openseries 1.9.5__py3-none-any.whl → 1.9.6__py3-none-any.whl

openseries/report.py

@@ -75,7 +75,7 @@ def calendar_period_returns(
             cldr.index = Index([d.year for d in cldr.index])
         elif freq.upper() == "BQE":
             cldr.index = Index(
-                [Timestamp(d).to_period("Q").strftime("Q%q %Y") for d in cldr.index]
+                [Timestamp(d).to_period("Q").strftime("Q%q %Y") for d in cldr.index],
             )
         else:
             cldr.index = Index([d.strftime("%b %y") for d in cldr.index])
@@ -266,7 +266,7 @@ def report_html(
 
     # noinspection PyTypeChecker
     rpt_df = copied.all_properties(
-        properties=cast("list[LiteralFrameProps]", properties)
+        properties=cast("list[LiteralFrameProps]", properties),
     )
     alpha_frame = copied.from_deepcopy()
     alpha_frame.to_cumret()
@@ -282,7 +282,9 @@ def report_html(
         ]
     alphas.append("")
     ar = DataFrame(
-        data=alphas, index=copied.tsdf.columns, columns=["Jensen's Alpha"]
+        data=alphas,
+        index=copied.tsdf.columns,
+        columns=["Jensen's Alpha"],
     ).T
     rpt_df = concat([rpt_df, ar])
     ir = copied.info_ratio_func()
@@ -294,7 +296,7 @@ def report_html(
     te_frame.resample("7D")
     with catch_warnings():
         simplefilter("ignore")
-        te = te_frame.tracking_error_func()
+        te: Series[float] | Series[str] = te_frame.tracking_error_func()
     if te.hasnans:
         te = Series(
             data=[""] * te_frame.item_count,
@@ -318,7 +320,7 @@ def report_html(
         with catch_warnings():
             simplefilter("ignore")
             try:
-                cru = crm.capture_ratio_func(ratio="both")
+                cru: Series[float] | Series[str] = crm.capture_ratio_func(ratio="both")
             except ZeroDivisionError as exc:  # pragma: no cover
                 msg = f"Capture ratio calculation error: {exc!s}"  # pragma: no cover
                 logger.warning(msg=msg)  # pragma: no cover
@@ -358,14 +360,9 @@ def report_html(
 
     this_year = copied.last_idx.year
     this_month = copied.last_idx.month
-    ytd = cast("Series[float]", copied.value_ret_calendar_period(year=this_year)).map(
-        "{:.2%}".format
-    )
+    ytd = copied.value_ret_calendar_period(year=this_year).map("{:.2%}".format)
     ytd.name = "Year-to-Date"
-    mtd = cast(
-        "Series[float]",
-        copied.value_ret_calendar_period(year=this_year, month=this_month),
-    ).map(
+    mtd = copied.value_ret_calendar_period(year=this_year, month=this_month).map(
         "{:.2%}".format,
     )
     mtd.name = "Month-to-Date"
@@ -430,7 +427,8 @@ def report_html(
 
     figure.update_layout(fig.get("layout"))
     colorway: list[str] = cast("dict[str, list[str]]", fig["layout"]).get(
-        "colorway", []
+        "colorway",
+        [],
     )
 
     if vertical_legend:
@@ -457,7 +455,7 @@ def report_html(
     figure.update_xaxes(gridcolor="#EEEEEE", automargin=True, tickangle=-45)
     figure.update_yaxes(tickformat=".2%", gridcolor="#EEEEEE", automargin=True)
 
-    if isinstance(title, str):
+    if title:
         figure.update_layout(
             {"title": {"text": f"<b>{title}</b><br>", "font": {"size": 36}}},
         )

openseries/series.py

@@ -17,10 +17,14 @@ if TYPE_CHECKING:  # pragma: no cover
     import datetime as dt
     from collections.abc import Callable
 
+    from numpy.typing import NDArray
+    from pandas import Timestamp
+
 from numpy import (
     append,
     array,
     cumprod,
+    float64,
     insert,
     isnan,
     log,
@@ -70,7 +74,7 @@ TypeOpenTimeSeries = TypeVar("TypeOpenTimeSeries", bound="OpenTimeSeries")
 
 
 # noinspection PyUnresolvedReferences,PyNestedDecorators
-class OpenTimeSeries(_CommonModel):
+class OpenTimeSeries(_CommonModel[float]):
     """OpenTimeSeries objects are at the core of the openseries package.
 
