openseries 1.9.7__py3-none-any.whl → 2.0.1__py3-none-any.whl

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 +135,9 @@ LiteralPlotlyHistogramHistNorm = Literal[
     "density",
     "probability density",
 ]
-LiteralPortfolioWeightings = Literal["eq_weights", "inv_vol"]
+LiteralPortfolioWeightings = Literal[
+    "eq_weights", "inv_vol", "max_div", "min_vol_overweight"
+]
 LiteralMinimizeMethods = Literal[
     "SLSQP",
     "Nelder-Mead",
@@ -381,3 +376,23 @@ class PropertiesInputValidationError(Exception):
 
 class ResampleDataLossError(Exception):
     """Raised when user attempts to run resample_to_business_period_ends on returns."""
+
+
+class WeightsNotProvidedError(Exception):
+    """Raised when weights are not provided."""
+
+
+class MultipleCurrenciesError(Exception):
+    """Raised when multiple currencies are provided."""
+
+
+class PortfolioItemsNotWithinFrameError(Exception):
+    """Raised when portfolio items are not within frame."""
+
+
+class MaxDiversificationNaNError(Exception):
+    """Raised when max_div weight strategy produces NaN values."""
+
+
+class MaxDiversificationNegativeWeightsError(Exception):
+    """Raised when max_div weight strategy produces negative weights."""

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
 

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
 
@@ -215,7 +208,7 @@ class OpenTimeSeries(_CommonModel[float]):
             Boolean flag indicating if timeseries is in local currency
 
         Returns:
-        -------
+        --------
         OpenTimeSeries
             An OpenTimeSeries object
 
@@ -265,7 +258,7 @@ class OpenTimeSeries(_CommonModel[float]):
             Boolean flag indicating if timeseries is in local currency
 
         Returns:
-        -------
+        --------
         OpenTimeSeries
             An OpenTimeSeries object
 
@@ -364,7 +357,7 @@ class OpenTimeSeries(_CommonModel[float]):
             Boolean flag indicating if timeseries is in local currency
 
         Returns:
-        -------
+        --------
         OpenTimeSeries
             An OpenTimeSeries object
 
@@ -403,7 +396,7 @@ class OpenTimeSeries(_CommonModel[float]):
         """Create copy of OpenTimeSeries object.
 
         Returns:
-        -------
+        --------
         OpenTimeSeries
             An OpenTimeSeries object
 
@@ -414,7 +407,7 @@ class OpenTimeSeries(_CommonModel[float]):
         """Populate .tsdf Pandas DataFrame from the .dates and .values lists.
 
         Returns:
-        -------
+        --------
         OpenTimeSeries
             An OpenTimeSeries object
 
@@ -441,7 +434,7 @@ class OpenTimeSeries(_CommonModel[float]):
             The properties to calculate. Defaults to calculating all available.
 
         Returns:
-        -------
+        --------
         pandas.DataFrame
             Properties of the OpenTimeSeries
 
@@ -461,7 +454,7 @@ class OpenTimeSeries(_CommonModel[float]):
         """Convert series of values into series of returns.
 
         Returns:
-        -------
+        --------
         OpenTimeSeries
             The returns of the values in the series
 
@@ -486,7 +479,7 @@ class OpenTimeSeries(_CommonModel[float]):
             is calculated
 
         Returns:
-        -------
+        --------
         OpenTimeSeries
             An OpenTimeSeries object
 
@@ -506,7 +499,7 @@ class OpenTimeSeries(_CommonModel[float]):
         """Convert series of returns into cumulative series of values.
 
         Returns:
-        -------
+        --------
         OpenTimeSeries
             An OpenTimeSeries object
 
@@ -541,7 +534,7 @@ class OpenTimeSeries(_CommonModel[float]):
             Convenience divider for when the 1-day rate is not scaled correctly
 
         Returns:
-        -------
+        --------
         OpenTimeSeries
             An OpenTimeSeries object
 
@@ -582,7 +575,7 @@ class OpenTimeSeries(_CommonModel[float]):
             The date offset string that sets the resampled frequency
 
         Returns:
-        -------
+        --------
         OpenTimeSeries
             An OpenTimeSeries object
 
@@ -612,7 +605,7 @@ class OpenTimeSeries(_CommonModel[float]):
             Controls the method used to align values across columns
 
         Returns:
-        -------
+        --------
         OpenTimeSeries
             An OpenTimeSeries object
 
@@ -667,7 +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
 
@@ -732,7 +725,7 @@ class OpenTimeSeries(_CommonModel[float]):
             assumed number of days in a calendar year
 
         Returns:
-        -------
+        --------
         OpenTimeSeries
             An OpenTimeSeries object
 
@@ -793,7 +786,7 @@ class OpenTimeSeries(_CommonModel[float]):
             If True the level one label is deleted
 
         Returns:
-        -------
+        --------
         OpenTimeSeries
             An OpenTimeSeries object
 
