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

openseries/simulation.py

@@ -1,15 +1,14 @@
-"""Defining the ReturnSimulation 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 ReturnSimulation class."""
 
 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:  # pragma: no cover
+    from typing_extensions import Unpack
 
 if TYPE_CHECKING:
     import datetime as dt  # pragma: no cover
@@ -41,6 +40,14 @@ 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.
 
@@ -50,7 +57,7 @@ def _random_generator(seed: int | None) -> Generator:
         Random seed
 
     Returns:
-    -------
+    --------
     numpy.random.Generator
         Numpy random process generator
 
@@ -60,6 +67,58 @@ def _random_generator(seed: int | None) -> Generator:
     return Generator(bit_generator=bg)
 
 
+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.
 
@@ -105,12 +164,12 @@ class ReturnSimulation(BaseModel):
         revalidate_instances="always",
     )
 
-    @property
+    @cached_property
     def results(self: Self) -> DataFrame:
         """Simulation data.
 
         Returns:
-        -------
+        --------
         pandas.DataFrame
             Simulation data
 
@@ -122,7 +181,7 @@ class ReturnSimulation(BaseModel):
         """Annualized arithmetic mean of returns.
 
         Returns:
-        -------
+        --------
         float
             Annualized arithmetic mean of returns
 
@@ -139,7 +198,7 @@ class ReturnSimulation(BaseModel):
         """Annualized volatility.
 
         Returns:
-        -------
+        --------
         float
             Annualized volatility
 
@@ -183,7 +242,7 @@ class ReturnSimulation(BaseModel):
             Random process generator
 
         Returns:
-        -------
+        --------
         ReturnSimulation
             Normal distribution simulation
 
@@ -197,13 +256,14 @@ class ReturnSimulation(BaseModel):
             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,
         )
 
@@ -238,7 +298,7 @@ class ReturnSimulation(BaseModel):
             Random process generator
 
         Returns:
-        -------
+        --------
         ReturnSimulation
             Lognormal distribution simulation
 
@@ -255,13 +315,14 @@ class ReturnSimulation(BaseModel):
             - 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,
         )
 
@@ -296,7 +357,7 @@ class ReturnSimulation(BaseModel):
             Random process generator
 
         Returns:
-        -------
+        --------
         ReturnSimulation
             Geometric Brownian Motion simulation
 
@@ -317,13 +378,14 @@ class ReturnSimulation(BaseModel):
 
         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,
         )
 
@@ -367,7 +429,7 @@ class ReturnSimulation(BaseModel):
             Random process generator
 
         Returns:
-        -------
+        --------
         ReturnSimulation
             Merton Jump-Diffusion model simulation
 
@@ -404,17 +466,18 @@ class ReturnSimulation(BaseModel):
 
         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(
@@ -441,7 +504,7 @@ class ReturnSimulation(BaseModel):
             (List of) markets code(s) according to pandas-market-calendars
 
         Returns:
-        -------
+        --------
         pandas.DataFrame
             The simulation(s) data
 
@@ -465,15 +528,17 @@ class ReturnSimulation(BaseModel):
             )
             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-2.0.0.dist-info/METADATA

