openseries 1.8.0__py3-none-any.whl → 1.8.2__py3-none-any.whl

openseries/series.py

@@ -1,12 +1,15 @@
 """Defining the OpenTimeSeries class."""
 
+# mypy: disable-error-code="no-any-return"
 from __future__ import annotations
 
-import datetime as dt
 from collections.abc import Iterable
 from copy import deepcopy
-from logging import warning
-from typing import Any, TypeVar, cast
+from logging import getLogger
+from typing import TYPE_CHECKING, Any, TypeVar, cast
+
+if TYPE_CHECKING:  # pragma: no cover
+    import datetime as dt
 
 from numpy import (
     append,
@@ -27,7 +30,6 @@ from pandas import (
     date_range,
 )
 from pydantic import field_validator, model_validator
-from typing_extensions import Self
 
 from ._common_model import _CommonModel
 from .datefixer import _do_resample_to_business_period_ends, date_fix
@@ -36,22 +38,27 @@ from .owntypes import (
     CountriesType,
     Currency,
     CurrencyStringType,
+    DateAlignmentError,
     DateListType,
     DaysInYearType,
+    IncorrectArgumentComboError,
     LiteralBizDayFreq,
     LiteralPandasReindexMethod,
     LiteralSeriesProps,
     OpenTimeSeriesPropertiesList,
+    Self,
     ValueListType,
     ValueType,
 )
 
+logger = getLogger(__name__)
+
 __all__ = ["OpenTimeSeries", "timeseries_chain"]
 
 TypeOpenTimeSeries = TypeVar("TypeOpenTimeSeries", bound="OpenTimeSeries")
 
 
-# noinspection PyUnresolvedReferences
+# noinspection PyUnresolvedReferences,PyNestedDecorators
 class OpenTimeSeries(_CommonModel):
     """OpenTimeSeries objects are at the core of the openseries package.
 
@@ -105,14 +112,14 @@ class OpenTimeSeries(_CommonModel):
     isin: str | None = None
     label: str | None = None
 
-    @field_validator("domestic", mode="before")
+    @field_validator("domestic", mode="before")  # type: ignore[misc]
     @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")
+    @field_validator("countries", mode="before")  # type: ignore[misc]
     @classmethod
     def _validate_countries(cls, value: CountriesType) -> CountriesType:
         """Pydantic validator to ensure countries field is validated."""
@@ -142,7 +149,7 @@ class OpenTimeSeries(_CommonModel):
 
     @classmethod
     def from_arrays(
-        cls: type[OpenTimeSeries],
+        cls,
         name: str,
         dates: DateListType,
         values: ValueListType,
@@ -153,7 +160,7 @@ class OpenTimeSeries(_CommonModel):
         baseccy: CurrencyStringType = "SEK",
         *,
         local_ccy: bool = True,
-    ) -> OpenTimeSeries:
+    ) -> Self:
         """Create series from a Pandas DataFrame or Series.
 
         Parameters
@@ -177,7 +184,7 @@ class OpenTimeSeries(_CommonModel):
         local_ccy: bool, default: True
             Boolean flag indicating if timeseries is in local currency
 
-        Returns
+        Returns:
         -------
         OpenTimeSeries
             An OpenTimeSeries object
@@ -204,14 +211,14 @@ class OpenTimeSeries(_CommonModel):
 
     @classmethod
     def from_df(
-        cls: type[OpenTimeSeries],
+        cls,
         dframe: Series[float] | DataFrame,
         column_nmbr: int = 0,
         valuetype: ValueType = ValueType.PRICE,
         baseccy: CurrencyStringType = "SEK",
         *,
         local_ccy: bool = True,
-    ) -> OpenTimeSeries:
+    ) -> Self:
         """Create series from a Pandas DataFrame or Series.
 
         Parameters
@@ -227,7 +234,7 @@ class OpenTimeSeries(_CommonModel):
         local_ccy: bool, default: True
             Boolean flag indicating if timeseries is in local currency
 
