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

openseries/portfoliotools.py

@@ -1,11 +1,4 @@
-"""Defining the portfolio tools for the OpenFrame class.
-
-Copyright (c) Captor Fund Management AB. This file is part of the openseries project.
-
-Licensed under the BSD 3-Clause License. You may obtain a copy of the License at:
-https://github.com/CaptorAB/openseries/blob/master/LICENSE.md
-SPDX-License-Identifier: BSD-3-Clause
-"""
+"""Defining the portfolio tools for the OpenFrame class."""
 
 from __future__ import annotations
 
@@ -16,13 +9,13 @@ from typing import TYPE_CHECKING, cast
 from numpy import (
     append,
     array,
+    einsum,
     float64,
     inf,
     isnan,
     linspace,
     nan,
     sqrt,
-    zeros,
 )
 from numpy import (
     sum as npsum,
@@ -48,12 +41,9 @@ from .owntypes import (
     ValueType,
 )
 from .series import OpenTimeSeries
-
-# noinspection PyProtectedMember
 from .simulation import _random_generator
 
 if TYPE_CHECKING:  # pragma: no cover
-    # noinspection PyUnresolvedReferences
     from collections.abc import Callable
 
     from numpy.typing import NDArray
@@ -87,7 +77,7 @@ def simulate_portfolios(
         The seed for the random process
 
     Returns:
-    -------
+    --------
     pandas.DataFrame
         The resulting data
 
@@ -106,25 +96,16 @@ def simulate_portfolios(
 
     log_ret.columns = log_ret.columns.droplevel(level=1)
 
-    randomizer = _random_generator(seed=seed)
-
-    all_weights = zeros((num_ports, simframe.item_count))
-    ret_arr = zeros(num_ports)
-    vol_arr = zeros(num_ports)
-    sharpe_arr = zeros(num_ports)
+    cov_matrix = log_ret.cov() * simframe.periods_in_a_year
+    mean_returns = log_ret.mean() * simframe.periods_in_a_year
 
-    for x in range(num_ports):
-        weights = array(randomizer.random(simframe.item_count))
-        weights = weights / npsum(weights)
-        all_weights[x, :] = weights
-
-        vol_arr[x] = sqrt(
-            weights.T @ (log_ret.cov() * simframe.periods_in_a_year @ weights),
-        )
-
-        ret_arr[x] = npsum(log_ret.mean() * weights * simframe.periods_in_a_year)
+    randomizer = _random_generator(seed=seed)
+    all_weights = randomizer.random((num_ports, simframe.item_count))
+    all_weights = all_weights / all_weights.sum(axis=1, keepdims=True)
 
-        sharpe_arr[x] = ret_arr[x] / vol_arr[x]
+    ret_arr = all_weights @ mean_returns
+    vol_arr = sqrt(einsum("ij,jk,ik->i", all_weights, cov_matrix, all_weights))
+    sharpe_arr = ret_arr / vol_arr
 
     simdf = concat(
         [
@@ -137,7 +118,6 @@ def simulate_portfolios(
     return simdf.dropna()
 
 
-# noinspection PyUnusedLocal
 def efficient_frontier(
     eframe: OpenFrame,
     num_ports: int = 5000,
@@ -168,7 +148,7 @@ def efficient_frontier(
         cutting the frontier to exclude multiple points with almost the same risk
 
     Returns:
-    -------
+    --------
     tuple[DataFrame, DataFrame, NDArray[float]]
         The efficient frontier data, simulation data and optimal portfolio
 
@@ -230,7 +210,7 @@ def efficient_frontier(
             _get_ret_vol_sr(
                 lg_ret=log_ret,
                 weights=weights,
-                per_in_yr=eframe.periods_in_a_year,
+                per_in_yr=copi.periods_in_a_year,
             )[2]
             * -1,
         )
@@ -243,7 +223,7 @@ def efficient_frontier(
             _get_ret_vol_sr(
                 lg_ret=log_ret,
                 weights=weights,
-                per_in_yr=eframe.periods_in_a_year,
+                per_in_yr=copi.periods_in_a_year,
             )[1],
         )
 