     The intended use is to allow analyses of financial timeseries.
@@ -143,7 +147,8 @@ class OpenTimeSeries(_CommonModel):
     @FieldValidator("markets", mode="before")
     @classmethod
     def _validate_markets(
-        cls, value: list[str] | str | None
+        cls,
+        value: list[str] | str | None,
     ) -> list[str] | str | None:
         """Pydantic validator to ensure markets field is validated."""
         msg = (
@@ -168,9 +173,6 @@ class OpenTimeSeries(_CommonModel):
         if dates_list_length != dates_set_length:
             msg = "Dates are not unique"
             raise ValueError(msg)
-        if values_list_length < 1:
-            msg = "There must be at least 1 value"
-            raise ValueError(msg)
         if (
             (dates_list_length != values_list_length)
             or (len(self.tsdf.index) != self.tsdf.shape[0])
@@ -470,12 +472,13 @@ class OpenTimeSeries(_CommonModel):
             The returns of the values in the series
 
         """
+        # noinspection PyCallingNonCallable
         returns = self.tsdf.ffill().pct_change()
         returns.iloc[0] = 0
         self.valuetype = ValueType.RTRN
         arrays = [[self.label], [self.valuetype]]
         returns.columns = MultiIndex.from_arrays(
-            arrays=arrays  # type: ignore[arg-type]
+            arrays=arrays,  # type: ignore[arg-type]
         )
         self.tsdf = returns.copy()
         return self
@@ -550,11 +553,16 @@ class OpenTimeSeries(_CommonModel):
             An OpenTimeSeries object
 
         """
-        arr = array(self.values) / divider
+        arr: NDArray[float64] = array(self.values) / divider
 
         deltas = array([i.days for i in self.tsdf.index[1:] - self.tsdf.index[:-1]])
-        arr = cumprod(
-            a=insert(arr=1.0 + deltas * arr[:-1] / days_in_year, obj=0, values=1.0)
+        arr = cast(
+            "NDArray[float64]",
+            cumprod(
+                a=insert(
+                    arr=1.0 + deltas * arr[:-1] / days_in_year, obj=0, values=1.0
+                ),
+            ),
         )
 
         self.dates = [d.strftime("%Y-%m-%d") for d in self.tsdf.index]
@@ -672,32 +680,37 @@ class OpenTimeSeries(_CommonModel):
 
         """
         earlier, later = self.calc_range(
-            months_offset=months_from_last, from_dt=from_date, to_dt=to_date
+            months_offset=months_from_last,
+            from_dt=from_date,
+            to_dt=to_date,
         )
         if periods_in_a_year_fixed:
             time_factor = float(periods_in_a_year_fixed)
         else:
-            how_many = self.tsdf.loc[
-                cast("int", earlier) : cast("int", later),
-                self.tsdf.columns.to_numpy()[0],
-            ].count()
+            how_many = (
+                self.tsdf.loc[cast("Timestamp", earlier) : cast("Timestamp", later)]
+                .count()
+                .iloc[0]
+            )
             fraction = (later - earlier).days / 365.25
-            time_factor = cast("int", how_many) / fraction
+            time_factor = how_many / fraction
 
-        data = self.tsdf.loc[cast("int", earlier) : cast("int", later)].copy()
+        data = self.tsdf.loc[
+            cast("Timestamp", earlier) : cast("Timestamp", later)
+        ].copy()
 
         data[self.label, ValueType.RTRN] = log(
-            data.loc[:, self.tsdf.columns.to_numpy()[0]]
+            data.loc[:, self.tsdf.columns.to_numpy()[0]],
         ).diff()
 
         rawdata = [
-            data.loc[:, cast("int", (self.label, ValueType.RTRN))]
+            data[(self.label, ValueType.RTRN)]
             .iloc[1:day_chunk]
             .std(ddof=dlta_degr_freedms)
             * sqrt(time_factor),
         ]
 