-        Returns
+        Returns:
         -------
         OpenTimeSeries
             An OpenTimeSeries object
@@ -240,7 +247,7 @@ class OpenTimeSeries(_CommonModel):
                 label, _ = dframe.name
             else:
                 label = dframe.name
-            values = cast(list[float], dframe.to_numpy().tolist())
+            values = cast("list[float]", dframe.to_numpy().tolist())
         elif isinstance(dframe, DataFrame):
             values = dframe.iloc[:, column_nmbr].to_list()
             if isinstance(dframe.columns, MultiIndex):
@@ -249,7 +256,7 @@ class OpenTimeSeries(_CommonModel):
                 ):
                     label = "Series"
                     msg = f"Label missing. Adding: {label}"
-                    warning(msg=msg)
+                    logger.warning(msg=msg)
                 else:
                     label = dframe.columns.get_level_values(0).to_numpy()[column_nmbr]
                 if _check_if_none(
@@ -257,13 +264,14 @@ class OpenTimeSeries(_CommonModel):
                 ):
                     valuetype = ValueType.PRICE
                     msg = f"valuetype missing. Adding: {valuetype.value}"
-                    warning(msg=msg)
+                    logger.warning(msg=msg)
                 else:
-                    valuetype = dframe.columns.get_level_values(1).to_numpy()[
-                        column_nmbr
-                    ]
+                    valuetype = cast(
+                        "ValueType",
+                        dframe.columns.get_level_values(1).to_numpy()[column_nmbr],
+                    )
             else:
-                label = cast(MultiIndex, dframe.columns).to_numpy()[column_nmbr]
+                label = cast("MultiIndex", dframe.columns).to_numpy()[column_nmbr]
         else:
             raise TypeError(msg)
 
@@ -289,7 +297,7 @@ class OpenTimeSeries(_CommonModel):
 
     @classmethod
     def from_fixed_rate(
-        cls: type[OpenTimeSeries],
+        cls,
         rate: float,
         d_range: DatetimeIndex | None = None,
         days: int | None = None,
@@ -299,7 +307,7 @@ class OpenTimeSeries(_CommonModel):
         baseccy: CurrencyStringType = "SEK",
         *,
         local_ccy: bool = True,
-    ) -> OpenTimeSeries:
+    ) -> Self:
         """Create series from values accruing with a given fixed rate return.
 
         Providing a date_range of type Pandas DatetimeIndex takes priority over
@@ -326,7 +334,7 @@ class OpenTimeSeries(_CommonModel):
         local_ccy: bool, default: True
             Boolean flag indicating if timeseries is in local currency
 
-        Returns
+        Returns:
         -------
         OpenTimeSeries
             An OpenTimeSeries object
@@ -338,7 +346,7 @@ class OpenTimeSeries(_CommonModel):
             )
         elif not isinstance(d_range, Iterable) and not all([days, end_dt]):
             msg = "If d_range is not provided both days and end_dt must be."
-            raise ValueError(msg)
+            raise IncorrectArgumentComboError(msg)
 
         deltas = array(
             [i.days for i in DatetimeIndex(d_range)[1:] - DatetimeIndex(d_range)[:-1]],  # type: ignore[arg-type]
@@ -367,7 +375,7 @@ class OpenTimeSeries(_CommonModel):
     def from_deepcopy(self: Self) -> Self:
         """Create copy of OpenTimeSeries object.
 
-        Returns
+        Returns:
         -------
         OpenTimeSeries
             An OpenTimeSeries object
@@ -378,7 +386,7 @@ class OpenTimeSeries(_CommonModel):
     def pandas_df(self: Self) -> Self:
         """Populate .tsdf Pandas DataFrame from the .dates and .values lists.
 
-        Returns
+        Returns:
         -------
         OpenTimeSeries
             An OpenTimeSeries object
@@ -405,7 +413,7 @@ class OpenTimeSeries(_CommonModel):
         properties: list[LiteralSeriesProps], optional
             The properties to calculate. Defaults to calculating all available.
 
-        Returns
+        Returns:
         -------
         pandas.DataFrame
             Properties of the OpenTimeSeries
@@ -413,7 +421,7 @@ class OpenTimeSeries(_CommonModel):
         """
         if not properties:
             properties = cast(
-                list[LiteralSeriesProps],
+                "list[LiteralSeriesProps]",
                 OpenTimeSeriesPropertiesList.allowed_strings,
             )
 
@@ -425,7 +433,7 @@ class OpenTimeSeries(_CommonModel):
     def value_to_ret(self: Self) -> Self:
         """Convert series of values into series of returns.
 
-        Returns
+        Returns:
         -------
         OpenTimeSeries
             The returns of the values in the series
@@ -435,7 +443,9 @@ class OpenTimeSeries(_CommonModel):
         returns.iloc[0] = 0
         self.valuetype = ValueType.RTRN
         arrays = [[self.label], [self.valuetype]]
-        returns.columns = MultiIndex.from_arrays(arrays=arrays)
+        returns.columns = MultiIndex.from_arrays(
+            arrays=arrays  # type: ignore[arg-type]
+        )
         self.tsdf = returns.copy()
         return self
 
@@ -448,7 +458,7 @@ class OpenTimeSeries(_CommonModel):
             The number of periods between observations over which difference
             is calculated
 
-        Returns
+        Returns:
         -------
         OpenTimeSeries
             An OpenTimeSeries object
@@ -468,7 +478,7 @@ class OpenTimeSeries(_CommonModel):
     def to_cumret(self: Self) -> Self:
         """Convert series of returns into cumulative series of values.
 
