openseries 1.9.6__py3-none-any.whl → 2.0.0__py3-none-any.whl

openseries/_risk.py

@@ -1,11 +1,4 @@
-"""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
-"""
+"""Functions caclculating risk measures."""
 
 from __future__ import annotations
 
@@ -40,7 +33,7 @@ def _cvar_down_calc(
         The sought CVaR level
 
     Returns:
-    -------
+    --------
     float
         Downside Conditional Value At Risk "CVaR"
 
@@ -74,7 +67,7 @@ def _var_down_calc(
         type of interpolation in Pandas.DataFrame.quantile() function.
 
     Returns:
-    -------
+    --------
     float
         Downside Value At Risk
 

openseries/datefixer.py

@@ -1,11 +1,4 @@
-"""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
-"""
+"""Date related utilities."""
 
 from __future__ import annotations
 
@@ -70,7 +63,7 @@ def market_holidays(
         String or list of market codes supported by pandas_market_calendars.
 
     Returns:
-    -------
+    --------
     list[str]
         list of holiday dates.
     """
@@ -122,7 +115,7 @@ def holiday_calendar(
         Argument where missing holidays can be added
 
     Returns:
-    -------
+    --------
     numpy.busdaycalendar
         Generate a business calendar
 
@@ -183,7 +176,7 @@ def date_fix(
         The data item to parse
 
     Returns:
-    -------
+    --------
     datetime.date
         Parsed date
 
@@ -232,7 +225,7 @@ def date_offset_foll(
         Determines if days should be offset forward (following) or backward
 
     Returns:
-    -------
+    --------
     datetime.date
         Off-set date
 
@@ -280,7 +273,7 @@ def get_previous_business_day_before_today(
         Argument where missing holidays can be added
 
     Returns:
-    -------
+    --------
     datetime.date
         The previous business day
 
@@ -326,7 +319,7 @@ def offset_business_days(
         Argument where missing holidays can be added
 
     Returns:
-    -------
+    --------
     datetime.date
         The new offset business day
 
@@ -410,7 +403,7 @@ def generate_calendar_date_range(
         Argument where missing holidays can be added
 
     Returns:
-    -------
+    --------
     list[dt.date]
         List of business day calendar dates
 
@@ -491,7 +484,7 @@ def _do_resample_to_business_period_ends(
         Argument where missing holidays can be added
 
     Returns:
-    -------
+    --------
     Pandas.DatetimeIndex
         A date range aligned to business period ends
 

openseries/frame.py

@@ -1,11 +1,4 @@
-"""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
-"""
+"""The OpenFrame class."""
 
 from __future__ import annotations
 
@@ -16,11 +9,16 @@ from typing import TYPE_CHECKING, Any, cast
 
 from numpy import (
     array,
+    asarray,
     concatenate,
+    corrcoef,
     cov,
     diff,
     divide,
+    float64,
     isinf,
+    isnan,
+    linalg,
     log,
     nan,
     sqrt,
@@ -39,6 +37,7 @@ from pandas import (
 if TYPE_CHECKING:  # pragma: no cover
     import datetime as dt
 
+    from numpy.typing import NDArray
     from pandas import Series as _Series
     from pandas import Timestamp
 
@@ -49,7 +48,7 @@ else:
 from pydantic import field_validator
 from sklearn.linear_model import LinearRegression  # type: ignore[import-untyped]
 
-from ._common_model import _CommonModel
+from ._common_model import _calculate_time_factor, _CommonModel, _get_base_column_data
 from .datefixer import _do_resample_to_business_period_ends
 from .owntypes import (
     DaysInYearType,
@@ -77,7 +76,6 @@ logger = getLogger(__name__)
 __all__ = ["OpenFrame"]
 
 
-# noinspection PyUnresolvedReferences,PyTypeChecker
 class OpenFrame(_CommonModel[SeriesFloat]):
     """OpenFrame objects hold OpenTimeSeries in the list constituents.
 
@@ -91,7 +89,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
         List of weights in float format.
 
     Returns:
-    -------
+    --------
     OpenFrame
         Object of the class OpenFrame
 
@@ -101,7 +99,6 @@ class OpenFrame(_CommonModel[SeriesFloat]):
     tsdf: DataFrame = DataFrame(dtype="float64")
     weights: list[float] | None = None
 
-    # noinspection PyMethodParameters
     @field_validator("constituents")
     def _check_labels_unique(
         cls: type[OpenFrame],  # noqa: N805
@@ -131,7 +128,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             List of weights in float format.
 
