openseries 1.8.3__py3-none-any.whl → 1.9.0__py3-none-any.whl

openseries/__init__.py

@@ -1,4 +1,11 @@
-"""openseries.openseries.__init__.py."""
+"""openseries.openseries.__init__.py.
+
+Copyright (c) Captor Fund Management AB. This file is part of the openseries project.
+
+Licensed under the BSD 3-Clause License. You may obtain a copy of the License at:
+https://github.com/CaptorAB/openseries/blob/master/LICENSE.md
+SPDX-License-Identifier: BSD-3-Clause
+"""
 
 from .datefixer import (
     date_fix,
@@ -18,6 +25,7 @@ from .portfoliotools import (
     sharpeplot,
     simulate_portfolios,
 )
+from .report import report_html
 from .series import OpenTimeSeries, timeseries_chain
 from .simulation import ReturnSimulation
 
@@ -37,6 +45,7 @@ __all__ = [
     "load_plotly_dict",
     "offset_business_days",
     "prepare_plot_data",
+    "report_html",
     "sharpeplot",
     "simulate_portfolios",
     "timeseries_chain",

openseries/_common_model.py

@@ -1,4 +1,11 @@
-"""Defining the _CommonModel class."""
+"""Defining the _CommonModel class.
+
+Copyright (c) Captor Fund Management AB. This file is part of the openseries project.
+
+Licensed under the BSD 3-Clause License. You may obtain a copy of the License at:
+https://github.com/CaptorAB/openseries/blob/master/LICENSE.md
+SPDX-License-Identifier: BSD-3-Clause
+"""
 
 # mypy: disable-error-code="no-any-return"
 from __future__ import annotations
@@ -58,7 +65,7 @@ from plotly.figure_factory import create_distplot  # type: ignore[import-untyped
 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 pydantic import BaseModel, ConfigDict, DirectoryPath
+from pydantic import BaseModel, ConfigDict, DirectoryPath, ValidationError
 from scipy.stats import (  # type: ignore[import-untyped]
     kurtosis,
     norm,
@@ -377,13 +384,23 @@ class _CommonModel(BaseModel):  # type: ignore[misc]
 
         """
         method: LiteralPandasReindexMethod = "nearest"
-        countries = "SE"
+
+        try:
+            countries = self.countries
+            markets = self.markets
+        except AttributeError:
+            countries = self.constituents[0].countries
+            markets = self.constituents[0].markets
+
         wmdf = self.tsdf.copy()
+
         dates = _do_resample_to_business_period_ends(
             data=wmdf,
             freq="BME",
             countries=countries,
+            markets=markets,
         )
+
         wmdf = wmdf.reindex(index=[deyt.date() for deyt in dates], method=method)
         wmdf.index = DatetimeIndex(wmdf.index)
         result = wmdf.ffill().pct_change().min()
@@ -539,14 +556,20 @@ class _CommonModel(BaseModel):  # type: ignore[misc]
 
     def align_index_to_local_cdays(
         self: Self,
-        countries: CountriesType = "SE",
+        countries: CountriesType | None = None,
+        markets: list[str] | str | None = None,
+        custom_holidays: list[str] | str | None = None,
     ) -> Self:
         """Align the index of .tsdf with local calendar business days.
 
         Parameters
         ----------
-        countries: CountriesType, default: "SE"
+        countries: CountriesType, optional
             (List of) country code(s) according to ISO 3166-1 alpha-2
+        markets: list[str] | str, optional
+            (List of) markets code(s) according to pandas-market-calendars
+        custom_holidays: list[str] | str, optional
+            Argument where missing holidays can be added
 
         Returns:
         -------
@@ -556,10 +579,37 @@ class _CommonModel(BaseModel):  # type: ignore[misc]
         """
         startyear = cast("int", to_datetime(self.tsdf.index[0]).year)
         endyear = cast("int", to_datetime(self.tsdf.index[-1]).year)
+
+        if countries:
+            try:
+                self.countries = countries
+            except ValidationError:
+                for serie in self.constituents:
+                    serie.countries = countries
+        else:
+            try:
+                countries = self.countries
+            except AttributeError:
+                countries = self.constituents[0].countries
+
+        if markets:
+            try:
+                self.markets = markets
+            except ValidationError:
+                for serie in self.constituents:
+                    serie.markets = markets
+        else:
+            try:
+                markets = self.markets
+            except AttributeError:
+                markets = self.constituents[0].markets
+
         calendar = holiday_calendar(
             startyear=startyear,
             endyear=endyear,
             countries=countries,
+            markets=markets,
+            custom_holidays=custom_holidays,
         )
 