-        Returns
+        Returns:
         -------
         OpenTimeSeries
             An OpenTimeSeries object
@@ -503,7 +513,7 @@ class OpenTimeSeries(_CommonModel):
         divider: float, default 100.0
             Convenience divider for when the 1-day rate is not scaled correctly
 
-        Returns
+        Returns:
         -------
         OpenTimeSeries
             An OpenTimeSeries object
@@ -513,7 +523,7 @@ class OpenTimeSeries(_CommonModel):
 
         deltas = array([i.days for i in self.tsdf.index[1:] - self.tsdf.index[:-1]])
         # noinspection PyTypeChecker
-        arr = cumprod(  # type: ignore[assignment,unused-ignore]
+        arr = cumprod(  # type: ignore[assignment]
             a=insert(arr=1.0 + deltas * arr[:-1] / days_in_year, obj=0, values=1.0)
         )
 
@@ -540,7 +550,7 @@ class OpenTimeSeries(_CommonModel):
         freq: LiteralBizDayFreq | str, default "BME"
             The date offset string that sets the resampled frequency
 
-        Returns
+        Returns:
         -------
         OpenTimeSeries
             An OpenTimeSeries object
@@ -567,7 +577,7 @@ class OpenTimeSeries(_CommonModel):
         method: LiteralPandasReindexMethod, default: nearest
             Controls the method used to align values across columns
 
-        Returns
+        Returns:
         -------
         OpenTimeSeries
             An OpenTimeSeries object
@@ -613,7 +623,7 @@ class OpenTimeSeries(_CommonModel):
         periods_in_a_year_fixed : DaysInYearType, optional
             Allows locking the periods-in-a-year to simplify test cases and comparisons
 
-        Returns
+        Returns:
         -------
         Pandas.Series[float]
             Series EWMA volatility
@@ -624,26 +634,26 @@ class OpenTimeSeries(_CommonModel):
             time_factor = float(periods_in_a_year_fixed)
         else:
             how_many = self.tsdf.loc[
-                cast(int, earlier) : cast(int, later),
+                cast("int", earlier) : cast("int", later),
                 self.tsdf.columns.to_numpy()[0],
             ].count()
             fraction = (later - earlier).days / 365.25
-            time_factor = how_many / fraction
+            time_factor = cast("int", how_many) / fraction
 
-        data = self.tsdf.loc[cast(int, earlier) : cast(int, later)].copy()
+        data = self.tsdf.loc[cast("int", earlier) : cast("int", later)].copy()
 
         data[self.label, ValueType.RTRN] = (
             data.loc[:, self.tsdf.columns.to_numpy()[0]].apply(log).diff()
         )
 
         rawdata = [
-            data.loc[:, cast(int, (self.label, ValueType.RTRN))]
+            data.loc[:, cast("int", (self.label, ValueType.RTRN))]
             .iloc[1:day_chunk]
             .std(ddof=dlta_degr_freedms)
             * sqrt(time_factor),
         ]
 
-        for item in data.loc[:, cast(int, (self.label, ValueType.RTRN))].iloc[1:]:
+        for item in data.loc[:, cast("int", (self.label, ValueType.RTRN))].iloc[1:]:
             prev = rawdata[-1]
             rawdata.append(
                 sqrt(
@@ -673,7 +683,7 @@ class OpenTimeSeries(_CommonModel):
             The calculation divisor and
             assumed number of days in a calendar year
 
-        Returns
+        Returns:
         -------
         OpenTimeSeries
             An OpenTimeSeries object
@@ -684,7 +694,7 @@ class OpenTimeSeries(_CommonModel):
             values = [1.0]
             returns_input = True
         else:
-            values = [cast(float, self.tsdf.iloc[0, 0])]
+            values = [cast("float", self.tsdf.iloc[0, 0])]
             ra_df = self.tsdf.ffill().pct_change()
             returns_input = False
         ra_df = ra_df.dropna()
@@ -693,16 +703,16 @@ class OpenTimeSeries(_CommonModel):
         dates: list[dt.date] = [prev]
 
         for idx, row in ra_df.iterrows():
-            dates.append(cast(dt.date, idx))
+            dates.append(cast("dt.date", idx))
             values.append(
                 values[-1]
                 * (
                     1
                     + row.iloc[0]
-                    + adjustment * (cast(dt.date, idx) - prev).days / days_in_year
+                    + adjustment * (cast("dt.date", idx) - prev).days / days_in_year
                 ),
             )
-            prev = cast(dt.date, idx)
+            prev = cast("dt.date", idx)
         self.tsdf = DataFrame(data=values, index=dates)
         self.valuetype = ValueType.PRICE
         self.tsdf.columns = MultiIndex.from_arrays(
@@ -734,7 +744,7 @@ class OpenTimeSeries(_CommonModel):
         delete_lvl_one: bool, default: False
             If True the level one label is deleted
 