-        for item in data.loc[:, cast("int", (self.label, ValueType.RTRN))].iloc[1:]:
+        for item in data[(self.label, ValueType.RTRN)].iloc[1:]:
             prev = rawdata[-1]
             rawdata.append(
                 sqrt(
@@ -865,6 +878,7 @@ def timeseries_chain(
 
     dates.extend([x.strftime("%Y-%m-%d") for x in new.tsdf.index])
 
+    # noinspection PyTypeChecker
     return back.__class__(
         timeseries_id=new.timeseries_id,
         instrument_id=new.instrument_id,

openseries/simulation.py

@@ -60,7 +60,7 @@ def _random_generator(seed: int | None) -> Generator:
     return Generator(bit_generator=bg)
 
 
-class ReturnSimulation(BaseModel):  # type: ignore[misc]
+class ReturnSimulation(BaseModel):
     """The class ReturnSimulation allows for simulating financial timeseries.
 
     Parameters

{openseries-1.9.5.dist-info → openseries-1.9.6.dist-info}/METADATA

@@ -1,6 +1,6 @@
-Metadata-Version: 2.3
+Metadata-Version: 2.4
 Name: openseries
-Version: 1.9.5
+Version: 1.9.6
 Summary: Tools for analyzing financial timeseries.
 License: # BSD 3-Clause License
          
@@ -29,6 +29,7 @@ License: # BSD 3-Clause License
          however caused and on any theory of liability, whether in contract, strict liability,
          or tort (including negligence or otherwise) arising in any way out of the use of this
          software, even if advised of the possibility of such damage.
+License-File: LICENSE.md
 Keywords: python,finance,fintech,data-science,timeseries,timeseries-data,timeseries-analysis,investment,investment-analysis,investing
 Author: Martin Karrin
 Author-email: martin.karrin@captor.se
@@ -119,7 +120,7 @@ _,_=series.plot_series()
 
 ### Sample output using the report_html() function:
 
-<img src="https://raw.githubusercontent.com/CaptorAB/openseries/master/captor_plot_image.png" alt="Two Assets Compared" width="1000" />
+<img src="https://raw.githubusercontent.com/CaptorAB/openseries/master/openseries_plot.png" alt="Two Assets Compared" width="1000" />
 
 ## Development Instructions
 

openseries-1.9.6.dist-info/RECORD

@@ -0,0 +1,17 @@
+openseries/__init__.py,sha256=WAh79oE-ceGG_yl4nBukkp3UPvmLk4u_GySL2xOKbxE,1375
+openseries/_common_model.py,sha256=oZDTfUiQ4OG0T0RsBwTwRPHQcFpdOv1X7447hssoma4,82768
+openseries/_risk.py,sha256=8XKZWWXrECo0Vd9r2kbcn4dzyPuo93DAEO8eSkv4w20,2357
+openseries/datefixer.py,sha256=eVhxaFj_la_XZQuPQHvinTWEzCCn8ct_AnZEYPOpY6U,15775
+openseries/frame.py,sha256=BG_Qnp0PMIZ7ZiShqTjO3Koj7Gs04n4WyzApCvtcUQY,57953
+openseries/load_plotly.py,sha256=C6iQyabfi5ubSONuis3yRHb3bUktBtTDlovsDIaeHNQ,2266
+openseries/owntypes.py,sha256=4IZvwl_YtoUZKlmVX65j5fp1zmfmOJLvaX8vxEIzIAY,9665
+openseries/plotly_captor_logo.json,sha256=F5nhMzEyxKywtjvQqMTKgKRCJQYMDIiBgDSxdte8Clo,178
+openseries/plotly_layouts.json,sha256=MvDEQuiqIhMBXBelXb1sedTOlTPheizv6NZRLeE9YS4,1431
+openseries/portfoliotools.py,sha256=NqSTMlVv9Szu2usXtYzt__661VJoLsAf059ThfBr99Q,19677
+openseries/report.py,sha256=pnxiEfbbkDmzj-lPcWgmYao1vtv1DUG8b73QDQKJa8o,14379
+openseries/series.py,sha256=NgEZ2YPiLG55Bba48XS2zSh5dRLqz8hyGm-CGG1jNmY,29122
+openseries/simulation.py,sha256=8J_iDlKjDVDiHMTWQAzHdXWxNR81pOz2RfdfUMHKSqQ,14337
+openseries-1.9.6.dist-info/METADATA,sha256=GrNCO5aUnS5cuboqOsyU8sTN1YyHARF3RhFT1keNM3s,48324
+openseries-1.9.6.dist-info/WHEEL,sha256=M5asmiAlL6HEcOq52Yi5mmk9KmTVjY2RDPtO4p9DMrc,88
+openseries-1.9.6.dist-info/licenses/LICENSE.md,sha256=wNupG-KLsG0aTncb_SMNDh1ExtrKXlpxSJ6RC-g-SWs,1516
+openseries-1.9.6.dist-info/RECORD,,

