openseries 1.9.5__py3-none-any.whl → 1.9.7__py3-none-any.whl

openseries/simulation.py

@@ -9,7 +9,13 @@ SPDX-License-Identifier: BSD-3-Clause
 
 from __future__ import annotations
 
-from typing import TYPE_CHECKING, cast
+from functools import cached_property
+from typing import TYPE_CHECKING, TypedDict, cast
+
+try:
+    from typing import Unpack
+except ImportError:
+    from typing_extensions import Unpack
 
 if TYPE_CHECKING:
     import datetime as dt  # pragma: no cover
@@ -41,6 +47,14 @@ from .owntypes import (
 __all__ = ["ReturnSimulation"]
 
 
+class _JumpParams(TypedDict, total=False):
+    """TypedDict for jump diffusion parameters."""
+
+    jumps_lamda: NonNegativeFloat
+    jumps_sigma: NonNegativeFloat
+    jumps_mu: float
+
+
 def _random_generator(seed: int | None) -> Generator:
     """Make a Numpy Random Generator object.
 
@@ -60,7 +74,59 @@ def _random_generator(seed: int | None) -> Generator:
     return Generator(bit_generator=bg)
 
 
-class ReturnSimulation(BaseModel):  # type: ignore[misc]
+def _create_base_simulation(
+    cls: type[ReturnSimulation],
+    returns: DataFrame,
+    number_of_sims: PositiveInt,
+    trading_days: PositiveInt,
+    trading_days_in_year: DaysInYearType,
+    mean_annual_return: float,
+    mean_annual_vol: PositiveFloat,
+    seed: int | None = None,
+    **kwargs: Unpack[_JumpParams],
+) -> ReturnSimulation:
+    """Common logic for creating simulations.
+
+    Parameters
+    ----------
+    cls: type[ReturnSimulation]
+        The ReturnSimulation class
+    returns: pandas.DataFrame
+        The calculated returns data
+    number_of_sims: PositiveInt
+        Number of simulations to generate
+    trading_days: PositiveInt
+        Number of trading days to simulate
+    trading_days_in_year: DaysInYearType
+        Number of trading days used to annualize
+    mean_annual_return: float
+        Mean annual return
+    mean_annual_vol: PositiveFloat
+        Mean annual volatility
+    seed: int, optional
+        Seed for random process initiation
+    **kwargs
+        Additional keyword arguments for jump parameters
+
+    Returns:
+    -------
+    ReturnSimulation
+        A ReturnSimulation instance
+
+    """
+    return cls(
+        number_of_sims=number_of_sims,
+        trading_days=trading_days,
+        trading_days_in_year=trading_days_in_year,
+        mean_annual_return=mean_annual_return,
+        mean_annual_vol=mean_annual_vol,
+        dframe=returns,
+        seed=seed,
+        **kwargs,
+    )
+
+
+class ReturnSimulation(BaseModel):
     """The class ReturnSimulation allows for simulating financial timeseries.
 
     Parameters
@@ -105,7 +171,7 @@ class ReturnSimulation(BaseModel):  # type: ignore[misc]
         revalidate_instances="always",
     )
 
-    @property
+    @cached_property
     def results(self: Self) -> DataFrame:
         """Simulation data.
 
@@ -197,13 +263,14 @@ class ReturnSimulation(BaseModel):  # type: ignore[misc]
             size=(number_of_sims, trading_days),
         )
 
-        return cls(
+        return _create_base_simulation(
+            cls=cls,
+            returns=DataFrame(data=returns, dtype="float64"),
             number_of_sims=number_of_sims,
             trading_days=trading_days,
             trading_days_in_year=trading_days_in_year,
             mean_annual_return=mean_annual_return,
             mean_annual_vol=mean_annual_vol,
-            dframe=DataFrame(data=returns, dtype="float64"),
             seed=seed,
         )
 
@@ -255,13 +322,14 @@ class ReturnSimulation(BaseModel):  # type: ignore[misc]
             - 1
         )
 
