-Requires-Dist: numpy (>=1.23.2,<=3.0.0)
+Requires-Dist: numpy (>=1.23.2,<3.0.0)
 Requires-Dist: openpyxl (>=3.1.2,<4.0.0)
 Requires-Dist: pandas (>=2.1.2,<3.0.0)
 Requires-Dist: plotly (>=5.18.0,<6.0.0)
-Requires-Dist: pyarrow (>=14.0.2,<18.0.0)
+Requires-Dist: pyarrow (>=14.0.2,<19.0.0)
 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: statsmodels (>=0.14.0,<1.0.0)
+Requires-Dist: statsmodels (>=0.14.0,!=0.14.2,<1.0.0)
 Project-URL: Repository, https://github.com/CaptorAB/openseries
 Description-Content-Type: text/markdown
 

{openseries-1.7.4 → openseries-1.7.6}/openseries/_common_model.py

@@ -43,7 +43,11 @@ from ._risk import (
     _cvar_down_calc,
     _var_down_calc,
 )
-from .datefixer import date_offset_foll, holiday_calendar
+from .datefixer import (
+    _do_resample_to_business_period_ends,
+    date_offset_foll,
+    holiday_calendar,
+)
 from .load_plotly import load_plotly_dict
 from .types import (
     CountriesType,
@@ -52,6 +56,7 @@ from .types import (
     LiteralJsonOutput,
     LiteralLinePlotMode,
     LiteralNanMethod,
+    LiteralPandasReindexMethod,
     LiteralPlotlyJSlib,
     LiteralPlotlyOutput,
     LiteralQuantileInterp,
@@ -358,9 +363,17 @@ class _CommonModel(BaseModel):
             Most negative month
 
         """
+        method: LiteralPandasReindexMethod = "nearest"
+        countries = "SE"
         wmdf = self.tsdf.copy()
+        dates = _do_resample_to_business_period_ends(
+            data=wmdf,
+            freq="BME",
+            countries=countries,
+        )
+        wmdf = wmdf.reindex(index=[deyt.date() for deyt in dates], method=method)
         wmdf.index = DatetimeIndex(wmdf.index)
-        result = wmdf.resample("BME").last().pct_change().min()
+        result = wmdf.ffill().pct_change().min()
 
         if self.tsdf.shape[1] == 1:
             return float(result.iloc[0])
@@ -1285,19 +1298,24 @@ class _CommonModel(BaseModel):
         if drift_adjust:
             imp_vol = (-sqrt(time_factor) / norm.ppf(level)) * (
                 self.tsdf.loc[cast(int, earlier) : cast(int, later)]
+                .ffill()
                 .pct_change()
                 .quantile(1 - level, interpolation=interpolation)
                 - self.tsdf.loc[cast(int, earlier) : cast(int, later)]
+                .ffill()
                 .pct_change()
                 .sum()
                 / len(
-                    self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change(),
+                    self.tsdf.loc[cast(int, earlier) : cast(int, later)]
+                    .ffill()
+                    .pct_change(),
                 )
             )
         else:
             imp_vol = (
                 -sqrt(time_factor)
                 * self.tsdf.loc[cast(int, earlier) : cast(int, later)]
+                .ffill()
                 .pct_change()
                 .quantile(1 - level, interpolation=interpolation)
                 / norm.ppf(level)
@@ -1361,6 +1379,7 @@ 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]
+            .ffill()
             .pct_change()
             .sort_values()
             .iloc[
@@ -1368,6 +1387,7 @@ class _CommonModel(BaseModel):
                     ceil(
                         (1 - level)
                         * cvar_df.loc[:, x]  # type: ignore[index]
+                        .ffill()
                         .pct_change()
                         .count(),
                     ),
@@ -1428,6 +1448,7 @@ class _CommonModel(BaseModel):
         )
         how_many = (
             self.tsdf.loc[cast(int, earlier) : cast(int, later)]
+            .ffill()
             .pct_change()
             .count(numeric_only=True)
         )
@@ -1443,6 +1464,7 @@ class _CommonModel(BaseModel):
 
