openseries 1.8.1__py3-none-any.whl → 1.8.3__py3-none-any.whl

openseries/_risk.py

@@ -32,7 +32,7 @@ def _cvar_down_calc(
     level: float, default: 0.95
         The sought CVaR level
 
-    Returns
+    Returns:
     -------
     float
         Downside Conditional Value At Risk "CVaR"
@@ -66,7 +66,7 @@ def _var_down_calc(
     interpolation: LiteralQuantileInterp, default: "lower"
         type of interpolation in Pandas.DataFrame.quantile() function.
 
-    Returns
+    Returns:
     -------
     float
         Downside Value At Risk

openseries/datefixer.py

@@ -65,7 +65,7 @@ def holiday_calendar(
         Argument where missing holidays can be added as
         {"2021-02-12": "Jack's birthday"} or ["2021-02-12"]
 
-    Returns
+    Returns:
     -------
     numpy.busdaycalendar
         Generate a business calendar
@@ -113,7 +113,7 @@ def date_fix(
     fixerdate: DateType
         The data item to parse
 
-    Returns
+    Returns:
     -------
     datetime.date
         Parsed date
@@ -160,7 +160,7 @@ def date_offset_foll(
     following: bool, default: True
         Determines if days should be offset forward (following) or backward
 
-    Returns
+    Returns:
     -------
     datetime.date
         Off-set date
@@ -185,7 +185,7 @@ def date_offset_foll(
         while not is_busday(dates=new_date, busdaycal=calendar):
             new_date += day_delta
 
-    return new_date
+    return new_date  # type: ignore[no-any-return]
 
 
 def get_previous_business_day_before_today(
@@ -205,7 +205,7 @@ def get_previous_business_day_before_today(
         Argument where missing holidays can be added as
         {"2021-02-12": "Jack's birthday"} or ["2021-02-12"]
 
-    Returns
+    Returns:
     -------
     datetime.date
         The previous business day
@@ -248,7 +248,7 @@ def offset_business_days(
         Argument where missing holidays can be added as
         {"2021-02-12": "Jack's birthday"} or ["2021-02-12"]
 
-    Returns
+    Returns:
     -------
     datetime.date
         The new offset business day
@@ -324,7 +324,7 @@ def generate_calendar_date_range(
     countries: CountriesType, default: "SE"
         (List of) country code(s) according to ISO 3166-1 alpha-2
 
-    Returns
+    Returns:
     -------
     list[dt.date]
         List of business day calendar dates
@@ -342,7 +342,7 @@ def generate_calendar_date_range(
         )
         calendar = holiday_calendar(
             startyear=start.year,
-            endyear=date_fix(tmp_range[-1]).year,
+            endyear=date_fix(tmp_range.tolist()[-1]).year,
             countries=countries,
         )
         return [
@@ -357,7 +357,7 @@ 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=date_fix(tmp_range[0]).year,
+            startyear=date_fix(tmp_range.tolist()[0]).year,
             endyear=end.year,
             countries=countries,
         )
@@ -396,7 +396,7 @@ def _do_resample_to_business_period_ends(
         (List of) country code(s) according to ISO 3166-1 alpha-2
         to create a business day calendar used for date adjustments
 
-    Returns
+    Returns:
     -------
     Pandas.DatetimeIndex
         A date range aligned to business period ends

openseries/frame.py

@@ -11,11 +11,11 @@ from typing import TYPE_CHECKING, cast
 if TYPE_CHECKING:  # pragma: no cover
     import datetime as dt
 
-    from statsmodels.regression.linear_model import (  # type: ignore[import-untyped,unused-ignore]
+    from statsmodels.regression.linear_model import (  # type: ignore[import-untyped]
         OLSResults,
     )
 
-import statsmodels.api as sm  # type: ignore[import-untyped,unused-ignore]
+import statsmodels.api as sm  # type: ignore[import-untyped]
 from numpy import (
     array,
     cov,
@@ -31,7 +31,6 @@ from pandas import (
     DataFrame,
     DatetimeIndex,
     Index,
-    Int64Dtype,
     MultiIndex,
     Series,
     concat,
@@ -82,7 +81,7 @@ class OpenFrame(_CommonModel):
     weights: list[float], optional
         List of weights in float format.
 