         d_range = [

openseries/_risk.py

@@ -1,4 +1,11 @@
-"""Various risk related functions."""
+"""Various risk related functions.
+
+Copyright (c) Captor Fund Management AB. This file is part of the openseries project.
+
+Licensed under the BSD 3-Clause License. You may obtain a copy of the License at:
+https://github.com/CaptorAB/openseries/blob/master/LICENSE.md
+SPDX-License-Identifier: BSD-3-Clause
+"""
 
 from __future__ import annotations
 

openseries/datefixer.py

@@ -1,10 +1,18 @@
-"""Date related utilities."""
+"""Date related utilities.
+
+Copyright (c) Captor Fund Management AB. This file is part of the openseries project.
+
+Licensed under the BSD 3-Clause License. You may obtain a copy of the License at:
+https://github.com/CaptorAB/openseries/blob/master/LICENSE.md
+SPDX-License-Identifier: BSD-3-Clause
+"""
 
 from __future__ import annotations
 
 import datetime as dt
 from typing import TYPE_CHECKING, cast
 
+import exchange_calendars as exchcal
 from dateutil.relativedelta import relativedelta
 from holidays import (
     country_holidays,
@@ -24,6 +32,7 @@ from pandas.tseries.offsets import CustomBusinessDay
 from .owntypes import (
     BothStartAndEndError,
     CountriesNotStringNorListStrError,
+    MarketsNotStringNorListStrError,
     TradingDaysNotAboveZeroError,
 )
 
@@ -31,7 +40,6 @@ if TYPE_CHECKING:
     from .owntypes import (  # pragma: no cover
         CountriesType,
         DateType,
-        HolidayType,
         LiteralBizDayFreq,
     )
 
@@ -45,11 +53,58 @@ __all__ = [
 ]
 
 
+def market_holidays(
+    startyear: int,
+    endyear: int,
+    markets: str | list[str],
+) -> list[str]:
+    """Return a dict of holiday dates mapping to list of markets closed.
+
+    Parameters
+    ----------
+    startyear: int
+        First year (inclusive) to consider.
+    endyear: int
+        Last year (inclusive) to consider.
+    markets: str | list[str]
+        String or list of market codes supported by pandas_market_calendars.
+
+    Returns:
+    -------
+    list[str]
+        list of holiday dates.
+    """
+    market_list = [markets] if isinstance(markets, str) else list(markets)
+
+    supported = exchcal.get_calendar_names()
+
+    if not all(m in supported for m in market_list):
+        msg = (
+            "Argument markets must be a string market code or a list of market "
+            "codes supported by pandas_market_calendars."
+        )
+        raise MarketsNotStringNorListStrError(msg)
+
+    holidays: list[str] = []
+    for m in market_list:
+        cal = exchcal.get_calendar(m)
+        cal_hols = cal.regular_holidays.holidays()
+        my_hols: list[str] = [
+            date.date().strftime("%Y-%m-%d")
+            for date in cal_hols
+            if (startyear <= date.date().year <= endyear)
+        ]
+        holidays.extend(my_hols)
+
+    return list(set(holidays))
+
+
 def holiday_calendar(
     startyear: int,
     endyear: int,
     countries: CountriesType = "SE",
-    custom_holidays: HolidayType | None = None,
+    markets: list[str] | str | None = None,
+    custom_holidays: list[str] | str | None = None,
 ) -> busdaycalendar:
     """Generate a business calendar.
 
@@ -61,9 +116,10 @@ def holiday_calendar(
         Last year in date range generated
     countries: CountriesType, default: "SE"
         (List of) country code(s) according to ISO 3166-1 alpha-2
-    custom_holidays: HolidayType, optional
-        Argument where missing holidays can be added as
-        {"2021-02-12": "Jack's birthday"} or ["2021-02-12"]
+    markets: list[str] | str, optional
+        (List of) markets code(s) according to pandas-market-calendars
+    custom_holidays: list[str] | str, optional
+        Argument where missing holidays can be added
 
