openseries 1.8.4__tar.gz → 1.9.1__tar.gz
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- {openseries-1.8.4 → openseries-1.9.1}/PKG-INFO +14 -41
- {openseries-1.8.4 → openseries-1.9.1}/README.md +11 -37
- {openseries-1.8.4 → openseries-1.9.1}/openseries/__init__.py +10 -1
- {openseries-1.8.4 → openseries-1.9.1}/openseries/_common_model.py +8 -1
- {openseries-1.8.4 → openseries-1.9.1}/openseries/_risk.py +8 -1
- {openseries-1.8.4 → openseries-1.9.1}/openseries/datefixer.py +14 -8
- {openseries-1.8.4 → openseries-1.9.1}/openseries/frame.py +8 -1
- {openseries-1.8.4 → openseries-1.9.1}/openseries/load_plotly.py +8 -1
- {openseries-1.8.4 → openseries-1.9.1}/openseries/owntypes.py +8 -1
- {openseries-1.8.4 → openseries-1.9.1}/openseries/portfoliotools.py +8 -1
- openseries-1.9.1/openseries/report.py +479 -0
- {openseries-1.8.4 → openseries-1.9.1}/openseries/series.py +8 -1
- {openseries-1.8.4 → openseries-1.9.1}/openseries/simulation.py +8 -1
- {openseries-1.8.4 → openseries-1.9.1}/pyproject.toml +8 -13
- {openseries-1.8.4 → openseries-1.9.1}/LICENSE.md +0 -0
- {openseries-1.8.4 → openseries-1.9.1}/openseries/plotly_captor_logo.json +0 -0
- {openseries-1.8.4 → openseries-1.9.1}/openseries/plotly_layouts.json +0 -0
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Metadata-Version: 2.3
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Name: openseries
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Version: 1.
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Version: 1.9.1
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Summary: Tools for analyzing financial timeseries.
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License: # BSD 3-Clause License
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Classifier: Development Status :: 5 - Production/Stable
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Classifier: Operating System :: OS Independent
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Classifier: Framework :: Pydantic
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Requires-Dist: exchange-calendars (>=4.8,<6.0)
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Requires-Dist: holidays (>=0.30,<1.0)
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Requires-Dist: numpy (>=1.23.2,<3.0.0)
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Requires-Dist: numpy (>=1.23.2,!=2.3.0,<3.0.0)
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Requires-Dist: openpyxl (>=3.1.2,<5.0.0)
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Requires-Dist: pandas (>=2.1.2,<3.0.0)
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Requires-Dist: pandas-market-calendars (>=5.1.0,<7.0.0)
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Requires-Dist: plotly (>=5.18.0,<7.0.0)
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Requires-Dist: pyarrow (>=14.0.2,<21.0.0)
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Requires-Dist: pydantic (>=2.5.2,<3.0.0)
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Requires-Dist: python-dateutil (>=2.8.2,<4.0.0)
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Requires-Dist: requests (>=2.20.0,<3.0.0)
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[](https://www.python.org/)
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[](https://github.com/CaptorAB/openseries/actions/workflows/test.yml)
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[](https://codecov.io/gh/CaptorAB/openseries/branch/master)
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[](https://beta.ruff.rs/docs/)
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[](https://github.com/CaptorAB/openseries/blob/master/LICENSE.md)
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```
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### Sample output using the
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### Sample output using the report_html() function:
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Scilla Global Equity C (simulation+fund) Global Low Volatility index, SEK
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ValueType.PRICE ValueType.PRICE
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Total return 3.641282 1.946319
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Arithmetic return 0.096271 0.069636
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Geometric return 0.093057 0.06464
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Volatility 0.120279 0.117866
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Return vol ratio 0.800396 0.59081
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Downside deviation 0.085956 0.086723
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Sortino ratio 1.119993 0.802975
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Positive share 0.541783 0.551996
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Worst -0.071616 -0.089415
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Worst month -0.122503 -0.154485
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Max drawdown -0.309849 -0.435444
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Max drawdown in cal yr -0.309849 -0.348681
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Max drawdown dates 2020-03-23 2009-03-09
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CVaR 95.0% -0.01793 -0.018429
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VaR 95.0% -0.011365 -0.010807
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Imp vol from VaR 95% 0.109204 0.103834
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Z-score 0.587905 0.103241
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Skew -0.650782 -0.888109
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Kurtosis 8.511166 17.527367
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observations 4309 4309
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span of days 6301 6301
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first indices 2006-01-03 2006-01-03
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last indices 2023-04-05 2023-04-05
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```
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<img src="./captor_plot_image.png" alt="Two Assets Compared" width="1000" />
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## Development Instructions
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```bash
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git clone https://github.com/CaptorAB/openseries.git
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cd openseries
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make
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source source_me
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make install
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source source_me
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```
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### On some files in the project
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| [series.py](https://github.com/CaptorAB/openseries/blob/master/openseries/series.py) | Defines the class _OpenTimeSeries_ for managing and analyzing a single timeseries. The module also defines a function `timeseries_chain` that can be used to chain two timeseries objects together.