-    Returns
+    Returns:
     -------
     OpenFrame
         Object of the class OpenFrame
@@ -94,7 +93,7 @@ class OpenFrame(_CommonModel):
     weights: list[float] | None = None
 
     # noinspection PyMethodParameters
-    @field_validator("constituents")
+    @field_validator("constituents")  # type: ignore[misc]
     def _check_labels_unique(  # type: ignore[misc]
         cls: OpenFrame,  # noqa: N805
         tseries: list[OpenTimeSeries],
@@ -122,7 +121,7 @@ class OpenFrame(_CommonModel):
         weights: list[float], optional
             List of weights in float format.
 
-        Returns
+        Returns:
         -------
         OpenFrame
             Object of the class OpenFrame
@@ -150,7 +149,7 @@ class OpenFrame(_CommonModel):
     def from_deepcopy(self: Self) -> Self:
         """Create copy of the OpenFrame object.
 
-        Returns
+        Returns:
         -------
         OpenFrame
             An OpenFrame object
@@ -169,7 +168,7 @@ class OpenFrame(_CommonModel):
         how: LiteralHowMerge, default: "outer"
             The Pandas merge method.
 
-        Returns
+        Returns:
         -------
         OpenFrame
             An OpenFrame object
@@ -213,7 +212,7 @@ class OpenFrame(_CommonModel):
         properties: list[LiteralFrameProps], optional
             The properties to calculate. Defaults to calculating all available.
 
-        Returns
+        Returns:
         -------
         pandas.DataFrame
             Properties of the contituent OpenTimeSeries
@@ -232,24 +231,23 @@ class OpenFrame(_CommonModel):
     def lengths_of_items(self: Self) -> Series[int]:
         """Number of observations of all constituents.
 
-        Returns
+        Returns:
         -------
         Pandas.Series[int]
             Number of observations of all constituents
 
         """
         return Series(
-            data=[int(self.tsdf.loc[:, d].count()) for d in self.tsdf],
+            data=[self.tsdf.loc[:, d].count() for d in self.tsdf],
             index=self.tsdf.columns,
             name="observations",
-            dtype=Int64Dtype(),
-        )
+        ).astype(int)
 
     @property
     def item_count(self: Self) -> int:
         """Number of constituents.
 
-        Returns
+        Returns:
         -------
         int
             Number of constituents
@@ -261,7 +259,7 @@ class OpenFrame(_CommonModel):
     def columns_lvl_zero(self: Self) -> list[str]:
         """Level 0 values of the MultiIndex columns in the .tsdf DataFrame.
 
-        Returns
+        Returns:
         -------
         list[str]
             Level 0 values of the MultiIndex columns in the .tsdf DataFrame
@@ -273,7 +271,7 @@ class OpenFrame(_CommonModel):
     def columns_lvl_one(self: Self) -> list[ValueType]:
         """Level 1 values of the MultiIndex columns in the .tsdf DataFrame.
 
-        Returns
+        Returns:
         -------
         list[ValueType]
             Level 1 values of the MultiIndex columns in the .tsdf DataFrame
@@ -285,7 +283,7 @@ class OpenFrame(_CommonModel):
     def first_indices(self: Self) -> Series[dt.date]:
         """The first dates in the timeseries of all constituents.
 
-        Returns
+        Returns:
         -------
         Pandas.Series[dt.date]
             The first dates in the timeseries of all constituents
@@ -302,7 +300,7 @@ class OpenFrame(_CommonModel):
     def last_indices(self: Self) -> Series[dt.date]:
         """The last dates in the timeseries of all constituents.
 
-        Returns
+        Returns:
         -------
         Pandas.Series[dt.date]
             The last dates in the timeseries of all constituents
@@ -319,7 +317,7 @@ class OpenFrame(_CommonModel):
     def span_of_days_all(self: Self) -> Series[int]:
         """Number of days from the first date to the last for all items in the frame.
 