-        return cls(
+        return _create_base_simulation(
+            cls=cls,
+            returns=DataFrame(data=returns, dtype="float64"),
             number_of_sims=number_of_sims,
             trading_days=trading_days,
             trading_days_in_year=trading_days_in_year,
             mean_annual_return=mean_annual_return,
             mean_annual_vol=mean_annual_vol,
-            dframe=DataFrame(data=returns, dtype="float64"),
             seed=seed,
         )
 
@@ -317,13 +385,14 @@ class ReturnSimulation(BaseModel):  # type: ignore[misc]
 
         returns = drift + wiener
 
-        return cls(
+        return _create_base_simulation(
+            cls=cls,
+            returns=DataFrame(data=returns, dtype="float64"),
             number_of_sims=number_of_sims,
             trading_days=trading_days,
             trading_days_in_year=trading_days_in_year,
             mean_annual_return=mean_annual_return,
             mean_annual_vol=mean_annual_vol,
-            dframe=DataFrame(data=returns, dtype="float64"),
             seed=seed,
         )
 
@@ -404,17 +473,18 @@ class ReturnSimulation(BaseModel):  # type: ignore[misc]
 
         returns[:, 0] = 0.0
 
-        return cls(
+        return _create_base_simulation(
+            cls=cls,
+            returns=DataFrame(data=returns, dtype="float64"),
             number_of_sims=number_of_sims,
             trading_days=trading_days,
             trading_days_in_year=trading_days_in_year,
             mean_annual_return=mean_annual_return,
             mean_annual_vol=mean_annual_vol,
+            seed=seed,
             jumps_lamda=jumps_lamda,
             jumps_sigma=jumps_sigma,
             jumps_mu=jumps_mu,
-            dframe=DataFrame(data=returns, dtype="float64"),
-            seed=seed,
         )
 
     def to_dataframe(
@@ -465,15 +535,17 @@ class ReturnSimulation(BaseModel):  # type: ignore[misc]
             )
             return sdf
 
-        fdf = DataFrame()
-        for item in range(self.number_of_sims):
-            sdf = self.dframe.iloc[item].T.to_frame()
-            sdf.index = Index(d_range)
-            sdf.columns = MultiIndex.from_arrays(
-                [
-                    [f"{name}_{item}"],
-                    [ValueType.RTRN],
-                ],
+        df_list = [
+            DataFrame(
+                data=self.dframe.iloc[item].values,
+                index=Index(d_range),
+                columns=MultiIndex.from_arrays(
+                    [
+                        [f"{name}_{item}"],
+                        [ValueType.RTRN],
+                    ],
+                ),
             )
-            fdf = concat([fdf, sdf], axis="columns", sort=True)
-        return fdf
+            for item in range(self.number_of_sims)
+        ]
+        return concat(df_list, axis="columns", sort=True)