         Returns:
-        -------
+        --------
         OpenFrame
             Object of the class OpenFrame
 
@@ -150,10 +147,12 @@ class OpenFrame(_CommonModel[SeriesFloat]):
     def _set_tsdf(self: Self) -> None:
         """Set the tsdf DataFrame."""
         if self.constituents is not None and len(self.constituents) != 0:
-            self.tsdf = reduce(
-                lambda left, right: concat([left, right], axis="columns", sort=True),
-                [x.tsdf for x in self.constituents],
-            )
+            if len(self.constituents) == 1:
+                self.tsdf = self.constituents[0].tsdf.copy()
+            else:
+                self.tsdf = concat(
+                    [x.tsdf for x in self.constituents], axis="columns", sort=True
+                )
         else:
             logger.warning("OpenFrame() was passed an empty list.")
 
@@ -161,7 +160,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
         """Create copy of the OpenFrame object.
 
         Returns:
-        -------
+        --------
         OpenFrame
             An OpenFrame object
 
@@ -180,7 +179,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             The Pandas merge method.
 
         Returns:
-        -------
+        --------
         OpenFrame
             An OpenFrame object
 
@@ -224,7 +223,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             The properties to calculate. Defaults to calculating all available.
 
         Returns:
-        -------
+        --------
         pandas.DataFrame
             Properties of the contituent OpenTimeSeries
 
@@ -243,7 +242,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
         """Number of observations of all constituents.
 
         Returns:
-        -------
+        --------
         Pandas.Series[int]
             Number of observations of all constituents
 
@@ -259,7 +258,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
         """Number of constituents.
 
         Returns:
-        -------
+        --------
         int
             Number of constituents
 
@@ -271,7 +270,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
         """Level 0 values of the MultiIndex columns in the .tsdf DataFrame.
 
         Returns:
-        -------
+        --------
         list[str]
             Level 0 values of the MultiIndex columns in the .tsdf DataFrame
 
@@ -283,7 +282,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
         """Level 1 values of the MultiIndex columns in the .tsdf DataFrame.
 
         Returns:
-        -------
+        --------
         list[ValueType]
             Level 1 values of the MultiIndex columns in the .tsdf DataFrame
 
@@ -295,7 +294,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
         """The first dates in the timeseries of all constituents.
 
         Returns:
-        -------
+        --------
         Pandas.Series[dt.date]
             The first dates in the timeseries of all constituents
 
@@ -312,7 +311,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
         """The last dates in the timeseries of all constituents.
 
         Returns:
-        -------
+        --------
         Pandas.Series[dt.date]
             The last dates in the timeseries of all constituents
 
@@ -329,7 +328,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
         """Number of days from the first date to the last for all items in the frame.
 
         Returns:
-        -------
+        --------
         Pandas.Series[int]
             Number of days from the first date to the last for all
             items in the frame.
@@ -345,7 +344,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
         """Convert series of values into series of returns.
 
         Returns:
-        -------
+        --------
         OpenFrame
             The returns of the values in the series
 
@@ -371,7 +370,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             is calculated
 
         Returns:
-        -------
+        --------
         OpenFrame
             An OpenFrame object
 
@@ -390,7 +389,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
         """Convert series of returns into cumulative series of values.
 
         Returns:
-        -------
+        --------
         OpenFrame
             An OpenFrame object
 
@@ -429,7 +428,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             The date offset string that sets the resampled frequency
 
         Returns:
-        -------
+        --------
         OpenFrame
             An OpenFrame object
 
@@ -478,7 +477,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             Controls the method used to align values across columns
 
         Returns:
-        -------
+        --------
         OpenFrame
             An OpenFrame object
 
@@ -559,7 +558,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             comparisons
 
         Returns:
-        -------
+        --------
         Pandas.DataFrame
             Series volatilities and correlation
 
@@ -610,13 +609,12 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             .std(ddof=dlta_degr_freedms)
             * sqrt(time_factor),
         ]
-        raw_cov = [
-            cov(
-                m=data[(cols[0], ValueType.RTRN)].iloc[1:day_chunk].to_numpy(),
-                y=data[(cols[1], ValueType.RTRN)].iloc[1:day_chunk].to_numpy(),
-                ddof=dlta_degr_freedms,
-            )[0][1],
-        ]
+        rm = data[(cols[0], ValueType.RTRN)].iloc[1:day_chunk]
+        m: NDArray[float64] = asarray(rm, dtype=float64)
+        ry = data[(cols[1], ValueType.RTRN)].iloc[1:day_chunk]
+        y: NDArray[float64] = asarray(ry, dtype=float64)
+
+        raw_cov = [cov(m=m, y=y, ddof=dlta_degr_freedms)[0][1]]
 
         r1 = data[(cols[0], ValueType.RTRN)]
         r2 = data[(cols[1], ValueType.RTRN)]
@@ -656,10 +654,13 @@ class OpenFrame(_CommonModel[SeriesFloat]):
     def correl_matrix(self: Self) -> DataFrame:
         """Correlation matrix.
 