-        Returns
+        Returns:
         -------
         Pandas.Series[int]
             Number of days from the first date to the last for all
@@ -330,13 +328,12 @@ class OpenFrame(_CommonModel):
             data=[c.span_of_days for c in self.constituents],
             index=self.tsdf.columns,
             name="span of days",
-            dtype=Int64Dtype(),
-        )
+        ).astype(int)
 
     def value_to_ret(self: Self) -> Self:
         """Convert series of values into series of returns.
 
-        Returns
+        Returns:
         -------
         OpenFrame
             The returns of the values in the series
@@ -359,7 +356,7 @@ class OpenFrame(_CommonModel):
             The number of periods between observations over which difference
             is calculated
 
-        Returns
+        Returns:
         -------
         OpenFrame
             An OpenFrame object
@@ -375,7 +372,7 @@ class OpenFrame(_CommonModel):
     def to_cumret(self: Self) -> Self:
         """Convert series of returns into cumulative series of values.
 
-        Returns
+        Returns:
         -------
         OpenFrame
             An OpenFrame object
@@ -411,7 +408,7 @@ class OpenFrame(_CommonModel):
         freq: LiteralBizDayFreq | str, default "BME"
             The date offset string that sets the resampled frequency
 
-        Returns
+        Returns:
         -------
         OpenFrame
             An OpenFrame object
@@ -449,7 +446,7 @@ class OpenFrame(_CommonModel):
         method: LiteralPandasReindexMethod, default: nearest
             Controls the method used to align values across columns
 
-        Returns
+        Returns:
         -------
         OpenFrame
             An OpenFrame object
@@ -517,7 +514,7 @@ class OpenFrame(_CommonModel):
             Allows locking the periods-in-a-year to simplify test cases and
             comparisons
 
-        Returns
+        Returns:
         -------
         Pandas.DataFrame
             Series volatilities and correlation
@@ -605,7 +602,7 @@ class OpenFrame(_CommonModel):
     def correl_matrix(self: Self) -> DataFrame:
         """Correlation matrix.
 
-        Returns
+        Returns:
         -------
         Pandas.DataFrame
             Correlation matrix
@@ -635,7 +632,7 @@ class OpenFrame(_CommonModel):
         new_series: OpenTimeSeries
             The timeseries to add
 
-        Returns
+        Returns:
         -------
         OpenFrame
             An OpenFrame object
@@ -653,7 +650,7 @@ class OpenFrame(_CommonModel):
         lvl_zero_item: str
             The .tsdf column level 0 value of the timeseries to delete
 
-        Returns
+        Returns:
         -------
         OpenFrame
             An OpenFrame object
@@ -692,7 +689,7 @@ class OpenFrame(_CommonModel):
             Determines where dataframe is truncated also when start_cut
             or end_cut is None.
 
-        Returns
+        Returns:
         -------
         OpenFrame
             An OpenFrame object
@@ -793,7 +790,7 @@ class OpenFrame(_CommonModel):
             Allows locking the periods-in-a-year to simplify test cases and
             comparisons
 
-        Returns
+        Returns:
         -------
         Pandas.Series[float]
             Tracking Errors
@@ -885,7 +882,7 @@ class OpenFrame(_CommonModel):
             Allows locking the periods-in-a-year to simplify test cases and
             comparisons
 
-        Returns
+        Returns:
         -------
         Pandas.Series[float]
             Information Ratios
@@ -987,7 +984,7 @@ class OpenFrame(_CommonModel):
             Allows locking the periods-in-a-year to simplify test cases and
             comparisons
 
-        Returns
+        Returns:
         -------
         Pandas.Series[float]
             Capture Ratios
@@ -1169,7 +1166,7 @@ class OpenFrame(_CommonModel):
         dlta_degr_freedms: int, default: 1
             Variance bias factor taking the value 0 or 1.
 