         dddf = (
             self.tsdf.loc[cast(int, earlier) : cast(int, later)]
+            .ffill()
             .pct_change()
             .sub(min_accepted_return / time_factor)
         )
@@ -1546,6 +1568,7 @@ class _CommonModel(BaseModel):
         )
         result: NDArray[float64] = skew(
             a=self.tsdf.loc[cast(int, earlier) : cast(int, later)]
+            .ffill()
             .pct_change()
             .to_numpy(),
             bias=True,
@@ -1593,7 +1616,7 @@ class _CommonModel(BaseModel):
             to_dt=to_date,
         )
         result: NDArray[float64] = kurtosis(
-            self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change(),
+            self.tsdf.loc[cast(int, earlier) : cast(int, later)].ffill().pct_change(),
             fisher=True,
             bias=True,
             nan_policy="omit",
@@ -1689,13 +1712,21 @@ class _CommonModel(BaseModel):
         )
         pos = (
             self.tsdf.loc[cast(int, earlier) : cast(int, later)]
+            .ffill()
             .pct_change()[1:][
-                self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change()[1:]
+                self.tsdf.loc[cast(int, earlier) : cast(int, later)]
+                .ffill()
+                .pct_change()[1:]
                 > zero
             ]
             .count()
         )
-        tot = self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change().count()
+        tot = (
+            self.tsdf.loc[cast(int, earlier) : cast(int, later)]
+            .ffill()
+            .pct_change()
+            .count()
+        )
         share = pos / tot
         if self.tsdf.shape[1] == 1:
             return float(share.iloc[0])
@@ -1871,7 +1902,9 @@ class _CommonModel(BaseModel):
             from_dt=from_date,
             to_dt=to_date,
         )
-        retdf = self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change()
+        retdf = (
+            self.tsdf.loc[cast(int, earlier) : cast(int, later)].ffill().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
@@ -1959,7 +1992,7 @@ 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())
+        resultdf = DataFrame(vrdf.ffill().pct_change())
         result = resultdf.loc[period] + 1
         cal_period = result.cumprod(axis="index").iloc[-1] - 1
         if self.tsdf.shape[1] == 1:
@@ -2011,6 +2044,7 @@ class _CommonModel(BaseModel):
         )
         result = (
             self.tsdf.loc[cast(int, earlier) : cast(int, later)]
+            .ffill()
             .pct_change()
             .quantile(1 - level, interpolation=interpolation)
         )
@@ -2059,6 +2093,7 @@ class _CommonModel(BaseModel):
         )
         result = (
             self.tsdf.loc[cast(int, earlier) : cast(int, later)]
+            .ffill()
             .pct_change()
             .rolling(observations, min_periods=observations)
             .sum()
@@ -2105,7 +2140,9 @@ class _CommonModel(BaseModel):
             from_dt=from_date,
             to_dt=to_date,
         )
-        zscframe = self.tsdf.loc[cast(int, earlier) : cast(int, later)].pct_change()
+        zscframe = (
+            self.tsdf.loc[cast(int, earlier) : cast(int, later)].ffill().pct_change()
+        )
         result = (zscframe.iloc[-1] - zscframe.mean()) / zscframe.std()
 
         if self.tsdf.shape[1] == 1:
@@ -2174,6 +2211,7 @@ class _CommonModel(BaseModel):
         ret_label = cast(tuple[str], self.tsdf.iloc[:, column].name)[0]
         retseries = (
             self.tsdf.iloc[:, column]
+            .ffill()
             .pct_change()
             .rolling(observations, min_periods=observations)
             .sum()
@@ -2251,7 +2289,7 @@ 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()
+        dframe = self.tsdf.iloc[:, column].ffill().pct_change()
         volseries = dframe.rolling(
             observations,
             min_periods=observations,

{openseries-1.7.4 → openseries-1.7.6}/openseries/frame.py

@@ -602,9 +602,13 @@ class OpenFrame(_CommonModel):
             Correlation matrix
 
         """
-        corr_matrix = self.tsdf.pct_change().corr(
-            method="pearson",
-            min_periods=1,
+        corr_matrix = (
+            self.tsdf.ffill()
+            .pct_change()
+            .corr(
+                method="pearson",
+                min_periods=1,
+            )
         )
         corr_matrix.columns = corr_matrix.columns.droplevel(level=1)
         corr_matrix.index = corr_matrix.index.droplevel(level=1)
@@ -829,7 +833,7 @@ class OpenFrame(_CommonModel):
                 ]
                 relative = 1.0 + longdf - shortdf
                 vol = float(
-                    relative.pct_change().std() * sqrt(time_factor),
+                    relative.ffill().pct_change().std() * sqrt(time_factor),
                 )
                 terrors.append(vol)
 
@@ -919,10 +923,10 @@ class OpenFrame(_CommonModel):
                 ]
                 relative = 1.0 + longdf - shortdf
                 ret = float(
-                    relative.pct_change().mean() * time_factor,
+                    relative.ffill().pct_change().mean() * time_factor,
                 )
                 vol = float(
-                    relative.pct_change().std() * sqrt(time_factor),
+                    relative.ffill().pct_change().std() * sqrt(time_factor),
                 )
                 ratios.append(ret / vol)
 