@@ -835,7 +828,7 @@ def timeseries_chain(
         Fee to apply to earlier series
 
     Returns:
-    -------
+    --------
     TypeOpenTimeSeries
         An OpenTimeSeries object or a subclass thereof
 
@@ -896,7 +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
 

openseries/simulation.py

@@ -1,11 +1,4 @@
-"""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
 
@@ -14,7 +7,7 @@ from typing import TYPE_CHECKING, TypedDict, cast
 
 try:
     from typing import Unpack
-except ImportError:
+except ImportError:  # pragma: no cover
     from typing_extensions import Unpack
 
 if TYPE_CHECKING:
@@ -64,7 +57,7 @@ def _random_generator(seed: int | None) -> Generator:
         Random seed
 
     Returns:
-    -------
+    --------
     numpy.random.Generator
         Numpy random process generator
 
@@ -109,7 +102,7 @@ def _create_base_simulation(
         Additional keyword arguments for jump parameters
 
     Returns:
-    -------
+    --------
     ReturnSimulation
         A ReturnSimulation instance
 
@@ -176,7 +169,7 @@ class ReturnSimulation(BaseModel):
         """Simulation data.
 
         Returns:
-        -------
+        --------
         pandas.DataFrame
             Simulation data
 
@@ -188,7 +181,7 @@ class ReturnSimulation(BaseModel):
         """Annualized arithmetic mean of returns.
 
         Returns:
-        -------
+        --------
         float
             Annualized arithmetic mean of returns
 
@@ -205,7 +198,7 @@ class ReturnSimulation(BaseModel):
         """Annualized volatility.
 
         Returns:
-        -------
+        --------
         float
             Annualized volatility
 
@@ -249,7 +242,7 @@ class ReturnSimulation(BaseModel):
             Random process generator
 
         Returns:
-        -------
+        --------
         ReturnSimulation
             Normal distribution simulation
 
@@ -305,7 +298,7 @@ class ReturnSimulation(BaseModel):
             Random process generator
 
         Returns:
-        -------
+        --------
         ReturnSimulation
             Lognormal distribution simulation
 
@@ -364,7 +357,7 @@ class ReturnSimulation(BaseModel):
             Random process generator
 
         Returns:
-        -------
+        --------
         ReturnSimulation
             Geometric Brownian Motion simulation
 
@@ -436,7 +429,7 @@ class ReturnSimulation(BaseModel):
             Random process generator
 
         Returns:
-        -------
+        --------
         ReturnSimulation
             Merton Jump-Diffusion model simulation
 
@@ -511,7 +504,7 @@ class ReturnSimulation(BaseModel):
             (List of) markets code(s) according to pandas-market-calendars
 
         Returns:
-        -------
+        --------
         pandas.DataFrame
             The simulation(s) data
 

openseries-2.0.1.dist-info/METADATA

@@ -0,0 +1,128 @@
+Metadata-Version: 2.4
+Name: openseries
+Version: 2.0.1
+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,<3.15
+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: Programming Language :: Python :: 3.14
+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)
+[![Documentation](https://readthedocs.org/projects/openseries/badge/?version=latest)](https://openseries.readthedocs.io/en/latest/?badge=latest)
+[![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-2.0.1.dist-info/RECORD

@@ -0,0 +1,18 @@
+openseries/__init__.py,sha256=vkJZmQaReCry7g6f8plQU5RaP1LBwVKe3DoD9ekF3Sc,1127
+openseries/_common_model.py,sha256=y-udTW6LI0Q5er-Egzd4IrFoGHfRGSnsjHJuCu_YTIU,91628
+openseries/_risk.py,sha256=YisMnI8DQT0w9n9SQbrvq0ZZqmZHrz7-jhZtngObJRk,2094
+openseries/datefixer.py,sha256=U1Kc6QdW3UEzAp61NIUALOllyLWb-mJemiL7KLfSAto,15512
+openseries/frame.py,sha256=g3X3eVkUptawmj7fb-86i21odIFTX_QvwJEcMU_mtO0,69376
+openseries/load_plotly.py,sha256=sVssTMzJ2tPPHceCa9OCavI4Mv5BFgSKR6wnTltnqQQ,1997
+openseries/owntypes.py,sha256=wxyU4d08YrxfEGL_bSI9M6ZVLjipqMLEsq376gVV9lk,10001
+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-2.0.1.dist-info/METADATA,sha256=_YFEzFjSM-xzkD9ayOMVf41bJ2NGk8dLw15E2k9yu9c,6281
+openseries-2.0.1.dist-info/WHEEL,sha256=zp0Cn7JsFoX2ATtOhtaFYIiE2rmFAD4OcMhtUki8W3U,88
+openseries-2.0.1.dist-info/licenses/LICENSE.md,sha256=wNupG-KLsG0aTncb_SMNDh1ExtrKXlpxSJ6RC-g-SWs,1516
+openseries-2.0.1.dist-info/RECORD,,