-        Returns
+        Returns:
         -------
         float
             Beta as Co-variance of x & y divided by Variance of x
@@ -1253,7 +1250,7 @@ class OpenFrame(_CommonModel):
         fitted_series: bool, default: True
             If True the fit is added as a new column in the .tsdf Pandas.DataFrame
 
-        Returns
+        Returns:
         -------
         OLSResults
             The Statsmodels regression output
@@ -1318,7 +1315,7 @@ class OpenFrame(_CommonModel):
         dlta_degr_freedms: int, default: 1
             Variance bias factor taking the value 0 or 1.
 
-        Returns
+        Returns:
         -------
         float
             Jensen's alpha
@@ -1438,7 +1435,7 @@ class OpenFrame(_CommonModel):
         weight_strat: LiteralPortfolioWeightings, optional
             weight calculation strategies
 
-        Returns
+        Returns:
         -------
         Pandas.DataFrame
             A basket timeseries
@@ -1503,7 +1500,7 @@ class OpenFrame(_CommonModel):
         periods_in_a_year_fixed : DaysInYearType, optional
             Allows locking the periods-in-a-year to simplify test cases and comparisons
 
-        Returns
+        Returns:
         -------
         Pandas.DataFrame
             Rolling Information Ratios
@@ -1569,7 +1566,7 @@ class OpenFrame(_CommonModel):
         dlta_degr_freedms: int, default: 1
             Variance bias factor taking the value 0 or 1.
 
-        Returns
+        Returns:
         -------
         Pandas.DataFrame
             Rolling Betas
@@ -1629,7 +1626,7 @@ class OpenFrame(_CommonModel):
         observations: int, default: 21
             The length of the rolling window to use is set as number of observations
 
-        Returns
+        Returns:
         -------
         Pandas.DataFrame
             Rolling Correlations

openseries/load_plotly.py

@@ -26,7 +26,7 @@ def _check_remote_file_existence(url: str) -> bool:
     url: str
         Path to remote file
 
-    Returns
+    Returns:
     -------
     bool
         True if url is valid and False otherwise
@@ -54,7 +54,7 @@ def load_plotly_dict(
     responsive : bool
         Flag whether to load as responsive
 
-    Returns
+    Returns:
     -------
     tuple[PlotlyLayoutType, CaptorLogoType]
         A dictionary with the Plotly config and layout template

openseries/owntypes.py

@@ -38,7 +38,7 @@ CountryListType = conset(
 CountriesType = Union[CountryListType, CountryStringType]  # type: ignore[valid-type]  # noqa: UP007
 
 
-class Countries(BaseModel):
+class Countries(BaseModel):  # type: ignore[misc]
     """Declare Countries."""
 
     countryinput: CountriesType
@@ -57,7 +57,7 @@ CurrencyStringType = Annotated[
 ]
 
 
-class Currency(BaseModel):
+class Currency(BaseModel):  # type: ignore[misc]
     """Declare Currency."""
 
     ccy: CurrencyStringType
@@ -135,6 +135,15 @@ LiteralCaptureRatio = Literal["up", "down", "both"]
 LiteralBarPlotMode = Literal["stack", "group", "overlay", "relative"]
 LiteralPlotlyOutput = Literal["file", "div"]
 LiteralPlotlyJSlib = Literal[True, False, "cdn"]
+LiteralPlotlyHistogramPlotType = Literal["bars", "lines"]
+LiteralPlotlyHistogramBarMode = Literal["stack", "group", "overlay", "relative"]
+LiteralPlotlyHistogramCurveType = Literal["normal", "kde"]
+LiteralPlotlyHistogramHistNorm = Literal[
+    "percent",
+    "probability",
+    "density",
+    "probability density",
+]
 LiteralOlsFitMethod = Literal["pinv", "qr"]
 LiteralPortfolioWeightings = Literal["eq_weights", "inv_vol"]
 LiteralOlsFitCovType = Literal[