@@ -263,7 +243,7 @@ def efficient_frontier(
     optimal = _get_ret_vol_sr(
         lg_ret=log_ret,
         weights=opt_results.x,
-        per_in_yr=eframe.periods_in_a_year,
+        per_in_yr=copi.periods_in_a_year,
     )
 
     frontier_y = linspace(start=frontier_min, stop=frontier_max, num=frontier_points)
@@ -280,7 +260,7 @@ def efficient_frontier(
                     "fun": lambda w, poss_return=possible_return: _diff_return(
                         lg_ret=log_ret,
                         weights=w,
-                        per_in_yr=eframe.periods_in_a_year,
+                        per_in_yr=copi.periods_in_a_year,
                         poss_return=poss_return,
                     ),
                 },
@@ -355,7 +335,7 @@ def constrain_optimized_portfolios(
         The method passed into the scipy.minimize function
 
     Returns:
-    -------
+    --------
     tuple[OpenFrame, OpenTimeSeries, OpenFrame, OpenTimeSeries]
         The constrained optimal portfolio data
 
@@ -375,7 +355,6 @@ def constrain_optimized_portfolios(
     )
 
     condition_least_ret = front_frame.ret > serie.arithmetic_ret
-    # noinspection PyArgumentList
     least_ret_frame = front_frame[condition_least_ret].sort_values(by="stdev")
     least_ret_port: Series[float] = least_ret_frame.iloc[0]
     least_ret_port_name = f"Minimize vol & target return of {portfolioname}"
@@ -386,7 +365,6 @@ def constrain_optimized_portfolios(
     resleast = OpenTimeSeries.from_df(lr_frame.make_portfolio(least_ret_port_name))
 
     condition_most_vol = front_frame.stdev < serie.vol
-    # noinspection PyArgumentList
     most_vol_frame = front_frame[condition_most_vol].sort_values(
         by="ret",
         ascending=False,
@@ -419,7 +397,7 @@ def prepare_plot_data(
         Data optimized with the efficient_frontier method
 
     Returns:
-    -------
+    --------
     DataFrame
         The data prepared with mean returns, volatility and weights
 
@@ -503,7 +481,7 @@ def sharpeplot(
         Determines whether to open a browser window with the plot
 
     Returns:
-    -------
+    --------
     Figure
         The scatter plot with simulated and optimized results
 

openseries/report.py

@@ -1,11 +1,4 @@
-"""Functions related to HTML reports.
-
-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 related to HTML reports."""
 
 from __future__ import annotations
 
@@ -61,7 +54,7 @@ def calendar_period_returns(
         Whether to set new appropriate labels
 
     Returns:
-    -------
+    --------
     pandas.DataFrame
         The resulting data
 
@@ -122,7 +115,7 @@ def report_html(
         Determines whether to vertically align the legend's labels
 
     Returns:
-    -------
+    --------
     tuple[plotly.go.Figure, str]
         Plotly Figure and a div section or a html filename with location
 
@@ -264,7 +257,6 @@ def report_html(
         "{:.2f}",
     ]
 
-    # noinspection PyTypeChecker
     rpt_df = copied.all_properties(
         properties=cast("list[LiteralFrameProps]", properties),
     )
@@ -353,7 +345,9 @@ def report_html(
 
     for item, f in zip(rpt_df.index, formats, strict=False):
         rpt_df.loc[item] = rpt_df.loc[item].apply(
-            lambda x, fmt=f: x if (isinstance(x, str) or x is None) else fmt.format(x),
+            lambda x, fmt=f: str(x)
+            if (isinstance(x, str) or x is None)
+            else fmt.format(x),
         )
 
     rpt_df.index = Index(labels_init)

openseries/series.py

@@ -1,11 +1,4 @@
-"""Defining the OpenTimeSeries 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 OpenTimeSeries class."""
 
 from __future__ import annotations
 
@@ -15,7 +8,6 @@ from typing import TYPE_CHECKING, Any, TypeVar, cast
 
 if TYPE_CHECKING:  # pragma: no cover
     import datetime as dt
-    from collections.abc import Callable
 
     from numpy.typing import NDArray
     from pandas import Timestamp
@@ -41,7 +33,7 @@ from pandas import (
 )
 from pydantic import field_validator, model_validator
 
-from ._common_model import _CommonModel
+from ._common_model import _calculate_time_factor, _CommonModel
 from .datefixer import _do_resample_to_business_period_ends, date_fix
 from .owntypes import (
     Countries,
@@ -63,9 +55,6 @@ from .owntypes import (
     ValueType,
 )
 