+        This property returns the correlation matrix of the time series
+        in the frame.
+
         Returns:
-        -------
-        Pandas.DataFrame
-            Correlation matrix
+        --------
+        pandas.DataFrame
+            Correlation matrix of the time series in the frame.
 
         """
         corr_matrix = (
@@ -687,7 +688,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             The timeseries to add
 
         Returns:
-        -------
+        --------
         OpenFrame
             An OpenFrame object
 
@@ -705,7 +706,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             The .tsdf column level 0 value of the timeseries to delete
 
         Returns:
-        -------
+        --------
         OpenFrame
             An OpenFrame object
 
@@ -744,7 +745,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             or end_cut is None.
 
         Returns:
-        -------
+        --------
         OpenFrame
             An OpenFrame object
 
@@ -845,7 +846,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             comparisons
 
         Returns:
-        -------
+        --------
         Pandas.Series[float]
             Tracking Errors
 
@@ -855,36 +856,20 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             from_dt=from_date,
             to_dt=to_date,
         )
-        fraction: float = (later - earlier).days / 365.25
 
-        msg = "base_column should be a tuple[str, ValueType] or an integer."
-        if isinstance(base_column, tuple):
-            shortdf = self.tsdf.loc[
-                cast("Timestamp", earlier) : cast("Timestamp", later)
-            ][base_column]
-            short_item = base_column
-            short_label = cast(
-                "tuple[str, ValueType]",
-                self.tsdf[base_column].name,
-            )[0]
-        elif isinstance(base_column, int):
-            shortdf = self.tsdf.loc[
-                cast("Timestamp", earlier) : cast("Timestamp", later)
-            ].iloc[:, base_column]
-            short_item = cast(
-                "tuple[str, ValueType]",
-                self.tsdf.iloc[:, base_column].name,
-            )
-            short_label = cast("tuple[str, str]", self.tsdf.iloc[:, base_column].name)[
-                0
-            ]
-        else:
-            raise TypeError(msg)
+        shortdf, short_item, short_label = _get_base_column_data(
+            self=self,
+            base_column=base_column,
+            earlier=earlier,
+            later=later,
+        )
 
-        if periods_in_a_year_fixed:
-            time_factor = float(periods_in_a_year_fixed)
-        else:
-            time_factor = shortdf.count() / fraction
+        time_factor = _calculate_time_factor(
+            data=shortdf,
+            earlier=earlier,
+            later=later,
+            periods_in_a_year_fixed=periods_in_a_year_fixed,
+        )
 
         terrors = []
         for item in self.tsdf:
@@ -936,7 +921,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             comparisons
 
         Returns:
-        -------
+        --------
         Pandas.Series[float]
             Information Ratios
 
@@ -946,39 +931,20 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             from_dt=from_date,
             to_dt=to_date,
         )
-        fraction: float = (later - earlier).days / 365.25
 
-        msg = "base_column should be a tuple[str, ValueType] or an integer."
-        if isinstance(base_column, tuple):
-            shortdf = self.tsdf.loc[
-                cast("Timestamp", earlier) : cast("Timestamp", later)
-            ][base_column]
-            short_item = base_column
-            short_label = cast(
-                "tuple[str, str]",
-                self.tsdf[base_column].name,
-            )[0]
-        elif isinstance(base_column, int):
-            shortdf = self.tsdf.loc[
-                cast("Timestamp", earlier) : cast("Timestamp", later)
-            ].iloc[:, base_column]
-            short_item = cast(
-                "tuple[str, ValueType]",
-                self.tsdf.iloc[
-                    :,
-                    base_column,
-                ].name,
-            )
-            short_label = cast("tuple[str, str]", self.tsdf.iloc[:, base_column].name)[
-                0
-            ]
-        else:
-            raise TypeError(msg)
+        shortdf, short_item, short_label = _get_base_column_data(
+            self=self,
+            base_column=base_column,
+            earlier=earlier,
+            later=later,
+        )
 
-        if periods_in_a_year_fixed:
-            time_factor = float(periods_in_a_year_fixed)
-        else:
-            time_factor = shortdf.count() / fraction
+        time_factor = _calculate_time_factor(
+            data=shortdf,
+            earlier=earlier,
+            later=later,
+            periods_in_a_year_fixed=periods_in_a_year_fixed,
+        )
 
         ratios = []
         for item in self.tsdf:
@@ -1038,7 +1004,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             comparisons
 
         Returns:
-        -------
+        --------
         Pandas.Series[float]
             Capture Ratios
 
@@ -1224,7 +1190,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             Variance bias factor taking the value 0 or 1.
 