openseries/plotly_layouts.json

@@ -43,19 +43,19 @@
       "size": 14
     },
     "legend": {
-      "bgcolor": "rgba(0, 0, 0, 0)",
+      "bgcolor": "rgba(0,0,0,0)",
       "orientation": "h",
       "x": 0.98,
       "xanchor": "right",
       "y": -0.15,
       "yanchor": "bottom"
     },
-    "paper_bgcolor": "rgba(0, 0, 0, 0)",
-    "plot_bgcolor": "rgba(0, 0, 0, 0)",
+    "paper_bgcolor": "rgba(255,255,255,1)",
+    "plot_bgcolor": "rgba(255,255,255,1)",
     "showlegend": true,
     "title": {
       "font": {
-        "size": 24
+        "size": 32
       },
       "x": 0.5,
       "xanchor": "center",

openseries/portfoliotools.py

@@ -26,10 +26,10 @@ from pandas import (
     Series,
     concat,
 )
-from plotly.graph_objs import Figure  # type: ignore[import-untyped,unused-ignore]
-from plotly.io import to_html  # type: ignore[import-untyped,unused-ignore]
-from plotly.offline import plot  # type: ignore[import-untyped,unused-ignore]
-from scipy.optimize import minimize  # type: ignore[import-untyped,unused-ignore]
+from plotly.graph_objs import Figure  # type: ignore[import-untyped]
+from plotly.io import to_html  # type: ignore[import-untyped]
+from plotly.offline import plot  # type: ignore[import-untyped]
+from scipy.optimize import minimize  # type: ignore[import-untyped]
 
 from .load_plotly import load_plotly_dict
 from .owntypes import (
@@ -47,6 +47,7 @@ from .series import OpenTimeSeries
 from .simulation import _random_generator
 
 if TYPE_CHECKING:  # pragma: no cover
+    # noinspection PyUnresolvedReferences
     from collections.abc import Callable
 
     from numpy.typing import NDArray
@@ -79,7 +80,7 @@ def simulate_portfolios(
     seed: int
         The seed for the random process
 
-    Returns
+    Returns:
     -------
     pandas.DataFrame
         The resulting data
@@ -160,7 +161,7 @@ def efficient_frontier(
     tweak: bool, default: True
         cutting the frontier to exclude multiple points with almost the same risk
 
-    Returns
+    Returns:
     -------
     tuple[DataFrame, DataFrame, NDArray[float]]
         The efficient frontier data, simulation data and optimal portfolio
@@ -192,8 +193,8 @@ def efficient_frontier(
 
     frontier_max = cleaned_arithmetic_means.max()
 
-    def _check_sum(weights: NDArray[float64]) -> float64:
-        return npsum(weights) - 1
+    def _check_sum(weights: NDArray[float64]) -> float:
+        return cast("float", npsum(weights) - 1)
 
     def _get_ret_vol_sr(
         lg_ret: DataFrame,
@@ -347,7 +348,7 @@ def constrain_optimized_portfolios(
     minimize_method: LiteralMinimizeMethods, default: SLSQP
         The method passed into the scipy.minimize function
 
-    Returns
+    Returns:
     -------
     tuple[OpenFrame, OpenTimeSeries, OpenFrame, OpenTimeSeries]
         The constrained optimal portfolio data
@@ -407,7 +408,7 @@ def prepare_plot_data(
     optimized: DataFrame
         Data optimized with the efficient_frontier method
 
-    Returns
+    Returns:
     -------
     DataFrame
         The data prepared with mean returns, volatility and weights
@@ -492,7 +493,7 @@ def sharpeplot(
     auto_open: bool, default: True
         Determines whether to open a browser window with the plot
 
-    Returns
+    Returns:
     -------
     Figure
         The scatter plot with simulated and optimized results
@@ -559,8 +560,8 @@ def sharpeplot(
             fig["layout"],
         ).get("colorway")[: len(point_frame.columns)]
         for col, clr in zip(point_frame.columns, colorway, strict=True):
-            returns.extend([point_frame.loc["ret", col]])
-            risk.extend([point_frame.loc["stdev", col]])
+            returns.extend([cast("float", point_frame.loc["ret", col])])
+            risk.extend([cast("float", point_frame.loc["stdev", col])])
             figure.add_scatter(
                 x=[point_frame.loc["stdev", col]],
                 y=[point_frame.loc["ret", col]],