@@ -0,0 +1,126 @@
+Metadata-Version: 2.4
+Name: openseries
+Version: 2.0.0
+Summary: Tools for analyzing financial timeseries.
+License: # BSD 3-Clause License
+         
+         ## Copyright (c) Captor Fund Management AB
+         
+         Redistribution and use in source and binary forms, with or without modification, are
+         permitted provided that the following conditions are met:
+         
+         1. Redistributions of source code must retain the above copyright notice, this list of
+            conditions and the following disclaimer.
+         
+         2. Redistributions in binary form must reproduce the above copyright notice, this list
+            of conditions and the following disclaimer in the documentation and/or other
+            materials provided with the distribution.
+         
+         3. Neither the name of the copyright holder nor the names of its contributors may be
+            used to endorse or promote products derived from this software without specific prior
+            written permission.
+         
+         This software is provided by the copyright holders and contributors “as is” and any
+         express or implied warranties, including, but not limited to, the implied warranties of
+         merchantability and fitness for a particular purpose, are disclaimed. In no event shall
+         the copyright holder or contributors be liable for any direct, indirect, incidental,
+         special, exemplary, or consequential damages (including, but not limited to, procurement
+         of substitute goods or services; loss of use, data, or profits; or business interruption)
+         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
+Maintainer: Martin Karrin
+Maintainer-email: martin.karrin@captor.se
+Requires-Python: >=3.10,<3.14
+Classifier: Programming Language :: Python :: 3.10
+Classifier: Programming Language :: Python :: 3.11
+Classifier: Programming Language :: Python :: 3.12
+Classifier: Programming Language :: Python :: 3.13
+Classifier: License :: OSI Approved :: BSD License
+Classifier: Intended Audience :: Financial and Insurance Industry
+Classifier: Topic :: Office/Business :: Financial :: Investment
+Classifier: Natural Language :: English
+Classifier: Development Status :: 5 - Production/Stable
+Classifier: Operating System :: OS Independent
+Classifier: Framework :: Pydantic
+Requires-Dist: exchange-calendars (>=4.8,<6.0)
+Requires-Dist: holidays (>=0.30,<1.0)
+Requires-Dist: numpy (>=1.23.2,!=2.3.0,<3.0.0)
+Requires-Dist: openpyxl (>=3.1.2,<5.0.0)
+Requires-Dist: pandas (>=2.1.2,<3.0.0)
+Requires-Dist: plotly (>=5.18.0,<7.0.0)
+Requires-Dist: pydantic (>=2.5.2,<3.0.0)
+Requires-Dist: python-dateutil (>=2.8.2,<4.0.0)
+Requires-Dist: requests (>=2.20.0,<3.0.0)
+Requires-Dist: scikit-learn (>=1.4.0,<2.0.0)
+Requires-Dist: scipy (>=1.11.4,<2.0.0)
+Project-URL: Documentation, https://openseries.readthedocs.io/
+Project-URL: Homepage, https://github.com/CaptorAB/openseries
+Project-URL: Issue Tracker, https://github.com/CaptorAB/openseries/issues
+Project-URL: Release Notes, https://github.com/CaptorAB/openseries/releases
+Project-URL: Source, https://github.com/CaptorAB/openseries
+Description-Content-Type: text/markdown
+
+<a href="https://captor.se/"><img src="https://sales.captor.se/captor_logo_sv_1600_icketransparent.png" alt="Captor Fund Management AB" width="81" height="100" align="left" float="right"/></a><br/>
+
+<br><br>
+
+# openseries
+
+[![PyPI version](https://img.shields.io/pypi/v/openseries.svg)](https://pypi.org/project/openseries/)
+[![Conda Version](https://img.shields.io/conda/vn/conda-forge/openseries.svg)](https://anaconda.org/conda-forge/openseries)
+![Platform](https://img.shields.io/badge/platforms-Windows%20%7C%20macOS%20%7C%20Linux-blue)
+[![Python version](https://img.shields.io/pypi/pyversions/openseries.svg)](https://www.python.org/)
+[![GitHub Action Test Suite](https://github.com/CaptorAB/openseries/actions/workflows/test.yml/badge.svg)](https://github.com/CaptorAB/openseries/actions/workflows/test.yml)
+[![codecov](https://img.shields.io/codecov/c/gh/CaptorAB/openseries?logo=codecov)](https://codecov.io/gh/CaptorAB/openseries/branch/master)
+[![Poetry](https://img.shields.io/endpoint?url=https://python-poetry.org/badge/v0.json)](https://python-poetry.org/)
+[![Ruff](https://img.shields.io/endpoint?url=https://raw.githubusercontent.com/astral-sh/ruff/main/assets/badge/v2.json)](https://beta.ruff.rs/docs/)
+[![GitHub License](https://img.shields.io/github/license/CaptorAB/openseries)](https://github.com/CaptorAB/openseries/blob/master/LICENSE.md)
+[![Code Sample](https://img.shields.io/badge/-Code%20Sample-blue)](https://nbviewer.org/github/karrmagadgeteer2/NoteBook/blob/master/openseriesnotebook.ipynb)
+
+Tools for analyzing financial timeseries of a single asset or a group of assets. Designed for daily or less frequent data.
+
+## Documentation
+
+Complete documentation is available at: [https://openseries.readthedocs.io](https://openseries.readthedocs.io/)
+
+The documentation includes:
+
+- Quick start guide
+- API reference
+- Tutorials and examples
+- Installation instructions
+
+## Installation
+
+```bash
+pip install openseries
+```
+
+or:
+
+```bash
+conda install -c conda-forge openseries
+```
+
+## Quick Start
+
+```python
+from openseries import OpenTimeSeries
+import yfinance as yf
+
+move=yf.Ticker(ticker="^MOVE")
+history=move.history(period="max")
+series=OpenTimeSeries.from_df(dframe=history.loc[:, "Close"])
+_=series.set_new_label(lvl_zero="ICE BofAML MOVE Index")
+_,_=series.plot_series()
+```
+
+### Sample output using the report_html() function
+
+<img src="https://raw.githubusercontent.com/CaptorAB/openseries/master/openseries_plot.png" alt="Two Assets Compared" width="1000" />
+