-FieldValidator = cast("Callable[..., Callable[..., Any]]", field_validator)
-ModelValidator = cast("Callable[..., Callable[..., Any]]", model_validator)
-
 logger = getLogger(__name__)
 
 __all__ = ["OpenTimeSeries", "timeseries_chain"]
@@ -73,7 +62,6 @@ __all__ = ["OpenTimeSeries", "timeseries_chain"]
 TypeOpenTimeSeries = TypeVar("TypeOpenTimeSeries", bound="OpenTimeSeries")
 
 
-# noinspection PyUnresolvedReferences,PyNestedDecorators
 class OpenTimeSeries(_CommonModel[float]):
     """OpenTimeSeries objects are at the core of the openseries package.
 
@@ -130,21 +118,21 @@ class OpenTimeSeries(_CommonModel[float]):
     isin: str | None = None
     label: str | None = None
 
-    @FieldValidator("domestic", mode="before")
+    @field_validator("domestic", mode="before")
     @classmethod
     def _validate_domestic(cls, value: CurrencyStringType) -> CurrencyStringType:
         """Pydantic validator to ensure domestic field is validated."""
         _ = Currency(ccy=value)
         return value
 
-    @FieldValidator("countries", mode="before")
+    @field_validator("countries", mode="before")
     @classmethod
     def _validate_countries(cls, value: CountriesType) -> CountriesType:
         """Pydantic validator to ensure countries field is validated."""
         _ = Countries(countryinput=value)
         return value
 
-    @FieldValidator("markets", mode="before")
+    @field_validator("markets", mode="before")
     @classmethod
     def _validate_markets(
         cls,
@@ -164,7 +152,7 @@ class OpenTimeSeries(_CommonModel[float]):
             raise MarketsNotStringNorListStrError(item_msg)
         raise MarketsNotStringNorListStrError(msg)
 
-    @ModelValidator(mode="after")
+    @model_validator(mode="after")
     def _dates_and_values_validate(self: Self) -> Self:
         """Pydantic validator to ensure dates and values are validated."""
         values_list_length = len(self.values)
@@ -220,7 +208,7 @@ class OpenTimeSeries(_CommonModel[float]):
             Boolean flag indicating if timeseries is in local currency
 
         Returns:
-        -------
+        --------
         OpenTimeSeries
             An OpenTimeSeries object
 
@@ -270,7 +258,7 @@ class OpenTimeSeries(_CommonModel[float]):
             Boolean flag indicating if timeseries is in local currency
 
         Returns:
-        -------
+        --------
         OpenTimeSeries
             An OpenTimeSeries object
 
@@ -282,7 +270,7 @@ class OpenTimeSeries(_CommonModel[float]):
                 label, _ = dframe.name
             else:
                 label = dframe.name
-            values = cast("list[float]", dframe.to_numpy().tolist())
+            values = dframe.to_numpy().tolist()
         elif isinstance(dframe, DataFrame):
             values = dframe.iloc[:, column_nmbr].to_list()
             if isinstance(dframe.columns, MultiIndex):
@@ -301,12 +289,11 @@ class OpenTimeSeries(_CommonModel[float]):
                     msg = f"valuetype missing. Adding: {valuetype.value}"
                     logger.warning(msg=msg)
                 else:
-                    valuetype = cast(
-                        "ValueType",
-                        dframe.columns.get_level_values(1).to_numpy()[column_nmbr],
-                    )
+                    valuetype = dframe.columns.get_level_values(1).to_numpy()[
+                        column_nmbr
+                    ]
             else:
-                label = cast("MultiIndex", dframe.columns).to_numpy()[column_nmbr]
+                label = dframe.columns.to_numpy()[column_nmbr]
         else:
             raise TypeError(msg)
 
@@ -370,7 +357,7 @@ class OpenTimeSeries(_CommonModel[float]):
             Boolean flag indicating if timeseries is in local currency
 
         Returns:
-        -------
+        --------
         OpenTimeSeries
             An OpenTimeSeries object
 
@@ -409,7 +396,7 @@ class OpenTimeSeries(_CommonModel[float]):
         """Create copy of OpenTimeSeries object.
 
         Returns:
-        -------
+        --------
         OpenTimeSeries
             An OpenTimeSeries object
 
@@ -420,7 +407,7 @@ class OpenTimeSeries(_CommonModel[float]):
         """Populate .tsdf Pandas DataFrame from the .dates and .values lists.
 