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| [frame.py](https://github.com/CaptorAB/openseries/blob/master/openseries/frame.py) | Defines the class _OpenFrame_ for managing a group of timeseries, and e.g. calculate a portfolio timeseries from a rebalancing strategy between timeseries.
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| [portfoliotools.py](https://github.com/CaptorAB/openseries/blob/master/openseries/portfoliotools.py) | Defines functions to simulate, optimize, and plot portfolios.
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| File | Description |
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|:-----------------------------------------------------------------------------------------------------|:------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
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| [series.py](https://github.com/CaptorAB/openseries/blob/master/openseries/series.py) | Defines the class _OpenTimeSeries_ for managing and analyzing a single timeseries. The module also defines a function `timeseries_chain` that can be used to chain two timeseries objects together. |
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| [frame.py](https://github.com/CaptorAB/openseries/blob/master/openseries/frame.py) | Defines the class _OpenFrame_ for managing a group of timeseries, and e.g. calculate a portfolio timeseries from a rebalancing strategy between timeseries. |
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| [portfoliotools.py](https://github.com/CaptorAB/openseries/blob/master/openseries/portfoliotools.py) | Defines functions to simulate, optimize, and plot portfolios. |
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| [report.py](https://github.com/CaptorAB/openseries/blob/master/openseries/report.py) | Defines the _report_html_ function that is used to create a landscape orientation report on at least two assets. All preceding assets will be measured against the last asset in the input OpenFrame. |
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| [simulation.py](https://github.com/CaptorAB/openseries/blob/master/openseries/simulation.py) | Defines the class _ReturnSimulation_ to create simulated financial timeseries. Used in the project's test suite |
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### Class methods used to construct objects.
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[](https://github.com/CaptorAB/openseries/blob/master/LICENSE.md)
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```
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### Sample output using the
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### Sample output using the report_html() function:
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Scilla Global Equity C (simulation+fund) Global Low Volatility index, SEK
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ValueType.PRICE ValueType.PRICE
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Total return 3.641282 1.946319
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Arithmetic return 0.096271 0.069636
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Geometric return 0.093057 0.06464
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Volatility 0.120279 0.117866
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Return vol ratio 0.800396 0.59081
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Downside deviation 0.085956 0.086723
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Sortino ratio 1.119993 0.802975
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Positive share 0.541783 0.551996
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Worst -0.071616 -0.089415
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Worst month -0.122503 -0.154485
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Max drawdown -0.309849 -0.435444
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Max drawdown in cal yr -0.309849 -0.348681
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Max drawdown dates 2020-03-23 2009-03-09
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CVaR 95.0% -0.01793 -0.018429
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VaR 95.0% -0.011365 -0.010807
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Imp vol from VaR 95% 0.109204 0.103834
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Z-score 0.587905 0.103241
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Skew -0.650782 -0.888109
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Kurtosis 8.511166 17.527367
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span of days 6301 6301
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first indices 2006-01-03 2006-01-03
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last indices 2023-04-05 2023-04-05
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```
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<img src="./captor_plot_image.png" alt="Two Assets Compared" width="1000" />
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## Development Instructions
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```
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| [series.py](https://github.com/CaptorAB/openseries/blob/master/openseries/series.py) | Defines the class _OpenTimeSeries_ for managing and analyzing a single timeseries. The module also defines a function `timeseries_chain` that can be used to chain two timeseries objects together.
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| [frame.py](https://github.com/CaptorAB/openseries/blob/master/openseries/frame.py) | Defines the class _OpenFrame_ for managing a group of timeseries, and e.g. calculate a portfolio timeseries from a rebalancing strategy between timeseries.
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| [portfoliotools.py](https://github.com/CaptorAB/openseries/blob/master/openseries/portfoliotools.py) | Defines functions to simulate, optimize, and plot portfolios.
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|:-----------------------------------------------------------------------------------------------------|:------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
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| [series.py](https://github.com/CaptorAB/openseries/blob/master/openseries/series.py) | Defines the class _OpenTimeSeries_ for managing and analyzing a single timeseries. The module also defines a function `timeseries_chain` that can be used to chain two timeseries objects together. |
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| [frame.py](https://github.com/CaptorAB/openseries/blob/master/openseries/frame.py) | Defines the class _OpenFrame_ for managing a group of timeseries, and e.g. calculate a portfolio timeseries from a rebalancing strategy between timeseries. |
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| [portfoliotools.py](https://github.com/CaptorAB/openseries/blob/master/openseries/portfoliotools.py) | Defines functions to simulate, optimize, and plot portfolios. |
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| [report.py](https://github.com/CaptorAB/openseries/blob/master/openseries/report.py) | Defines the _report_html_ function that is used to create a landscape orientation report on at least two assets. All preceding assets will be measured against the last asset in the input OpenFrame. |
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| [simulation.py](https://github.com/CaptorAB/openseries/blob/master/openseries/simulation.py) | Defines the class _ReturnSimulation_ to create simulated financial timeseries. Used in the project's test suite |
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Licensed under the BSD 3-Clause License. You may obtain a copy of the License at:
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SPDX-License-Identifier: BSD-3-Clause
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"""
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"""
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@@ -80,13 +87,12 @@ def market_holidays(
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holidays: list[str] = []
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for m in market_list:
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cal =
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cal_hols = cal.holidays().calendar.holidays
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cal = exchcal.get_calendar(m)
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cal_hols = cal.regular_holidays.holidays()
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my_hols: list[str] = [
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date.date().strftime("%Y-%m-%d")
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for date in cal_hols
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if (startyear <=
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if (startyear <= date.date().year <= endyear)
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holidays.extend(my_hols)
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"""Defining the OpenFrame class.