{openseries-1.9.5.dist-info → openseries-1.9.7.dist-info}/METADATA

@@ -1,6 +1,6 @@
-Metadata-Version: 2.3
+Metadata-Version: 2.4
 Name: openseries
-Version: 1.9.5
+Version: 1.9.7
 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
@@ -117,9 +118,9 @@ _,_=series.plot_series()
 
 ```
 
-### Sample output using the report_html() function:
+### 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
 
@@ -151,10 +152,7 @@ source source_me
 
 ## Testing and Linting / Type-checking
 
-Ruff and Mypy checking is embedded in the pre-commit hook. Both
-are also used in the project's GitHub workflows and are run when the `lint`
-alternative is chosen in the below commands.
-Any silenced error codes can be found in the
+[Ruff](https://docs.astral.sh/ruff/) and [mypy](https://mypy-lang.org/) checking is embedded in the pre-commit hook. Both are also used in the project's GitHub workflows and are run when the `lint` alternative is chosen in the below commands. Any silenced error codes can be found in the
 [pyproject.toml](https://github.com/CaptorAB/openseries/blob/master/pyproject.toml)
 file or in in-line comments.
 
@@ -200,7 +198,7 @@ make lint
 | [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. |
 | [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                                                                                       |
 
-### Class methods used to construct objects.
+### Class methods used to construct objects
 
 | Method            | Applies to                    | Description                                                                                        |
 |:------------------|:------------------------------|:---------------------------------------------------------------------------------------------------|
@@ -209,7 +207,7 @@ make lint
 | `from_fixed_rate` | `OpenTimeSeries`              | Class method to create an OpenTimeSeries object from a fixed rate, number of days and an end date. |
 | `from_deepcopy`   | `OpenTimeSeries`, `OpenFrame` | Creates a copy of an OpenTimeSeries object.                                                        |
 
-### Non-numerical or "helper" properties that apply only to the [OpenTimeSeries](https://github.com/CaptorAB/openseries/blob/master/openseries/series.py) class.
+### Non-numerical or "helper" properties that apply only to the [OpenTimeSeries](https://github.com/CaptorAB/openseries/blob/master/openseries/series.py) class
 
 | Property        | type                 | Applies to       | Description                                                                                                                                                       |
 |:----------------|:---------------------|:-----------------|:------------------------------------------------------------------------------------------------------------------------------------------------------------------|
@@ -227,7 +225,7 @@ make lint
 | `markets`       | `list[str]` or `str` | `OpenTimeSeries` | (List of) markets code(s) according to market code(s) input for the [pandas-market-calendars](https://pandas-market-calendars.readthedocs.io/en/latest/) package. |
 | `valuetype`     | `ValueType`          | `OpenTimeSeries` | Field identifies the type of values in the series. ValueType is an Enum.                                                                                          |
 
-### Non-numerical or "helper" properties that apply only to the [OpenFrame](https://github.com/CaptorAB/openseries/blob/master/openseries/frame.py) class.
+### Non-numerical or "helper" properties that apply only to the [OpenFrame](https://github.com/CaptorAB/openseries/blob/master/openseries/frame.py) class
 
 | Property           | type                             | Applies to  | Description                                                              |
 |:-------------------|:---------------------------------|:------------|:-------------------------------------------------------------------------|
@@ -241,7 +239,7 @@ make lint
 | `lengths_of_items` | `pandas.Series[int]`             | `OpenFrame` | Number of items in each of the series in the OpenFrame.                  |
 | `span_of_days_all` | `pandas.Series[int]`             | `OpenFrame` | Number of days from the first to the last in each of the series.         |
 
-### Non-numerical or "helper" properties that apply to both the [OpenTimeSeries](https://github.com/CaptorAB/openseries/blob/master/openseries/series.py) and the [OpenFrame](https://github.com/CaptorAB/openseries/blob/master/openseries/frame.py) class.
+### Non-numerical or "helper" properties that apply to both the [OpenTimeSeries](https://github.com/CaptorAB/openseries/blob/master/openseries/series.py) and the [OpenFrame](https://github.com/CaptorAB/openseries/blob/master/openseries/frame.py) class
 
 | Property            | type                             | Applies to                    | Description                                                                       |
 |:--------------------|:---------------------------------|:------------------------------|:----------------------------------------------------------------------------------|
@@ -254,7 +252,7 @@ make lint