@@ -1021,16 +1025,18 @@ class OpenFrame(_CommonModel):
                 msg = "ratio must be one of 'up', 'down' or 'both'."
                 if ratio == "up":
                     uparray = (
-                        longdf.pct_change()[
-                            shortdf.pct_change().to_numpy() > loss_limit
+                        longdf.ffill()
+                        .pct_change()[
+                            shortdf.ffill().pct_change().to_numpy() > loss_limit
                         ]
                         .add(1)
                         .to_numpy()
                     )
                     up_rtrn = uparray.prod() ** (1 / (len(uparray) / time_factor)) - 1
                     upidxarray = (
-                        shortdf.pct_change()[
-                            shortdf.pct_change().to_numpy() > loss_limit
+                        shortdf.ffill()
+                        .pct_change()[
+                            shortdf.ffill().pct_change().to_numpy() > loss_limit
                         ]
                         .add(1)
                         .to_numpy()
@@ -1041,8 +1047,9 @@ class OpenFrame(_CommonModel):
                     ratios.append(up_rtrn / up_idx_return)
                 elif ratio == "down":
                     downarray = (
-                        longdf.pct_change()[
-                            shortdf.pct_change().to_numpy() < loss_limit
+                        longdf.ffill()
+                        .pct_change()[
+                            shortdf.ffill().pct_change().to_numpy() < loss_limit
                         ]
                         .add(1)
                         .to_numpy()
@@ -1051,8 +1058,9 @@ class OpenFrame(_CommonModel):
                         downarray.prod() ** (1 / (len(downarray) / time_factor)) - 1
                     )
                     downidxarray = (
-                        shortdf.pct_change()[
-                            shortdf.pct_change().to_numpy() < loss_limit
+                        shortdf.ffill()
+                        .pct_change()[
+                            shortdf.ffill().pct_change().to_numpy() < loss_limit
                         ]
                         .add(1)
                         .to_numpy()
@@ -1064,16 +1072,18 @@ class OpenFrame(_CommonModel):
                     ratios.append(down_return / down_idx_return)
                 elif ratio == "both":
                     uparray = (
-                        longdf.pct_change()[
-                            shortdf.pct_change().to_numpy() > loss_limit
+                        longdf.ffill()
+                        .pct_change()[
+                            shortdf.ffill().pct_change().to_numpy() > loss_limit
                         ]
                         .add(1)
                         .to_numpy()
                     )
                     up_rtrn = uparray.prod() ** (1 / (len(uparray) / time_factor)) - 1
                     upidxarray = (
-                        shortdf.pct_change()[
-                            shortdf.pct_change().to_numpy() > loss_limit
+                        shortdf.ffill()
+                        .pct_change()[
+                            shortdf.ffill().pct_change().to_numpy() > loss_limit
                         ]
                         .add(1)
                         .to_numpy()
@@ -1082,8 +1092,9 @@ class OpenFrame(_CommonModel):
                         upidxarray.prod() ** (1 / (len(upidxarray) / time_factor)) - 1
                     )
                     downarray = (
-                        longdf.pct_change()[
-                            shortdf.pct_change().to_numpy() < loss_limit
+                        longdf.ffill()
+                        .pct_change()[
+                            shortdf.ffill().pct_change().to_numpy() < loss_limit
                         ]
                         .add(1)
                         .to_numpy()
@@ -1092,8 +1103,9 @@ class OpenFrame(_CommonModel):
                         downarray.prod() ** (1 / (len(downarray) / time_factor)) - 1
                     )
                     downidxarray = (
-                        shortdf.pct_change()[
-                            shortdf.pct_change().to_numpy() < loss_limit
+                        shortdf.ffill()
+                        .pct_change()[
+                            shortdf.ffill().pct_change().to_numpy() < loss_limit
                         ]
                         .add(1)
                         .to_numpy()
@@ -1499,11 +1511,14 @@ class OpenFrame(_CommonModel):
         )
 
         retseries = (
-            relative.pct_change().rolling(observations, min_periods=observations).sum()
+            relative.ffill()
+            .pct_change()
+            .rolling(observations, min_periods=observations)
+            .sum()
         )
         retdf = retseries.dropna().to_frame()
 