openseries-2.0.0.dist-info/RECORD

@@ -0,0 +1,18 @@
+openseries/__init__.py,sha256=WVAO2vtZUZHp7wlXCXV_OKaLkPHfGUjfxTGgBsMdORc,1104
+openseries/_common_model.py,sha256=vXVsSuD6ULTDT6A_sg58uS_yfoazQQvwtjo_jxKMQHA,89131
+openseries/_risk.py,sha256=YisMnI8DQT0w9n9SQbrvq0ZZqmZHrz7-jhZtngObJRk,2094
+openseries/datefixer.py,sha256=U1Kc6QdW3UEzAp61NIUALOllyLWb-mJemiL7KLfSAto,15512
+openseries/frame.py,sha256=OCx4soNy_PzjOwpEzxhmdBUIbXjM2WzXv-JaW5GJ4U8,57343
+openseries/load_plotly.py,sha256=sVssTMzJ2tPPHceCa9OCavI4Mv5BFgSKR6wnTltnqQQ,1997
+openseries/owntypes.py,sha256=I709YjKqN9W9bJNNezhCQbnmTZgTIZZnoxzoUkbHF8w,9436
+openseries/plotly_captor_logo.json,sha256=F5nhMzEyxKywtjvQqMTKgKRCJQYMDIiBgDSxdte8Clo,178
+openseries/plotly_layouts.json,sha256=MvDEQuiqIhMBXBelXb1sedTOlTPheizv6NZRLeE9YS4,1431
+openseries/portfoliotools.py,sha256=v7s9-AgJFlvPIbPuPf6J7d0VjP-dDT-rsm086EoqSAE,19073
+openseries/py.typed,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
+openseries/report.py,sha256=FYN79MroQfY8DrDSSdsSDBcy6S9PwIS0FyujnqPEQV0,14106
+openseries/series.py,sha256=Wp5G3EmzsBqABtkIPvFQ0Y4T77RhXM9uzvtJBPFWMrQ,28354
+openseries/simulation.py,sha256=J58uHuakeIbZ2Pabha-RtsaO-k-MVsRfXSdZexrMAkI,16071
+openseries-2.0.0.dist-info/METADATA,sha256=8L-PeC1b2pv8VfrC5upsvunrh1WNSiaOMvWg2BfxXZs,6085
+openseries-2.0.0.dist-info/WHEEL,sha256=zp0Cn7JsFoX2ATtOhtaFYIiE2rmFAD4OcMhtUki8W3U,88
+openseries-2.0.0.dist-info/licenses/LICENSE.md,sha256=wNupG-KLsG0aTncb_SMNDh1ExtrKXlpxSJ6RC-g-SWs,1516
+openseries-2.0.0.dist-info/RECORD,,

{openseries-1.9.6.dist-info → openseries-2.0.0.dist-info}/WHEEL

@@ -1,4 +1,4 @@
 Wheel-Version: 1.0
-Generator: poetry-core 2.2.0
+Generator: poetry-core 2.2.1
 Root-Is-Purelib: true
 Tag: py3-none-any