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"""Defining the OpenFrame class.
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Copyright (c) Captor Fund Management AB. This file is part of the openseries project.
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Licensed under the BSD 3-Clause License. You may obtain a copy of the License at:
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https://github.com/CaptorAB/openseries/blob/master/LICENSE.md
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SPDX-License-Identifier: BSD-3-Clause
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"""
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# mypy: disable-error-code="index,assignment,arg-type,no-any-return"
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from __future__ import annotations
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"""Function to load plotly layout and configuration from local json file.
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"""Function to load plotly layout and configuration from local json file.
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Copyright (c) Captor Fund Management AB. This file is part of the openseries project.
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Licensed under the BSD 3-Clause License. You may obtain a copy of the License at:
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https://github.com/CaptorAB/openseries/blob/master/LICENSE.md
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SPDX-License-Identifier: BSD-3-Clause
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"""
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"""Declaring types used throughout the project.
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"""Declaring types used throughout the project.
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Copyright (c) Captor Fund Management AB. This file is part of the openseries project.
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Licensed under the BSD 3-Clause License. You may obtain a copy of the License at:
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https://github.com/CaptorAB/openseries/blob/master/LICENSE.md
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SPDX-License-Identifier: BSD-3-Clause
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"""
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from __future__ import annotations
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"""Defining the portfolio tools for the OpenFrame class.
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"""Defining the portfolio tools for the OpenFrame class.
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Copyright (c) Captor Fund Management AB. This file is part of the openseries project.
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Licensed under the BSD 3-Clause License. You may obtain a copy of the License at:
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https://github.com/CaptorAB/openseries/blob/master/LICENSE.md
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SPDX-License-Identifier: BSD-3-Clause
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"""
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# mypy: disable-error-code="index,assignment"
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from __future__ import annotations
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"""Functions related to HTML reports.
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Copyright (c) Captor Fund Management AB. This file is part of the openseries project.
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Licensed under the BSD 3-Clause License. You may obtain a copy of the License at:
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https://github.com/CaptorAB/openseries/blob/master/LICENSE.md
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SPDX-License-Identifier: BSD-3-Clause
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"""
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# mypy: disable-error-code="assignment,index,arg-type"
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from __future__ import annotations
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from inspect import stack
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from logging import getLogger
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from pathlib import Path
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from secrets import choice
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from string import ascii_letters
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from typing import TYPE_CHECKING, cast
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from warnings import catch_warnings, simplefilter
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if TYPE_CHECKING: # pragma: no cover
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from pandas import Series
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from plotly.graph_objs import Figure
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from .frame import OpenFrame
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from .owntypes import LiteralPlotlyJSlib, LiteralPlotlyOutput
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from pandas import DataFrame, Series, concat
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from plotly.io import to_html
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from plotly.offline import plot
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from plotly.subplots import make_subplots
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from .load_plotly import load_plotly_dict
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from .owntypes import (
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LiteralBizDayFreq,
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ValueType,
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)
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logger = getLogger(__name__)
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__all__ = ["report_html"]
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def calendar_period_returns(
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data: OpenFrame,
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freq: LiteralBizDayFreq = "BYE",
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*,
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relabel: bool = True,
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) -> DataFrame:
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"""Generate a table of returns with appropriate table labels.
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Parameters
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----------
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data: OpenFrame
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The timeseries data
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freq: LiteralBizDayFreq
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The date offset string that sets the resampled frequency
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relabel: bool, default: True
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Whether to set new appropriate labels
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Returns:
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-------
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pandas.DataFrame
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The resulting data
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"""
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copied = data.from_deepcopy()
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copied.resample_to_business_period_ends(freq=freq)
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vtypes = [x == ValueType.RTRN for x in copied.tsdf.columns.get_level_values(1)]
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if not any(vtypes):
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copied.value_to_ret()
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cldr = copied.tsdf.iloc[1:].copy()
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if relabel:
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if freq == "BYE":
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cldr.index = [d.year for d in cldr.index]
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else:
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cldr.index = [d.strftime("%b %y") for d in cldr.index]
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return cldr # type: ignore[no-any-return]
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def report_html(
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data: OpenFrame,
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bar_freq: LiteralBizDayFreq = "BYE",
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filename: str | None = None,
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title: str | None = None,
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directory: Path | None = None,
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output_type: LiteralPlotlyOutput = "file",
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include_plotlyjs: LiteralPlotlyJSlib = "cdn",
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*,
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auto_open: bool = False,
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add_logo: bool = True,
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vertical_legend: bool = True,
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) -> tuple[Figure, str]:
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"""Generate a HTML report page with line and bar plots and a table.