     Returns:
     -------
@@ -79,20 +135,16 @@ def holiday_calendar(
 
     if isinstance(countries, str) and countries in list_supported_countries():
         staging = country_holidays(country=countries, years=years)
-        if custom_holidays is not None:
-            staging.update(custom_holidays)
-        hols = array(sorted(staging.keys()), dtype="datetime64[D]")
-    elif isinstance(countries, list) and all(
+        hols = list(staging.keys())
+    elif isinstance(countries, (list, set)) and all(
         country in list_supported_countries() for country in countries
     ):
         country: str
         countryholidays: list[dt.date | str] = []
-        for i, country in enumerate(countries):
+        for country in countries:
             staging = country_holidays(country=country, years=years)
-            if i == 0 and custom_holidays is not None:
-                staging.update(custom_holidays)
             countryholidays += list(staging)
-        hols = array(sorted(set(countryholidays)), dtype="datetime64[D]")
+        hols = list(countryholidays)
     else:
         msg = (
             "Argument countries must be a string country code or "
@@ -100,7 +152,22 @@ def holiday_calendar(
         )
         raise CountriesNotStringNorListStrError(msg)
 
-    return busdaycalendar(holidays=hols)
+    if markets:
+        market_hols = market_holidays(
+            startyear=startyear, endyear=endyear, markets=markets
+        )
+        dt_mkt_hols = [date_fix(fixerdate=ddate) for ddate in market_hols]
+        hols.extend(dt_mkt_hols)
+
+    if custom_holidays:
+        custom_list = (
+            [custom_holidays]
+            if isinstance(custom_holidays, str)
+            else list(custom_holidays)  # type: ignore[arg-type]
+        )
+        hols.extend([date_fix(fixerdate=ddate) for ddate in custom_list])
+
+    return busdaycalendar(holidays=array(sorted(set(hols)), dtype="datetime64[D]"))
 
 
 def date_fix(
@@ -137,7 +204,8 @@ def date_offset_foll(
     raw_date: DateType,
     months_offset: int = 12,
     countries: CountriesType = "SE",
-    custom_holidays: HolidayType | None = None,
+    markets: list[str] | str | None = None,
+    custom_holidays: list[str] | str | None = None,
     *,
     adjust: bool = False,
     following: bool = True,
@@ -152,9 +220,10 @@ def date_offset_foll(
         Number of months as integer
     countries: CountriesType, default: "SE"
         (List of) country code(s) according to ISO 3166-1 alpha-2
-    custom_holidays: HolidayType, optional
-        Argument where missing holidays can be added as
-        {"2021-02-12": "Jack's birthday"} or ["2021-02-12"]
+    markets: list[str] | str, optional
+        (List of) markets code(s) according to pandas-market-calendars
+    custom_holidays: list[str] | str, optional
+        Argument where missing holidays can be added
     adjust: bool, default: False
         Determines if offset should adjust for business days
     following: bool, default: True
@@ -180,6 +249,7 @@ def date_offset_foll(
             startyear=startyear,
             endyear=endyear,
             countries=countries,
+            markets=markets,
             custom_holidays=custom_holidays,
         )
         while not is_busday(dates=new_date, busdaycal=calendar):
@@ -191,7 +261,8 @@ def date_offset_foll(
 def get_previous_business_day_before_today(
     today: dt.date | None = None,
     countries: CountriesType = "SE",
-    custom_holidays: HolidayType | None = None,
+    markets: list[str] | str | None = None,
+    custom_holidays: list[str] | str | None = None,
 ) -> dt.date:
     """Bump date backwards to find the previous business day.
 
@@ -201,9 +272,10 @@ def get_previous_business_day_before_today(
         Manual input of the day from where the previous business day is found
     countries: CountriesType, default: "SE"
         (List of) country code(s) according to ISO 3166-1 alpha-2
-    custom_holidays: HolidayType, optional
-        Argument where missing holidays can be added as
-        {"2021-02-12": "Jack's birthday"} or ["2021-02-12"]
+    markets: list[str] | str, optional
+        (List of) markets code(s) according to pandas-market-calendars
+    custom_holidays: list[str] | str, optional
+        Argument where missing holidays can be added
 
     Returns:
     -------
@@ -215,10 +287,11 @@ def get_previous_business_day_before_today(
         today = dt.datetime.now().astimezone().date()
 
     return date_offset_foll(
-        today - dt.timedelta(days=1),
+        raw_date=today - dt.timedelta(days=1),
+        months_offset=0,
         countries=countries,
+        markets=markets,
         custom_holidays=custom_holidays,
-        months_offset=0,
         adjust=True,
         following=False,
     )
@@ -228,7 +301,8 @@ def offset_business_days(
     ddate: dt.date,
     days: int,
     countries: CountriesType = "SE",
-    custom_holidays: HolidayType | None = None,
+    markets: list[str] | str | None = None,
+    custom_holidays: list[str] | str | None = None,
 ) -> dt.date:
     """Bump date by business days.
 