         Returns:
-        -------
+        --------
         float
             Beta as Co-variance of x & y divided by Variance of x
 
@@ -1293,7 +1259,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             If True the fit is added as a new column in the .tsdf Pandas.DataFrame
 
         Returns:
-        -------
+        --------
         dict[str, float]
             A dictionary with the coefficient, intercept and rsquared outputs.
 
@@ -1362,7 +1328,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             Variance bias factor taking the value 0 or 1.
 
         Returns:
-        -------
+        --------
         float
             Jensen's alpha
 
@@ -1434,7 +1400,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             weight calculation strategies
 
         Returns:
-        -------
+        --------
         Pandas.DataFrame
             A basket timeseries
 
@@ -1451,7 +1417,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             returns = self.tsdf.ffill().pct_change()
             returns.iloc[0] = 0
         elif all(vtypes):
-            returns = self.tsdf.copy()
+            returns = self.tsdf
         else:
             msg = "Mix of series types will give inconsistent results"
             raise MixedValuetypesError(msg)
@@ -1464,6 +1430,23 @@ class OpenFrame(_CommonModel[SeriesFloat]):
                 vol = divide(1.0, std(returns, axis=0, ddof=1))
                 vol[isinf(vol)] = nan
                 self.weights = list(divide(vol, vol.sum()))
+            elif weight_strat == "max_div":
+                corr_matrix = corrcoef(returns.T)
+                corr_matrix[isinf(corr_matrix)] = nan
+                corr_matrix[isnan(corr_matrix)] = nan
+                try:
+                    inv_corr_sum = linalg.inv(corr_matrix).sum(axis=1)
+                    self.weights = list(divide(inv_corr_sum, inv_corr_sum.sum()))
+                except linalg.LinAlgError:
+                    self.weights = [1.0 / self.item_count] * self.item_count
+            elif weight_strat == "target_risk":
+                vols = std(returns, axis=0, ddof=1)
+                min_vol_idx = vols.argmin()
+                min_vol_weight = 0.6
+                remaining_weight = 0.4
+                weights = [remaining_weight / (self.item_count - 1)] * self.item_count
+                weights[min_vol_idx] = min_vol_weight
+                self.weights = weights
             else:
                 raise NotImplementedError(msg)
 
@@ -1499,7 +1482,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             Allows locking the periods-in-a-year to simplify test cases and comparisons
 
         Returns:
-        -------
+        --------
         Pandas.DataFrame
             Rolling Information Ratios
 
@@ -1565,7 +1548,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             Variance bias factor taking the value 0 or 1.
 
         Returns:
-        -------
+        --------
         Pandas.DataFrame
             Rolling Betas
 
@@ -1625,7 +1608,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             The length of the rolling window to use is set as number of observations
 
         Returns:
-        -------
+        --------
         Pandas.DataFrame
             Rolling Correlations
 
@@ -1670,7 +1653,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             to use as the dependent variable
 
         Returns:
-        -------
+        --------
         tuple[pandas.DataFrame, OpenTimeSeries]
             - A DataFrame with the R-squared, the intercept
               and the regression coefficients

openseries/load_plotly.py

@@ -1,11 +1,4 @@
-"""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
-"""
+"""Function to load plotly layout and configuration from local json file."""
 
 from __future__ import annotations
 
@@ -34,7 +27,7 @@ def _check_remote_file_existence(url: str) -> bool:
         Path to remote file
 
     Returns:
-    -------
+    --------
     bool
         True if url is valid and False otherwise
 
@@ -62,7 +55,7 @@ def load_plotly_dict(
         Flag whether to load as responsive
 
     Returns:
-    -------
+    --------
     tuple[PlotlyLayoutType, CaptorLogoType]
         A dictionary with the Plotly config and layout template
 

openseries/owntypes.py

@@ -1,11 +1,4 @@
-"""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
-"""
+"""Declaring types used throughout the project."""
 
 from __future__ import annotations
 
@@ -35,7 +28,7 @@ except ImportError:  # pragma: no cover
 __all__ = ["Self", "ValueType"]
 
 
-Combo_co = TypeVar("Combo_co", float, SeriesFloat, covariant=True)
+SeriesOrFloat_co = TypeVar("SeriesOrFloat_co", float, SeriesFloat, covariant=True)
 
 
 CountryStringType = Annotated[
@@ -142,7 +135,7 @@ LiteralPlotlyHistogramHistNorm = Literal[
     "density",
     "probability density",
 ]
-LiteralPortfolioWeightings = Literal["eq_weights", "inv_vol"]
+LiteralPortfolioWeightings = Literal["eq_weights", "inv_vol", "max_div", "target_risk"]
 LiteralMinimizeMethods = Literal[
     "SLSQP",
     "Nelder-Mead",