{openseries-1.9.5.dist-info → openseries-1.9.6.dist-info}/WHEEL

@@ -1,4 +1,4 @@
 Wheel-Version: 1.0
-Generator: poetry-core 2.1.3
+Generator: poetry-core 2.2.0
 Root-Is-Purelib: true
 Tag: py3-none-any

openseries-1.9.5.dist-info/RECORD

@@ -1,17 +0,0 @@
-openseries/__init__.py,sha256=WAh79oE-ceGG_yl4nBukkp3UPvmLk4u_GySL2xOKbxE,1375
-openseries/_common_model.py,sha256=Nug9DIp54q7tt0yHFEQKAZPrG9c1Oy6VpyqoRWKOC4I,85499
-openseries/_risk.py,sha256=8XKZWWXrECo0Vd9r2kbcn4dzyPuo93DAEO8eSkv4w20,2357
-openseries/datefixer.py,sha256=Z3AKLvULzy9MPQOndKhay0nGx2EgYcjVFNjT9qReoHk,15727
-openseries/frame.py,sha256=a3TPLdvapnvHU_wbhPO0G95UHaHlJLXnsSmm-Ti_2sw,58579
-openseries/load_plotly.py,sha256=C6iQyabfi5ubSONuis3yRHb3bUktBtTDlovsDIaeHNQ,2266
-openseries/owntypes.py,sha256=P9CKoLtjUaFiktLb_axihrlVR5bJfdDbSFJC72kQG2o,9584
-openseries/plotly_captor_logo.json,sha256=F5nhMzEyxKywtjvQqMTKgKRCJQYMDIiBgDSxdte8Clo,178
-openseries/plotly_layouts.json,sha256=MvDEQuiqIhMBXBelXb1sedTOlTPheizv6NZRLeE9YS4,1431
-openseries/portfoliotools.py,sha256=NMSp-dYjPRjBJpZ9W20IKDrQmBDk7e4qkTPT4QFx6io,19721
-openseries/report.py,sha256=iWe68o883EIU9B_t-61fl41wzTY2e6p_ZHgST2uoH3g,14393
-openseries/series.py,sha256=HT2U_gUhiZMhvt7hzpUPakKBEXI64Ur2WqoaUhXV11k,28925
-openseries/simulation.py,sha256=t2LFlAT9lcfPqqGEXOUoEgIG2gDEuGps3Qd3IgN_GLk,14359
-openseries-1.9.5.dist-info/LICENSE.md,sha256=wNupG-KLsG0aTncb_SMNDh1ExtrKXlpxSJ6RC-g-SWs,1516
-openseries-1.9.5.dist-info/METADATA,sha256=XYz8k9ujPY_MuwGjyHEyxyCgjKppszQJfmFq3tZ67U4,48301
-openseries-1.9.5.dist-info/WHEEL,sha256=b4K_helf-jlQoXBBETfwnf4B04YC67LOev0jo4fX5m8,88
-openseries-1.9.5.dist-info/RECORD,,