 | `periods_in_a_year` | `float`                          | `OpenTimeSeries`, `OpenFrame` | The number of observations in an average year for all days in the data.           |
 | `yearfrac`          | `float`                          | `OpenTimeSeries`, `OpenFrame` | Length of timeseries expressed as np.float64 fraction of a year with 365.25 days. |
 
-### Methods that apply only to the [OpenTimeSeries](https://github.com/CaptorAB/openseries/blob/master/openseries/series.py) class.
+### Methods that apply only to the [OpenTimeSeries](https://github.com/CaptorAB/openseries/blob/master/openseries/series.py) class
 
 | Method                   | Applies to       | Description                                                                                                                                    |
 |:-------------------------|:-----------------|:-----------------------------------------------------------------------------------------------------------------------------------------------|
@@ -262,10 +260,9 @@ make lint
 | `set_new_label`          | `OpenTimeSeries` | Method to change the pandas.DataFrame column MultiIndex.                                                                                       |
 | `running_adjustment`     | `OpenTimeSeries` | Adjusts the series performance with a `float` factor.                                                                                          |
 | `ewma_vol_func`          | `OpenTimeSeries` | Returns a `pandas.Series` with volatility based on [Exponentially Weighted Moving Average](https://www.investopedia.com/articles/07/ewma.asp). |
-| `from_1d_rate_to_cumret` | `OpenTimeSeries` | Converts a series of 1-day rates into a cumulative valueseries.                                                                                |
-|
+| `from_1d_rate_to_cumret` | `OpenTimeSeries` | Converts a series of 1-day rates into a cumulative valueseries. |
 
-### Methods that apply only to the [OpenFrame](https://github.com/CaptorAB/openseries/blob/master/openseries/frame.py) class.
+### Methods that apply only to the [OpenFrame](https://github.com/CaptorAB/openseries/blob/master/openseries/frame.py) class
 
 | Method                           | Applies to  | Description                                                                                                                                                                                                               |
 |:---------------------------------|:------------|:--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
@@ -274,7 +271,7 @@ make lint
 | `add_timeseries`                 | `OpenFrame` | Adds a given OpenTimeSeries to the OpenFrame.                                                                                                                                                                             |
 | `delete_timeseries`              | `OpenFrame` | Deletes an OpenTimeSeries from the OpenFrame.                                                                                                                                                                             |
 | `relative`                       | `OpenFrame` | Calculates a new series that is the relative performance of two others.                                                                                                                                                   |
-| `make_portfolio`                 | `OpenFrame` | Calculates a portfolio timeseries based on the series and weights. Weights can be provided as a list, or a weight strategy can be set as *equal weights* or *inverted volatility*.                                        |
+| `make_portfolio`                 | `OpenFrame` | Calculates a portfolio timeseries based on the series and weights. Weights an be provided as a list, or a weight strategy can be set as _equal weights_ or _inverted volatility_. |
 | `ord_least_squares_fit`          | `OpenFrame` | Performs a regression and an [Ordinary Least Squares](https://www.statsmodels.org/stable/examples/notebooks/generated/ols.html) fit.                                                                                      |
 | `beta`                           | `OpenFrame` | Calculates [Beta](https://www.investopedia.com/terms/b/beta.asp) of an asset relative a market.                                                                                                                           |
 | `jensen_alpha`                   | `OpenFrame` | Calculates [Jensen's Alpha](https://www.investopedia.com/terms/j/jensensmeasure.asp) of an asset relative a market.                                                                                                       |
@@ -288,7 +285,7 @@ make lint
 | `ewma_risk`                      | `OpenFrame` | Returns a `pandas.DataFrame` with volatility and correlation based on [Exponentially Weighted Moving Average](https://www.investopedia.com/articles/07/ewma.asp).                                                         |
 | `multi_factor_linear_regression` | `OpenFrame` | Treats one specified series as the dependent variable (y) and uses all remaining series as independent variables (X) in a linear regression and returns a DataFrame with summary output and a series of predicted values. |
 