@@ -244,9 +318,10 @@ def offset_business_days(
         If days is set as anything other than an integer its value is set to zero
     countries: CountriesType, default: "SE"
         (List of) country code(s) according to ISO 3166-1 alpha-2
-    custom_holidays: HolidayType, optional
-        Argument where missing holidays can be added as
-        {"2021-02-12": "Jack's birthday"} or ["2021-02-12"]
+    markets: list[str] | str, optional
+        (List of) markets code(s) according to pandas-market-calendars
+    custom_holidays: list[str] | str, optional
+        Argument where missing holidays can be added
 
     Returns:
     -------
@@ -266,6 +341,7 @@ def offset_business_days(
             startyear=ndate.year,
             endyear=ddate.year,
             countries=countries,
+            markets=markets,
             custom_holidays=custom_holidays,
         )
         local_bdays: list[dt.date] = [
@@ -283,6 +359,7 @@ def offset_business_days(
             startyear=ddate.year,
             endyear=ndate.year,
             countries=countries,
+            markets=markets,
             custom_holidays=custom_holidays,
         )
         local_bdays = [
@@ -310,6 +387,8 @@ def generate_calendar_date_range(
     start: dt.date | None = None,
     end: dt.date | None = None,
     countries: CountriesType = "SE",
+    markets: list[str] | str | None = None,
+    custom_holidays: list[str] | str | None = None,
 ) -> list[dt.date]:
     """Generate a list of business day calendar dates.
 
@@ -323,6 +402,10 @@ def generate_calendar_date_range(
         Date when the range ends
     countries: CountriesType, default: "SE"
         (List of) country code(s) according to ISO 3166-1 alpha-2
+    markets: list[str] | str, optional
+        (List of) markets code(s) according to pandas-market-calendars
+    custom_holidays: list[str] | str, optional
+        Argument where missing holidays can be added
 
     Returns:
     -------
@@ -344,6 +427,8 @@ def generate_calendar_date_range(
             startyear=start.year,
             endyear=date_fix(tmp_range.tolist()[-1]).year,
             countries=countries,
+            markets=markets,
+            custom_holidays=custom_holidays,
         )
         return [
             d.date()
@@ -360,6 +445,8 @@ def generate_calendar_date_range(
             startyear=date_fix(tmp_range.tolist()[0]).year,
             endyear=end.year,
             countries=countries,
+            markets=markets,
+            custom_holidays=custom_holidays,
         )
         return [
             d.date()
@@ -381,6 +468,8 @@ def _do_resample_to_business_period_ends(
     data: DataFrame,
     freq: LiteralBizDayFreq,
     countries: CountriesType,
+    markets: list[str] | str | None = None,
+    custom_holidays: list[str] | str | None = None,
 ) -> DatetimeIndex:
     """Resample timeseries frequency to business calendar month end dates.
 
@@ -394,7 +483,10 @@ def _do_resample_to_business_period_ends(
         The date offset string that sets the resampled frequency
     countries: CountriesType
         (List of) country code(s) according to ISO 3166-1 alpha-2
-        to create a business day calendar used for date adjustments
+    markets: list[str] | str, optional
+        (List of) markets code(s) according to pandas-market-calendars
+    custom_holidays: list[str] | str, optional
+        Argument where missing holidays can be added
 
     Returns:
     -------
@@ -413,12 +505,14 @@ def _do_resample_to_business_period_ends(
     dates = DatetimeIndex(
         [copydata.index[0]]
         + [
-            date_offset_foll(
-                dt.date(d.year, d.month, 1)
+            date_offset_foll(  # type: ignore[misc]
+                raw_date=dt.date(d.year, d.month, 1)
                 + relativedelta(months=1)
                 - dt.timedelta(days=1),
-                countries=countries,
                 months_offset=0,
+                countries=countries,
+                markets=markets,
+                custom_holidays=custom_holidays,
                 adjust=True,
                 following=False,
             )

openseries/frame.py

@@ -1,4 +1,11 @@
-"""Defining the OpenFrame class."""
+"""Defining the OpenFrame class.
+
+Copyright (c) Captor Fund Management AB. This file is part of the openseries project.
+
+Licensed under the BSD 3-Clause License. You may obtain a copy of the License at:
+https://github.com/CaptorAB/openseries/blob/master/LICENSE.md
+SPDX-License-Identifier: BSD-3-Clause
+"""
 