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Parameters
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----------
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data: OpenFrame
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The timeseries data
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bar_freq: LiteralBizDayFreq
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The date offset string that sets the bar plot frequency
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filename: str, optional
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Name of the Plotly html file
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title: str, optional
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The report page title
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directory: DirectoryPath, optional
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Directory where Plotly html file is saved
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output_type: LiteralPlotlyOutput, default: "file"
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Determines output type
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include_plotlyjs: LiteralPlotlyJSlib, default: "cdn"
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Determines how the plotly.js library is included in the output
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auto_open: bool, default: True
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Determines whether to open a browser window with the plot
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add_logo: bool, default: True
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If True a Captor logo is added to the plot
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vertical_legend: bool, default: True
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Determines whether to vertically align the legend's labels
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122
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Returns:
|
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-------
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124
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tuple[plotly.go.Figure, str]
|
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+
Plotly Figure and a div section or a html filename with location
|
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+
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127
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+
"""
|
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+
data.trunc_frame().value_nan_handle().to_cumret()
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+
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if data.yearfrac > 1.0:
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properties = [
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"geo_ret",
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"vol",
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"ret_vol_ratio",
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"sortino_ratio",
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"worst_month",
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"first_indices",
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"last_indices",
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]
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labels_init = [
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"Return (CAGR)",
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"Volatility",
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"Sharpe Ratio",
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"Sortino Ratio",
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"Worst Month",
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"Comparison Start",
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"Comparison End",
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"Jensen's Alpha",
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"Information Ratio",
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"Tracking Error (weekly)",
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"Capture Ratio (monthly)",
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"Index Beta (weekly)",
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]
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labels_final = [
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"Return (CAGR)",
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156
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"Year-to-Date",
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157
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+
"Month-to-Date",
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158
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"Volatility",
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159
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+
"Sharpe Ratio",
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160
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+
"Sortino Ratio",