-### Methods that apply to both the [OpenTimeSeries](https://github.com/CaptorAB/openseries/blob/master/openseries/series.py) and the [OpenFrame](https://github.com/CaptorAB/openseries/blob/master/openseries/frame.py) class.
+### Methods that apply to both the [OpenTimeSeries](https://github.com/CaptorAB/openseries/blob/master/openseries/series.py) and the [OpenFrame](https://github.com/CaptorAB/openseries/blob/master/openseries/frame.py) class
 
 | Method                             | Applies to                    | Description                                                                                                                                              |
 |:-----------------------------------|:------------------------------|:---------------------------------------------------------------------------------------------------------------------------------------------------------|
@@ -314,7 +311,7 @@ make lint
 | `rolling_cvar_down`                | `OpenTimeSeries`, `OpenFrame` | Returns a pandas.DataFrame with rolling CVaR figures.                                                                                                    |
 | `calc_range`                       | `OpenTimeSeries`, `OpenFrame` | Returns the start and end dates of a range from specific period definitions. Used by the below numerical methods and not meant to be used independently. |
 
-### Numerical properties available for individual [OpenTimeSeries](https://github.com/CaptorAB/openseries/blob/master/openseries/series.py) or on all series in an [OpenFrame](https://github.com/CaptorAB/openseries/blob/master/openseries/frame.py).
+### Numerical properties available for individual [OpenTimeSeries](https://github.com/CaptorAB/openseries/blob/master/openseries/series.py) or on all series in an [OpenFrame](https://github.com/CaptorAB/openseries/blob/master/openseries/frame.py)
 
 | Property                | type                     | Applies to                    | Description                                                                                                                                                                                                                                                                                |
 |:------------------------|:-------------------------|:------------------------------|:-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
@@ -340,7 +337,7 @@ make lint
 | `kurtosis`              | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Kurtosis](https://www.investopedia.com/terms/k/kurtosis.asp) of the return distribution.                                                                                                                                                                                                  |
 | `z_score`               | `float`, `pandas.Series` | `OpenTimeSeries`, `OpenFrame` | [Z-score](https://www.investopedia.com/terms/z/zscore.asp) as (last return - mean return) / standard deviation of returns.                                                                                                                                                                 |
 
-### Methods below are identical to the Numerical Properties above.
+### Methods below are identical to the Numerical Properties above
 
 _They are simply methods that take different date or length inputs to return the
 properties for subset periods._

openseries-1.9.7.dist-info/RECORD

@@ -0,0 +1,18 @@
+openseries/__init__.py,sha256=WAh79oE-ceGG_yl4nBukkp3UPvmLk4u_GySL2xOKbxE,1375
+openseries/_common_model.py,sha256=BTWXpXkKrvihVdHF4HsnIwd1tH_YgAnoxMz940qoy-8,89569
+openseries/_risk.py,sha256=8XKZWWXrECo0Vd9r2kbcn4dzyPuo93DAEO8eSkv4w20,2357
+openseries/datefixer.py,sha256=eVhxaFj_la_XZQuPQHvinTWEzCCn8ct_AnZEYPOpY6U,15775
+openseries/frame.py,sha256=PGtcxCTmkKO42IYhovxZoCccTF97Ls_4Ru7ovIUETOU,56529
+openseries/load_plotly.py,sha256=C6iQyabfi5ubSONuis3yRHb3bUktBtTDlovsDIaeHNQ,2266
+openseries/owntypes.py,sha256=3n3IgqRjIvUfYD-37Bedilgx0UDGA-RPU0IC7wujMWg,9681
+openseries/plotly_captor_logo.json,sha256=F5nhMzEyxKywtjvQqMTKgKRCJQYMDIiBgDSxdte8Clo,178
+openseries/plotly_layouts.json,sha256=MvDEQuiqIhMBXBelXb1sedTOlTPheizv6NZRLeE9YS4,1431
+openseries/portfoliotools.py,sha256=zXnKiPoKQ691Qq_o7cg_fBRIPaj55r52OEanjBw8jOA,19339
+openseries/py.typed,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
+openseries/report.py,sha256=FKnOMrTc9Ofe_I_eBdBnmIaWluAYvGPCZ16VjbzwF10,14375
+openseries/series.py,sha256=dQh7dAosFxJqiUdj8Cf7A19vv-w4hTAkU4_O_WnvxA4,28617
+openseries/simulation.py,sha256=LRg7hx5iWuoosESgKzaEnj5XkEv5bTNjRAj3SDMo4kM,16321
+openseries-1.9.7.dist-info/METADATA,sha256=rR7bJ3SWtXHL82WBxvW3FUrCkNIsGF31XX3n8kpiYYI,48251
+openseries-1.9.7.dist-info/WHEEL,sha256=zp0Cn7JsFoX2ATtOhtaFYIiE2rmFAD4OcMhtUki8W3U,88
+openseries-1.9.7.dist-info/licenses/LICENSE.md,sha256=wNupG-KLsG0aTncb_SMNDh1ExtrKXlpxSJ6RC-g-SWs,1516
+openseries-1.9.7.dist-info/RECORD,,

{openseries-1.9.5.dist-info → openseries-1.9.7.dist-info}/WHEEL

@@ -1,4 +1,4 @@
 Wheel-Version: 1.0
-Generator: poetry-core 2.1.3
+Generator: poetry-core 2.2.1
 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,,