openseries 1.9.7__py3-none-any.whl → 2.0.0__py3-none-any.whl

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
 
@@ -18,11 +11,14 @@ from numpy import (
     array,
     asarray,
     concatenate,
+    corrcoef,
     cov,
     diff,
     divide,
     float64,
     isinf,
+    isnan,
+    linalg,
     log,
     nan,
     sqrt,
@@ -93,7 +89,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
         List of weights in float format.
 
     Returns:
-    -------
+    --------
     OpenFrame
         Object of the class OpenFrame
 
@@ -132,7 +128,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             List of weights in float format.
 
         Returns:
-        -------
+        --------
         OpenFrame
             Object of the class OpenFrame
 
@@ -164,7 +160,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
         """Create copy of the OpenFrame object.
 
         Returns:
-        -------
+        --------
         OpenFrame
             An OpenFrame object
 
@@ -183,7 +179,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             The Pandas merge method.
 
         Returns:
-        -------
+        --------
         OpenFrame
             An OpenFrame object
 
@@ -227,7 +223,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             The properties to calculate. Defaults to calculating all available.
 
         Returns:
-        -------
+        --------
         pandas.DataFrame
             Properties of the contituent OpenTimeSeries
 
@@ -246,7 +242,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
         """Number of observations of all constituents.
 
         Returns:
-        -------
+        --------
         Pandas.Series[int]
             Number of observations of all constituents
 
@@ -262,7 +258,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
         """Number of constituents.
 
         Returns:
-        -------
+        --------
         int
             Number of constituents
 
@@ -274,7 +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
 
@@ -286,7 +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
 
@@ -298,7 +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
 
@@ -315,7 +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
 
@@ -332,7 +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.
@@ -348,7 +344,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
         """Convert series of values into series of returns.
 
         Returns:
-        -------
+        --------
         OpenFrame
             The returns of the values in the series
 
@@ -374,7 +370,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             is calculated
 
         Returns:
-        -------
+        --------
         OpenFrame
             An OpenFrame object
 
@@ -393,7 +389,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
         """Convert series of returns into cumulative series of values.
 
         Returns:
-        -------
+        --------
         OpenFrame
             An OpenFrame object
 
@@ -432,7 +428,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             The date offset string that sets the resampled frequency
 
         Returns:
-        -------
+        --------
         OpenFrame
             An OpenFrame object
 
@@ -481,7 +477,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             Controls the method used to align values across columns
 
         Returns:
-        -------
+        --------
         OpenFrame
             An OpenFrame object
 
@@ -562,7 +558,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             comparisons
 
         Returns:
-        -------
+        --------
         Pandas.DataFrame
             Series volatilities and correlation
 
@@ -658,10 +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 = (
@@ -689,7 +688,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             The timeseries to add
 
         Returns:
-        -------
+        --------
         OpenFrame
             An OpenFrame object
 
@@ -707,7 +706,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             The .tsdf column level 0 value of the timeseries to delete
 
         Returns:
-        -------
+        --------
         OpenFrame
             An OpenFrame object
 
@@ -746,7 +745,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             or end_cut is None.
 
         Returns:
-        -------
+        --------
         OpenFrame
             An OpenFrame object
 
@@ -847,7 +846,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             comparisons
 
         Returns:
-        -------
+        --------
         Pandas.Series[float]
             Tracking Errors
 
@@ -922,7 +921,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             comparisons
 
         Returns:
-        -------
+        --------
         Pandas.Series[float]
             Information Ratios
 
@@ -1005,7 +1004,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             comparisons
 
         Returns:
-        -------
+        --------
         Pandas.Series[float]
             Capture Ratios
 
@@ -1191,7 +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
 
@@ -1260,7 +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.
 
@@ -1329,7 +1328,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             Variance bias factor taking the value 0 or 1.
 
         Returns:
-        -------
+        --------
         float
             Jensen's alpha
 
@@ -1401,7 +1400,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             weight calculation strategies
 
         Returns:
-        -------
+        --------
         Pandas.DataFrame
             A basket timeseries
 
@@ -1431,6 +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)
 
@@ -1466,7 +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
 
@@ -1532,7 +1548,7 @@ class OpenFrame(_CommonModel[SeriesFloat]):
             Variance bias factor taking the value 0 or 1.
 
         Returns:
-        -------
+        --------
         Pandas.DataFrame
             Rolling Betas
 
@@ -1592,7 +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
 
@@ -1637,7 +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
 
@@ -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",

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
 
@@ -84,7 +77,7 @@ def simulate_portfolios(
         The seed for the random process
 
     Returns:
-    -------
+    --------
     pandas.DataFrame
         The resulting data
 
@@ -155,7 +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
 
@@ -342,7 +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
 
@@ -404,7 +397,7 @@ def prepare_plot_data(
         Data optimized with the efficient_frontier method
 
     Returns:
-    -------
+    --------
     DataFrame
         The data prepared with mean returns, volatility and weights
 
@@ -488,7 +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