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161
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+
"Jensen's Alpha",
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162
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+
"Information Ratio",
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163
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"Tracking Error (weekly)",
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164
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+
"Index Beta (weekly)",
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165
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+
"Capture Ratio (monthly)",
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166
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"Worst Month",
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"Comparison Start",
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168
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"Comparison End",
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169
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]
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else:
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properties = [
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"value_ret",
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173
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"vol",
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174
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"ret_vol_ratio",
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"sortino_ratio",
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"worst",
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177
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+
"first_indices",
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178
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"last_indices",
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179
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+
]
|
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180
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+
labels_init = [
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181
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+
"Return (simple)",
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182
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+
"Volatility",
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183
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"Sharpe Ratio",
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184
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"Sortino Ratio",
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185
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+
"Worst Day",
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186
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"Comparison Start",
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"Comparison End",
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188
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+
"Jensen's Alpha",
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189
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+
"Information Ratio",
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190
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"Tracking Error (weekly)",
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191
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+
"Index Beta (weekly)",
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|
192
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+
]
|
|
193
|
+
labels_final = [
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194
|
+
"Return (simple)",
|
|
195
|
+
"Year-to-Date",
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196
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+
"Month-to-Date",
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197
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+
"Volatility",
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198
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+
"Sharpe Ratio",
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199
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+
"Sortino Ratio",
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200
|
+
"Jensen's Alpha",
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201
|
+
"Information Ratio",
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202
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+
"Tracking Error (weekly)",
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203
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+
"Index Beta (weekly)",
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204
|
+
"Worst Day",
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205
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"Comparison Start",
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206
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"Comparison End",
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207