-        Returns
+        Returns:
         -------
         OpenTimeSeries
             An OpenTimeSeries object
@@ -752,7 +762,7 @@ class OpenTimeSeries(_CommonModel):
             self.valuetype = lvl_one
         else:
             self.tsdf.columns = MultiIndex.from_arrays([[lvl_zero], [lvl_one]])
-            self.label, self.valuetype = lvl_zero, cast(ValueType, lvl_one)
+            self.label, self.valuetype = lvl_zero, cast("ValueType", lvl_one)
         if delete_lvl_one:
             self.tsdf.columns = self.tsdf.columns.droplevel(level=1)
         return self
@@ -762,7 +772,7 @@ def timeseries_chain(
     front: TypeOpenTimeSeries,
     back: TypeOpenTimeSeries,
     old_fee: float = 0.0,
-) -> TypeOpenTimeSeries | OpenTimeSeries:
+) -> TypeOpenTimeSeries:
     """Chain two timeseries together.
 
     The function assumes that the two series have at least one date in common.
@@ -776,9 +786,9 @@ def timeseries_chain(
     old_fee: float, default: 0.0
         Fee to apply to earlier series
 
-    Returns
+    Returns:
     -------
-    TypeOpenTimeSeries | OpenTimeSeries
+    TypeOpenTimeSeries
         An OpenTimeSeries object or a subclass thereof
 
     """
@@ -790,46 +800,26 @@ def timeseries_chain(
 
     if old.last_idx < first:
         msg = "Timeseries dates must overlap to allow them to be chained."
-        raise ValueError(msg)
+        raise DateAlignmentError(msg)
 
     while first not in old.tsdf.index:
         idx += 1
         first = new.tsdf.index[idx]
         if first > old.tsdf.index[-1]:
             msg = "Failed to find a matching date between series"
-            raise ValueError(msg)
+            raise DateAlignmentError(msg)
 
     dates: list[str] = [x.strftime("%Y-%m-%d") for x in old.tsdf.index if x < first]
 
-    old_values = old.tsdf.iloc[: len(dates), 0]
+    old_values = Series(old.tsdf.iloc[: len(dates), 0])
     old_values = old_values.mul(
-        new.tsdf.iloc[:, 0].loc[first] / old.tsdf.iloc[:, 0].loc[first],
+        Series(new.tsdf.iloc[:, 0]).loc[first]
+        / Series(old.tsdf.iloc[:, 0]).loc[first],
     )
     values = append(old_values, new.tsdf.iloc[:, 0])
 
     dates.extend([x.strftime("%Y-%m-%d") for x in new.tsdf.index])
 
-    # noinspection PyUnresolvedReferences
-    if back.__class__.__subclasscheck__(
-        OpenTimeSeries,
-    ):
-        return OpenTimeSeries(
-            timeseries_id=new.timeseries_id,
-            instrument_id=new.instrument_id,
-            currency=new.currency,
-            dates=dates,
-            name=new.name,
-            label=new.name,
-            valuetype=new.valuetype,
-            values=list(values),
-            local_ccy=new.local_ccy,
-            tsdf=DataFrame(
-                data=values,
-                index=[d.date() for d in DatetimeIndex(dates)],
-                columns=[[new.label], [new.valuetype]],
-                dtype="float64",
-            ),
-        )
     return back.__class__(
         timeseries_id=new.timeseries_id,
         instrument_id=new.instrument_id,
@@ -857,14 +847,14 @@ def _check_if_none(item: Any) -> bool:  # noqa: ANN401
     item : Any
         variable to be checked
 
-    Returns
+    Returns:
     -------
     bool
         Answer to whether the variable is None or equivalent
 
     """
     try:
-        return cast(bool, isnan(item))
+        return cast("bool", isnan(item))
     except TypeError:
         if item is None:
             return True

openseries/simulation.py

@@ -1,5 +1,6 @@
 """Defining the ReturnSimulation class."""
 