-        voldf = relative.pct_change().rolling(
+        voldf = relative.ffill().pct_change().rolling(
             observations,
             min_periods=observations,
         ).std() * sqrt(time_factor)
@@ -1547,9 +1562,13 @@ 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().rolling(
-            observations,
-            min_periods=observations,
+        rolling = (
+            self.tsdf.ffill()
+            .pct_change()
+            .rolling(
+                observations,
+                min_periods=observations,
+            )
         )
 
         rcov = rolling.cov(ddof=dlta_degr_freedms)
@@ -1604,10 +1623,11 @@ class OpenFrame(_CommonModel):
         )
         first_series = (
             self.tsdf.iloc[:, first_column]
+            .ffill()
             .pct_change()[1:]
             .rolling(observations, min_periods=observations)
         )
-        second_series = self.tsdf.iloc[:, second_column].pct_change()[1:]
+        second_series = self.tsdf.iloc[:, second_column].ffill().pct_change()[1:]
         corrdf = first_series.corr(other=second_series).dropna().to_frame()
         corrdf.columns = MultiIndex.from_arrays(
             [

{openseries-1.7.4 → openseries-1.7.6}/openseries/portfoliotools.py

@@ -308,7 +308,7 @@ def efficient_frontier(  # noqa: C901
 
     if tweak:
         limit_tweak = 0.001
-        line_df["stdev_diff"] = line_df.stdev.pct_change()
+        line_df["stdev_diff"] = line_df.stdev.ffill().pct_change()
         line_df = line_df.loc[line_df.stdev_diff.abs() > limit_tweak]
         line_df = line_df.drop(columns="stdev_diff")
 

{openseries-1.7.4 → openseries-1.7.6}/openseries/series.py

@@ -687,7 +687,7 @@ class OpenTimeSeries(_CommonModel):
             returns_input = True
         else:
             values = [cast(float, self.tsdf.iloc[0, 0])]
-            ra_df = self.tsdf.pct_change()
+            ra_df = self.tsdf.ffill().pct_change()
             returns_input = False
         ra_df = ra_df.dropna()
 

{openseries-1.7.4 → openseries-1.7.6}/openseries/simulation.py

@@ -122,7 +122,9 @@ class ReturnSimulation(BaseModel):
         """
         return cast(
             float,
-            (self.results.pct_change().mean() * self.trading_days_in_year).iloc[0],
+            (
+                self.results.ffill().pct_change().mean() * self.trading_days_in_year
+            ).iloc[0],
         )
 
     @property
@@ -137,9 +139,10 @@ class ReturnSimulation(BaseModel):
         """
         return cast(
             float,
-            (self.results.pct_change().std() * sqrt(self.trading_days_in_year)).iloc[
-                0
-            ],
+            (
+                self.results.ffill().pct_change().std()
+                * sqrt(self.trading_days_in_year)
+            ).iloc[0],
         )
 
     @classmethod

{openseries-1.7.4 → openseries-1.7.6}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "openseries"
-version = "1.7.4"
+version = "1.7.6"
 description = "Tools for analyzing financial timeseries."
 authors = ["Martin Karrin <martin.karrin@captor.se>"]
 repository = "https://github.com/CaptorAB/openseries"
@@ -34,32 +34,32 @@ keywords = [
 [tool.poetry.dependencies]
 python = ">=3.10,<3.13"
 holidays = ">=0.30,<1.0"
-numpy = ">=1.23.2,<=3.0.0"
+numpy = ">=1.23.2,<3.0.0"
 openpyxl = ">=3.1.2,<4.0.0"
 pandas = ">=2.1.2,<3.0.0"
 plotly = ">=5.18.0,<6.0.0"
-pyarrow = ">=14.0.2,<18.0.0"
+pyarrow = ">=14.0.2,<19.0.0"
 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"
-statsmodels = ">=0.14.0,<1.0.0"
+statsmodels = ">=0.14.0,!=0.14.2,<1.0.0"
 
 [tool.poetry.group.dev.dependencies]
 black = ">=24.4.2,<25.0.0"
-coverage = ">=7.6.0,<8.0.0"
+coverage = "^7.6.4"
 genbadge = {version = ">=1.1.1,<2.0.0", extras = ["coverage"]}
-mypy = "^1.11.2"
+mypy = "^1.13.0"
 pandas-stubs = ">=2.1.2,<3.0.0"
 pre-commit = ">=3.7.1,<6.0.0"
 pytest = ">=8.2.2,<9.0.0"
-ruff = "^0.6.9"
+ruff = "^0.7.1"
 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"
 
 [build-system]
-requires = ["poetry-core>=1.8.3"]
+requires = ["poetry-core>=1.8.4"]
 build-backend = "poetry.core.masonry.api"
 
 [tool.coverage.run]