|
+
]
|
|
208
|
+
|
|
209
|
+
figure = make_subplots(
|
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210
|
+
rows=2,
|
|
211
|
+
cols=2,
|
|
212
|
+
specs=[
|
|
213
|
+
[{"type": "xy"}, {"rowspan": 2, "type": "table"}],
|
|
214
|
+
[{"type": "xy"}, None],
|
|
215
|
+
],
|
|
216
|
+
)
|
|
217
|
+
|
|
218
|
+
for item, lbl in enumerate(data.columns_lvl_zero):
|
|
219
|
+
figure.add_scatter(
|
|
220
|
+
x=data.tsdf.index,
|
|
221
|
+
y=data.tsdf.iloc[:, item],
|
|
222
|
+
hovertemplate="%{y:.2%}<br>%{x|%Y-%m-%d}",
|
|
223
|
+
line={"width": 2.5, "dash": "solid"},
|
|
224
|
+
mode="lines",
|
|
225
|
+
name=lbl,
|
|
226
|
+
showlegend=True,
|
|
227
|
+
row=1,
|
|
228
|
+
col=1,
|
|
229
|
+
)
|
|
230
|
+
|
|
231
|
+
quarter_of_year = 0.25
|
|
232
|
+
if data.yearfrac < quarter_of_year:
|
|
233
|
+
tmp = data.from_deepcopy()
|
|
234
|
+
bdf = tmp.value_to_ret().tsdf.iloc[1:]
|
|
235
|
+
else:
|
|
236
|
+
bdf = calendar_period_returns(data, freq=bar_freq)
|
|
237
|
+
|
|
238
|
+
for item in range(data.item_count):
|
|
239
|
+
figure.add_bar(
|
|
240
|
+
x=bdf.index,
|
|
241
|
+
y=bdf.iloc[:, item],
|
|
242
|
+
hovertemplate="%{y:.2%}<br>%{x}",
|
|
243
|
+
name=bdf.iloc[:, item].name[0],
|
|
244
|
+
showlegend=False,
|
|
245
|
+
row=2,
|
|
246
|
+
col=1,
|
|
247
|
+
)
|
|
248
|
+
|
|
249
|
+
formats = [
|
|
250
|
+
"{:.2%}",
|
|
251
|
+
"{:.2%}",
|
|
252
|
+
"{:.2f}",
|
|
253
|
+
"{:.2f}",
|
|
254
|
+
"{:.2%}",
|
|
255
|
+
"{:%Y-%m-%d}",
|
|
256
|
+
"{:%Y-%m-%d}",
|
|
257
|
+
"{:.2%}",
|
|
258
|
+
"{:.2f}",
|
|
259
|
+
"{:.2%}",
|
|
260
|
+
"{:.2f}",
|
|
261
|
+
]
|
|
262
|
+
|
|
263
|
+
# noinspection PyTypeChecker
|
|
264
|
+
rpt_df = data.all_properties(properties=properties)
|
|
265
|
+
alpha_frame = data.from_deepcopy()
|
|
266
|
+
alpha_frame.to_cumret()
|
|
267
|
+
with catch_warnings():
|
|
268
|
+
simplefilter("ignore")
|
|
269
|
+
alphas: list[str | float] = [
|
|
270
|
+
alpha_frame.jensen_alpha(
|
|
271
|
+
asset=(aname, ValueType.PRICE),
|
|
272
|
+
market=(alpha_frame.columns_lvl_zero[-1], ValueType.PRICE),
|
|
273
|
+
riskfree_rate=0.0,
|
|
274
|
+
)
|
|
275
|
+
for aname in alpha_frame.columns_lvl_zero[:-1]
|
|
276
|
+
]
|
|
277
|
+
alphas.append("")
|
|
278
|
+
ar = DataFrame(data=alphas, index=data.tsdf.columns, columns=["Jensen's Alpha"]).T
|
|
279
|
+
rpt_df = concat([rpt_df, ar])
|
|
280
|
+
ir = data.info_ratio_func()
|
|
281
|
+
ir.name = "Information Ratio"
|
|
282
|
+
ir.iloc[-1] = None
|
|
283
|
+
ir = ir.to_frame().T
|
|
284
|
+
rpt_df = concat([rpt_df, ir])
|
|
285
|
+
te_frame = data.from_deepcopy()
|
|
286
|
+
te_frame.resample("7D")
|
|
287
|
+
with catch_warnings():
|
|
288
|
+
simplefilter("ignore")
|
|
289
|
+
te = te_frame.tracking_error_func()
|
|
290
|
+
if te.hasnans:
|
|
291
|
+
te = Series(
|
|
292
|
+
data=[""] * te_frame.item_count,
|
|
293
|
+
index=te_frame.tsdf.columns,
|
|
294
|
+
name="Tracking Error (weekly)",
|
|
295
|
+
)
|
|
296
|
+
else:
|
|
297
|
+
te.iloc[-1] = None
|
|
298
|
+
te.name = "Tracking Error (weekly)"
|
|
299
|
+
te = te.to_frame().T
|
|
300
|
+
rpt_df = concat([rpt_df, te])
|
|
301
|
+
|
|
302
|
+
if data.yearfrac > 1.0:
|
|
303
|
+
crm = data.from_deepcopy()
|
|
304
|
+
crm.resample("ME")
|
|
305
|
+
cru_save = Series(
|
|
306
|
+
data=[""] * crm.item_count,
|
|
307
|
+
index=crm.tsdf.columns,
|
|
308
|
+
name="Capture Ratio (monthly)",
|
|
309
|
+
)
|
|
310
|
+
with catch_warnings():
|
|
311
|
+
simplefilter("ignore")
|
|
312
|
+
try:
|
|
313
|
+
cru = crm.capture_ratio_func(ratio="both")
|
|
314
|
+
except ZeroDivisionError as exc: # pragma: no cover
|
|
315
|
+
msg = f"Capture ratio calculation error: {exc!s}" # pragma: no cover
|
|
316
|
+
logger.warning(msg=msg) # pragma: no cover
|
|
317
|
+
cru = cru_save # pragma: no cover
|
|
318
|
+
if cru.hasnans:
|
|
319
|
+
cru = cru_save
|
|
320
|
+
else:
|
|
321
|
+
cru.iloc[-1] = None
|
|
322
|
+
cru.name = "Capture Ratio (monthly)"
|
|
323
|
+
cru = cru.to_frame().T
|
|
324
|
+
rpt_df = concat([rpt_df, cru])
|
|
325
|
+
formats.append("{:.2f}")
|
|
326
|
+
beta_frame = data.from_deepcopy()
|
|
327
|
+
beta_frame.resample("7D").value_nan_handle("drop")
|
|
328
|
+
beta_frame.to_cumret()
|
|
329
|
+
betas: list[str | float] = [
|
|
330
|
+
beta_frame.beta(
|
|
331
|
+
asset=(bname, ValueType.PRICE),
|
|
332
|
+
market=(beta_frame.columns_lvl_zero[-1], ValueType.PRICE),
|
|
333
|
+
)
|
|
334
|
+
for bname in beta_frame.columns_lvl_zero[:-1]
|
|
335
|
+
]
|
|
336
|
+
# noinspection PyTypeChecker
|
|
337
|
+
betas.append("")
|
|
338
|
+
br = DataFrame(
|
|
339
|
+
data=betas,
|
|
340
|
+
index=data.tsdf.columns,
|
|
341
|
+
columns=["Index Beta (weekly)"],
|
|
342
|
+
).T
|
|
343
|
+
rpt_df = concat([rpt_df, br])
|
|
344
|
+
|
|
345
|
+
for item, f in zip(rpt_df.index, formats, strict=False):
|
|
346
|
+
rpt_df.loc[item] = rpt_df.loc[item].apply(
|
|
347
|
+
lambda x, fmt=f: x if (isinstance(x, str) or x is None) else fmt.format(x), # type: ignore[return-value]
|
|
348
|
+
)
|
|
349
|
+
|
|
350
|
+
rpt_df.index = labels_init
|
|
351
|
+
|
|
352
|
+
this_year = data.last_idx.year
|
|
353
|
+
this_month = data.last_idx.month
|
|