+# mypy: disable-error-code="no-any-return"
 from __future__ import annotations
 
 from typing import TYPE_CHECKING, cast
@@ -22,12 +23,12 @@ from pydantic import (
     PositiveFloat,
     PositiveInt,
 )
-from typing_extensions import Self
 
 from .datefixer import generate_calendar_date_range
 from .owntypes import (
     CountriesType,
     DaysInYearType,
+    Self,
     ValueType,
 )
 
@@ -42,18 +43,18 @@ def _random_generator(seed: int | None) -> Generator:
     seed: int, optional
         Random seed
 
-    Returns
+    Returns:
     -------
     numpy.random.Generator
         Numpy random process generator
 
     """
     ss = SeedSequence(entropy=seed)
-    bg = PCG64(seed=cast(int | None, ss))
+    bg = PCG64(seed=cast("int | None", ss))
     return Generator(bit_generator=bg)
 
 
-class ReturnSimulation(BaseModel):
+class ReturnSimulation(BaseModel):  # type: ignore[misc]
     """The class ReturnSimulation allows for simulating financial timeseries.
 
     Parameters
@@ -102,7 +103,7 @@ class ReturnSimulation(BaseModel):
     def results(self: Self) -> DataFrame:
         """Simulation data.
 
-        Returns
+        Returns:
         -------
         pandas.DataFrame
             Simulation data
@@ -114,14 +115,14 @@ class ReturnSimulation(BaseModel):
     def realized_mean_return(self: Self) -> float:
         """Annualized arithmetic mean of returns.
 
-        Returns
+        Returns:
         -------
         float
             Annualized arithmetic mean of returns
 
         """
         return cast(
-            float,
+            "float",
             (
                 self.results.ffill().pct_change().mean() * self.trading_days_in_year
             ).iloc[0],
@@ -131,14 +132,14 @@ class ReturnSimulation(BaseModel):
     def realized_vol(self: Self) -> float:
         """Annualized volatility.
 
-        Returns
+        Returns:
         -------
         float
             Annualized volatility
 
         """
         return cast(
-            float,
+            "float",
             (
                 self.results.ffill().pct_change().std()
                 * sqrt(self.trading_days_in_year)
@@ -175,7 +176,7 @@ class ReturnSimulation(BaseModel):
         randomizer: numpy.random.Generator, optional
             Random process generator
 
-        Returns
+        Returns:
         -------
         ReturnSimulation
             Normal distribution simulation
@@ -230,7 +231,7 @@ class ReturnSimulation(BaseModel):
         randomizer: numpy.random.Generator, optional
             Random process generator
 
-        Returns
+        Returns:
         -------
         ReturnSimulation
             Lognormal distribution simulation
@@ -288,7 +289,7 @@ class ReturnSimulation(BaseModel):
         randomizer: numpy.random.Generator, optional
             Random process generator
 
-        Returns
+        Returns:
         -------
         ReturnSimulation
             Geometric Brownian Motion simulation
@@ -359,7 +360,7 @@ class ReturnSimulation(BaseModel):
         randomizer: numpy.random.Generator, optional
             Random process generator
 
-        Returns
+        Returns:
         -------
         ReturnSimulation
             Merton Jump-Diffusion model simulation
@@ -430,7 +431,7 @@ class ReturnSimulation(BaseModel):
         countries: CountriesType, default: "SE"
             (List of) country code(s) according to ISO 3166-1 alpha-2
 
-        Returns
+        Returns:
         -------
         pandas.DataFrame
             The simulation(s) data

openseries-1.8.2.dist-info/LICENSE.md

@@ -0,0 +1,27 @@
+# BSD 3-Clause License
+
+## Copyright (c) Captor Fund Management AB
+
+Redistribution and use in source and binary forms, with or without modification, are
+permitted provided that the following conditions are met:
+
+1. Redistributions of source code must retain the above copyright notice, this list of
+   conditions and the following disclaimer.
+
+2. Redistributions in binary form must reproduce the above copyright notice, this list
+   of conditions and the following disclaimer in the documentation and/or other
+   materials provided with the distribution.
+
+3. Neither the name of the copyright holder nor the names of its contributors may be
+   used to endorse or promote products derived from this software without specific prior
+   written permission.
+
+This software is provided by the copyright holders and contributors “as is” and any
+express or implied warranties, including, but not limited to, the implied warranties of
+merchantability and fitness for a particular purpose, are disclaimed. In no event shall
+the copyright holder or contributors be liable for any direct, indirect, incidental,
+special, exemplary, or consequential damages (including, but not limited to, procurement
+of substitute goods or services; loss of use, data, or profits; or business interruption)
+however caused and on any theory of liability, whether in contract, strict liability,
+or tort (including negligence or otherwise) arising in any way out of the use of this
+software, even if advised of the possibility of such damage.