 # mypy: disable-error-code="index,assignment,arg-type,no-any-return"
 from __future__ import annotations
@@ -41,7 +48,6 @@ from pydantic import field_validator
 from ._common_model import _CommonModel
 from .datefixer import _do_resample_to_business_period_ends
 from .owntypes import (
-    CountriesType,
     DaysInYearType,
     LabelsNotUniqueError,
     LiteralBizDayFreq,
@@ -429,7 +435,6 @@ class OpenFrame(_CommonModel):
     def resample_to_business_period_ends(
         self: Self,
         freq: LiteralBizDayFreq = "BME",
-        countries: CountriesType = "SE",
         method: LiteralPandasReindexMethod = "nearest",
     ) -> Self:
         """Resamples timeseries frequency to the business calendar month end dates.
@@ -440,9 +445,6 @@ class OpenFrame(_CommonModel):
         ----------
         freq: LiteralBizDayFreq, default "BME"
             The date offset string that sets the resampled frequency
-        countries: CountriesType, default: "SE"
-            (List of) country code(s) according to ISO 3166-1 alpha-2
-            to create a business day calendar used for date adjustments
         method: LiteralPandasReindexMethod, default: nearest
             Controls the method used to align values across columns
 
@@ -456,7 +458,8 @@ class OpenFrame(_CommonModel):
             dates = _do_resample_to_business_period_ends(
                 data=xerie.tsdf,
                 freq=freq,
-                countries=countries,
+                countries=xerie.countries,
+                markets=xerie.markets,
             )
             xerie.tsdf = xerie.tsdf.reindex(
                 [deyt.date() for deyt in dates],

openseries/load_plotly.py

@@ -1,4 +1,11 @@
-"""Function to load plotly layout and configuration from local json file."""
+"""Function to load plotly layout and configuration from local json file.
+
+Copyright (c) Captor Fund Management AB. This file is part of the openseries project.
+
+Licensed under the BSD 3-Clause License. You may obtain a copy of the License at:
+https://github.com/CaptorAB/openseries/blob/master/LICENSE.md
+SPDX-License-Identifier: BSD-3-Clause
+"""
 
 from __future__ import annotations
 

openseries/owntypes.py

@@ -1,4 +1,11 @@
-"""Declaring types used throughout the project."""
+"""Declaring types used throughout the project.
+
+Copyright (c) Captor Fund Management AB. This file is part of the openseries project.
+
+Licensed under the BSD 3-Clause License. You may obtain a copy of the License at:
+https://github.com/CaptorAB/openseries/blob/master/LICENSE.md
+SPDX-License-Identifier: BSD-3-Clause
+"""
 
 from __future__ import annotations
 
@@ -86,16 +93,6 @@ DaysInYearType = Annotated[int, Field(strict=True, ge=1, le=366)]
 
 DateType = str | dt.date | dt.datetime | datetime64 | Timestamp
 
-HolidayType = (
-    dict[dt.date | dt.datetime | str | float | int, str]
-    | list[dt.date | dt.datetime | str | float | int]
-    | dt.date
-    | dt.datetime
-    | str
-    | float
-    | int
-)
-
 PlotlyLayoutType = dict[
     str,
     str
@@ -356,6 +353,10 @@ class CountriesNotStringNorListStrError(Exception):
     """Raised when countries argument is not provided in correct format."""
 
 
+class MarketsNotStringNorListStrError(Exception):
+    """Raised when markets argument is not provided in correct format."""
+
+
 class TradingDaysNotAboveZeroError(Exception):
     """Raised when trading days argument is not above zero."""
 

openseries/portfoliotools.py

@@ -1,4 +1,11 @@
-"""Defining the portfolio tools for the OpenFrame class."""
+"""Defining the portfolio tools for the OpenFrame class.
+
+Copyright (c) Captor Fund Management AB. This file is part of the openseries project.
+
+Licensed under the BSD 3-Clause License. You may obtain a copy of the License at:
+https://github.com/CaptorAB/openseries/blob/master/LICENSE.md
+SPDX-License-Identifier: BSD-3-Clause
+"""
 
 # mypy: disable-error-code="index,assignment"
 from __future__ import annotations