354
|
+
ytd = cast("Series[float]", data.value_ret_calendar_period(year=this_year)).map(
|
|
355
|
+
"{:.2%}".format
|
|
356
|
+
)
|
|
357
|
+
ytd.name = "Year-to-Date"
|
|
358
|
+
mtd = cast(
|
|
359
|
+
"Series[float]",
|
|
360
|
+
data.value_ret_calendar_period(year=this_year, month=this_month),
|
|
361
|
+
).map(
|
|
362
|
+
"{:.2%}".format,
|
|
363
|
+
)
|
|
364
|
+
mtd.name = "Month-to-Date"
|
|
365
|
+
ytd = ytd.to_frame().T
|
|
366
|
+
mtd = mtd.to_frame().T
|
|
367
|
+
rpt_df = concat([rpt_df, ytd])
|
|
368
|
+
rpt_df = concat([rpt_df, mtd])
|
|
369
|
+
rpt_df = rpt_df.reindex(labels_final)
|
|
370
|
+
|
|
371
|
+
rpt_df.index = [f"<b>{x}</b>" for x in rpt_df.index]
|
|
372
|
+
rpt_df = rpt_df.reset_index()
|
|
373
|
+
|
|
374
|
+
colmns = ["", *data.columns_lvl_zero]
|
|
375
|
+
columns = [f"<b>{x}</b>" for x in colmns]
|
|
376
|
+
aligning = ["left"] + ["center"] * (len(columns) - 1)
|
|
377
|
+
|
|
378
|
+
col_even_color = "lightgrey"
|
|
379
|
+
col_odd_color = "white"
|
|
380
|
+
color_lst = ["grey"] + [col_odd_color] * (data.item_count - 1) + [col_even_color]
|
|
381
|
+
|
|
382
|
+
tablevalues = rpt_df.transpose().to_numpy().tolist()
|
|
383
|
+
cleanedtablevalues = list(tablevalues)[:-1]
|
|
384
|
+
cleanedcol = [
|
|
385
|
+
valu if valu not in ["nan", "nan%"] else "" for valu in tablevalues[-1]
|
|
386
|
+
]
|
|
387
|
+
cleanedtablevalues.append(cleanedcol)
|
|
388
|
+
|
|
389
|
+
figure.add_table(
|
|
390
|
+
header={
|
|
391
|
+
"values": columns,
|
|
392
|
+
"align": "center",
|
|
393
|
+
"fill_color": "grey",
|
|
394
|
+
"font": {"color": "white"},
|
|
395
|
+
},
|
|
396
|
+
cells={
|
|
397
|
+
"values": cleanedtablevalues,
|
|
398
|
+
"align": aligning,
|
|
399
|
+
"height": 25,
|
|
400
|
+
"fill_color": color_lst,
|
|
401
|
+
"font": {"color": ["white"] + ["black"] * len(columns)},
|
|
402
|
+
},
|
|
403
|
+
row=1,
|
|
404
|
+
col=2,
|
|
405
|
+
)
|
|
406
|
+
|
|
407
|
+
if directory:
|
|
408
|
+
dirpath = Path(directory).resolve()
|
|
409
|
+
elif Path.home().joinpath("Documents").exists():
|
|
410
|
+
dirpath = Path.home() / "Documents"
|
|
411
|
+
else:
|
|
412
|
+
dirpath = Path(stack()[1].filename).parent
|
|
413
|
+
|
|
414
|
+
if not filename:
|
|
415
|
+
filename = "".join(choice(ascii_letters) for _ in range(6)) + ".html"
|
|
416
|
+
|
|
417
|
+
plotfile = dirpath / filename
|
|
418
|
+
|
|
419
|
+
fig, logo = load_plotly_dict()
|
|
420
|
+
|
|
421
|
+
if add_logo:
|
|
422
|
+
figure.add_layout_image(logo)
|
|
423
|
+
|
|
424
|
+
figure.update_layout(fig.get("layout"))
|
|
425
|
+
colorway: list[str] = cast("dict[str, list[str]]", fig["layout"]).get("colorway")
|
|
426
|
+
|
|
427
|
+
if vertical_legend:
|
|
428
|
+
legend = {
|
|
429
|
+
"yanchor": "bottom",
|
|
430
|
+
"y": -0.04,
|
|
431
|
+
"xanchor": "right",
|
|
432
|
+
"x": 0.98,
|
|
433
|
+
"orientation": "v",
|
|
434
|
+
}
|
|
435
|
+
else:
|
|
436
|
+
legend = {
|
|
437
|
+
"yanchor": "bottom",
|
|
438
|
+
"y": -0.2,
|
|
439
|
+
"xanchor": "right",
|
|
440
|
+
"x": 0.98,
|
|
441
|
+
"orientation": "h",
|
|
442
|
+
}
|
|
443
|
+
|
|
444
|
+
figure.update_layout(
|
|
445
|
+
legend=legend,
|
|
446
|
+
colorway=colorway[: data.item_count],
|
|
447
|
+
)
|
|
448
|
+
figure.update_xaxes(gridcolor="#EEEEEE", automargin=True, tickangle=-45)
|
|
449
|
+
figure.update_yaxes(tickformat=".2%", gridcolor="#EEEEEE", automargin=True)
|
|
450
|
+
|
|
451
|
+
if isinstance(title, str):
|
|
452
|
+
figure.update_layout(
|
|
453
|
+
{"title": {"text": f"<b>{title}</b><br>", "font": {"size": 36}}},
|
|
454
|
+
)
|
|
455
|
+
|
|
456
|
+
if output_type == "file":
|
|
457
|
+
plot(
|
|
458
|
+
figure_or_data=figure,
|
|
459
|
+
filename=str(plotfile),
|
|
460
|
+
auto_open=auto_open,
|
|
461
|
+
auto_play=False,
|
|
462
|
+
link_text="",
|
|
463
|
+
include_plotlyjs=cast("bool", include_plotlyjs),
|
|
464
|
+
output_type=output_type,
|
|
465
|
+
config=fig["config"],
|
|
466
|
+
)
|
|
467
|
+
string_output = str(plotfile)
|
|
468
|
+
else:
|
|
469
|
+
div_id = filename.split(sep=".")[0]
|
|
470
|
+
string_output = to_html(
|
|
471
|
+
fig=figure,
|
|
472
|
+
div_id=div_id,
|
|
473
|
+
auto_play=False,
|
|
474
|
+
full_html=False,
|
|
475
|
+
include_plotlyjs=cast("bool", include_plotlyjs),
|
|
476
|
+
config=fig["config"],
|
|
477
|
+
)
|
|
478
|
+
|
|
479
|
+
return figure, string_output
|
|
@@ -1,4 +1,11 @@
|
|
|
1
|
-
"""Defining the OpenTimeSeries class.
|
|
1
|
+
"""Defining the OpenTimeSeries class.
|
|
2
|
+
|
|
3
|
+
Copyright (c) Captor Fund Management AB. This file is part of the openseries project.
|
|
4
|
+
|
|
5
|
+
Licensed under the BSD 3-Clause License. You may obtain a copy of the License at:
|
|
6
|
+
https://github.com/CaptorAB/openseries/blob/master/LICENSE.md
|
|
7
|
+
SPDX-License-Identifier: BSD-3-Clause
|
|
8
|
+
"""
|
|
2
9
|
|
|
3
10
|
# mypy: disable-error-code="no-any-return"
|
|
4
11
|
from __future__ import annotations
|
|
@@ -1,4 +1,11 @@
|
|
|
1
|
-
"""Defining the ReturnSimulation class.
|
|
1
|
+
"""Defining the ReturnSimulation class.
|
|
2
|
+
|
|
3
|
+
Copyright (c) Captor Fund Management AB. This file is part of the openseries project.