         Returns:
-        -------
+        --------
         OpenTimeSeries
             An OpenTimeSeries object
 
@@ -447,7 +434,7 @@ class OpenTimeSeries(_CommonModel[float]):
             The properties to calculate. Defaults to calculating all available.
 
         Returns:
-        -------
+        --------
         pandas.DataFrame
             Properties of the OpenTimeSeries
 
@@ -467,12 +454,11 @@ class OpenTimeSeries(_CommonModel[float]):
         """Convert series of values into series of returns.
 
         Returns:
-        -------
+        --------
         OpenTimeSeries
             The returns of the values in the series
 
         """
-        # noinspection PyCallingNonCallable
         returns = self.tsdf.ffill().pct_change()
         returns.iloc[0] = 0
         self.valuetype = ValueType.RTRN
@@ -493,7 +479,7 @@ class OpenTimeSeries(_CommonModel[float]):
             is calculated
 
         Returns:
-        -------
+        --------
         OpenTimeSeries
             An OpenTimeSeries object
 
@@ -513,7 +499,7 @@ class OpenTimeSeries(_CommonModel[float]):
         """Convert series of returns into cumulative series of values.
 
         Returns:
-        -------
+        --------
         OpenTimeSeries
             An OpenTimeSeries object
 
@@ -548,7 +534,7 @@ class OpenTimeSeries(_CommonModel[float]):
             Convenience divider for when the 1-day rate is not scaled correctly
 
         Returns:
-        -------
+        --------
         OpenTimeSeries
             An OpenTimeSeries object
 
@@ -589,7 +575,7 @@ class OpenTimeSeries(_CommonModel[float]):
             The date offset string that sets the resampled frequency
 
         Returns:
-        -------
+        --------
         OpenTimeSeries
             An OpenTimeSeries object
 
@@ -619,7 +605,7 @@ class OpenTimeSeries(_CommonModel[float]):
             Controls the method used to align values across columns
 
         Returns:
-        -------
+        --------
         OpenTimeSeries
             An OpenTimeSeries object
 
@@ -674,7 +660,7 @@ class OpenTimeSeries(_CommonModel[float]):
             Allows locking the periods-in-a-year to simplify test cases and comparisons
 
         Returns:
-        -------
+        --------
         Pandas.Series[float]
             Series EWMA volatility
 
@@ -684,16 +670,14 @@ class OpenTimeSeries(_CommonModel[float]):
             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("Timestamp", earlier) : cast("Timestamp", later)]
-                .count()
-                .iloc[0]
-            )
-            fraction = (later - earlier).days / 365.25
-            time_factor = how_many / fraction
+        time_factor = _calculate_time_factor(
+            data=self.tsdf.loc[
+                cast("Timestamp", earlier) : cast("Timestamp", later)
+            ].iloc[:, 0],
+            earlier=earlier,
+            later=later,
+            periods_in_a_year_fixed=periods_in_a_year_fixed,
+        )
 
         data = self.tsdf.loc[
             cast("Timestamp", earlier) : cast("Timestamp", later)
@@ -741,7 +725,7 @@ class OpenTimeSeries(_CommonModel[float]):
             assumed number of days in a calendar year
 
         Returns:
-        -------
+        --------
         OpenTimeSeries
             An OpenTimeSeries object
 
@@ -757,7 +741,6 @@ class OpenTimeSeries(_CommonModel[float]):
         ra_df = ra_df.dropna()
 
         prev = self.first_idx
-        # noinspection PyTypeChecker
         dates: list[dt.date] = [prev]
 
         for idx, row in ra_df.iterrows():
@@ -803,7 +786,7 @@ class OpenTimeSeries(_CommonModel[float]):
             If True the level one label is deleted
 
         Returns:
-        -------
+        --------
         OpenTimeSeries
             An OpenTimeSeries object
 
@@ -845,7 +828,7 @@ def timeseries_chain(
         Fee to apply to earlier series
 
     Returns:
-    -------
+    --------
     TypeOpenTimeSeries
         An OpenTimeSeries object or a subclass thereof
 
@@ -878,7 +861,6 @@ 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,
@@ -907,7 +889,7 @@ def _check_if_none(item: Any) -> bool:  # noqa: ANN401
         variable to be checked
 
     Returns:
-    -------
+    --------
     bool
         Answer to whether the variable is None or equivalent