|
|
4
|
+
|
|
5
|
+
Licensed under the BSD 3-Clause License. You may obtain a copy of the License at:
|
|
6
|
+
https://github.com/CaptorAB/openseries/blob/master/LICENSE.md
|
|
7
|
+
SPDX-License-Identifier: BSD-3-Clause
|
|
8
|
+
"""
|
|
2
9
|
|
|
3
10
|
# mypy: disable-error-code="no-any-return"
|
|
4
11
|
from __future__ import annotations
|
|
@@ -1,6 +1,6 @@
|
|
|
1
1
|
[project]
|
|
2
2
|
name = "openseries"
|
|
3
|
-
version = "1.
|
|
3
|
+
version = "1.9.1"
|
|
4
4
|
description = "Tools for analyzing financial timeseries."
|
|
5
5
|
authors = [
|
|
6
6
|
{ name = "Martin Karrin", email = "martin.karrin@captor.se" },
|
|
@@ -40,18 +40,17 @@ keywords = [
|
|
|
40
40
|
]
|
|
41
41
|
|
|
42
42
|
dependencies = [
|
|
43
|
+
"exchange-calendars (>=4.8,<6.0)",
|
|
43
44
|
"holidays (>=0.30,<1.0)",
|
|
44
|
-
"numpy (>=1.23.2,<3.0.0)",
|
|
45
|
+
"numpy (>=1.23.2,!=2.3.0,<3.0.0)",
|
|
45
46
|
"openpyxl (>=3.1.2,<5.0.0)",
|
|
46
47
|
"pandas (>=2.1.2,<3.0.0)",
|
|
47
48
|
"plotly (>=5.18.0,<7.0.0)",
|
|
48
|
-
"pyarrow (>=14.0.2,<21.0.0)",
|
|
49
49
|
"pydantic (>=2.5.2,<3.0.0)",
|
|
50
50
|
"python-dateutil (>=2.8.2,<4.0.0)",
|
|
51
51
|
"requests (>=2.20.0,<3.0.0)",
|
|
52
52
|
"scipy (>=1.11.4,<2.0.0)",
|
|
53
|
-
"statsmodels (>=0.14.0,!=0.14.2,<1.0.0)"
|
|
54
|
-
"pandas-market-calendars (>=5.1.0,<7.0.0)"
|
|
53
|
+
"statsmodels (>=0.14.0,!=0.14.2,<1.0.0)"
|
|
55
54
|
]
|
|
56
55
|
|
|
57
56
|
[project.urls]
|
|
@@ -63,12 +62,11 @@ dependencies = [
|
|
|
63
62
|
[tool.poetry.group.dev.dependencies]
|
|
64
63
|
black = ">=24.4.2,<27.0.0"
|
|
65
64
|
coverage = ">=7.2.7,<9.0.0"
|
|
66
|
-
genbadge = { version = ">=1.1.1,<2.0.0", extras = ["coverage"] }
|
|
67
65
|
mypy = "1.16.0"
|
|
68
66
|
pandas-stubs = ">=2.1.2,<3.0.0"
|
|
69
67
|
pre-commit = ">=3.7.1,<6.0.0"
|
|
70
68
|
pytest = ">=8.2.2,<9.0.0"
|
|
71
|
-
ruff = "0.11.
|
|
69
|
+
ruff = "0.11.13"
|
|
72
70
|
types-openpyxl = ">=3.1.2,<5.0.0"
|
|
73
71
|
types-python-dateutil = ">=2.8.2,<4.0.0"
|
|
74
72
|
types-requests = ">=2.20.0,<3.0.0"
|
|
@@ -109,10 +107,7 @@ disallow_any_generics = true
|
|
|
109
107
|
check_untyped_defs = true
|
|
110
108
|
no_implicit_reexport = true
|
|
111
109
|
disallow_untyped_defs = true
|
|
112
|
-
plugins = [
|
|
113
|
-
"pydantic.mypy",
|
|
114
|
-
"numpy.typing.mypy_plugin"
|
|
115
|
-
]
|
|
110
|
+
plugins = ["pydantic.mypy"]
|
|
116
111
|
|
|
117
112
|
[tool.pydantic-mypy]
|
|
118
113
|
init_forbid_extra = true
|
|
@@ -130,9 +125,9 @@ line-length = 87
|
|
|
130
125
|
select = ["ALL"]
|
|
131
126
|
ignore = ["COM812", "D203", "D213"]
|
|
132
127
|
fixable = ["ALL"]
|
|
133
|
-
mccabe = { max-complexity =
|
|
128
|
+
mccabe = { max-complexity = 18 }
|
|
134
129
|
pydocstyle = { convention = "google" }
|
|
135
|
-
pylint = { max-args = 19, max-branches =
|
|
130
|
+
pylint = { max-args = 19, max-branches = 24, max-statements = 128 }
|
|
136
131
|
|
|
137
132
|
[tool.pytest.ini_options]
|
|
138
133
|
testpaths = "tests"
|
|
File without changes
|
|
File without changes
|
|
File without changes
|