qis 2.1.39__tar.gz → 2.1.41__tar.gz

{qis-2.1.39 → qis-2.1.41}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: qis
-Version: 2.1.39
+Version: 2.1.41
 Summary: Implementation of visualisation and reporting analytics for Quantitative Investment Strategies
 License: LICENSE.txt
 Keywords: quantitative,investing,portfolio optimization,systematic strategies,volatility
@@ -174,16 +174,16 @@ fig = qis.plot_ra_perf_table(prices=prices,
 # add benchmark regression using excess returns for linear beta
 # regression frequency is specified using perf_params.freq_reg
 # regression alpha is multiplied using perf_params.alpha_an_factor
-fig = qis.plot_ra_perf_table_benchmark(prices=prices,
-                                       benchmark='SPY',
-                                       perf_columns=[PerfStat.TOTAL_RETURN, PerfStat.PA_RETURN, PerfStat.PA_EXCESS_RETURN,
-                                                     PerfStat.VOL, PerfStat.SHARPE_RF0,
-                                                     PerfStat.SHARPE_EXCESS, PerfStat.SORTINO_RATIO, PerfStat.CALMAR_RATIO,
-                                                     PerfStat.MAX_DD, PerfStat.MAX_DD_VOL,
-                                                     PerfStat.SKEWNESS, PerfStat.KURTOSIS,
-                                                     PerfStat.ALPHA_AN, PerfStat.BETA, PerfStat.R2],
-                                       title=f"Risk-adjusted performance: {qis.get_time_period_label(prices, date_separator='-')} benchmarked with SPY",
-                                       perf_params=perf_params)
+fig, _ = qis.plot_ra_perf_table_benchmark(prices=prices,
+                                          benchmark='SPY',
+                                          perf_columns=[PerfStat.TOTAL_RETURN, PerfStat.PA_RETURN, PerfStat.PA_EXCESS_RETURN,
+                                                        PerfStat.VOL, PerfStat.SHARPE_RF0,
+                                                        PerfStat.SHARPE_EXCESS, PerfStat.SORTINO_RATIO, PerfStat.CALMAR_RATIO,
+                                                        PerfStat.MAX_DD, PerfStat.MAX_DD_VOL,
+                                                        PerfStat.SKEWNESS, PerfStat.KURTOSIS,
+                                                        PerfStat.ALPHA_AN, PerfStat.BETA, PerfStat.R2],
+                                          title=f"Risk-adjusted performance: {qis.get_time_period_label(prices, date_separator='-')} benchmarked with SPY",
+                                          perf_params=perf_params)
 ```
 ![image info](qis/examples/figures/perf4.PNG)
 

{qis-2.1.39 → qis-2.1.41}/README.md

@@ -124,16 +124,16 @@ fig = qis.plot_ra_perf_table(prices=prices,
 # add benchmark regression using excess returns for linear beta
 # regression frequency is specified using perf_params.freq_reg
 # regression alpha is multiplied using perf_params.alpha_an_factor
-fig = qis.plot_ra_perf_table_benchmark(prices=prices,
-                                       benchmark='SPY',
-                                       perf_columns=[PerfStat.TOTAL_RETURN, PerfStat.PA_RETURN, PerfStat.PA_EXCESS_RETURN,
-                                                     PerfStat.VOL, PerfStat.SHARPE_RF0,
-                                                     PerfStat.SHARPE_EXCESS, PerfStat.SORTINO_RATIO, PerfStat.CALMAR_RATIO,
-                                                     PerfStat.MAX_DD, PerfStat.MAX_DD_VOL,
-                                                     PerfStat.SKEWNESS, PerfStat.KURTOSIS,
-                                                     PerfStat.ALPHA_AN, PerfStat.BETA, PerfStat.R2],
-                                       title=f"Risk-adjusted performance: {qis.get_time_period_label(prices, date_separator='-')} benchmarked with SPY",
-                                       perf_params=perf_params)
+fig, _ = qis.plot_ra_perf_table_benchmark(prices=prices,
+                                          benchmark='SPY',
+                                          perf_columns=[PerfStat.TOTAL_RETURN, PerfStat.PA_RETURN, PerfStat.PA_EXCESS_RETURN,
+                                                        PerfStat.VOL, PerfStat.SHARPE_RF0,
+                                                        PerfStat.SHARPE_EXCESS, PerfStat.SORTINO_RATIO, PerfStat.CALMAR_RATIO,
+                                                        PerfStat.MAX_DD, PerfStat.MAX_DD_VOL,
+                                                        PerfStat.SKEWNESS, PerfStat.KURTOSIS,
+                                                        PerfStat.ALPHA_AN, PerfStat.BETA, PerfStat.R2],
+                                          title=f"Risk-adjusted performance: {qis.get_time_period_label(prices, date_separator='-')} benchmarked with SPY",
+                                          perf_params=perf_params)
 ```
 ![image info](qis/examples/figures/perf4.PNG)
 

{qis-2.1.39 → qis-2.1.41}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "qis"
-version = "2.1.39"
+version = "2.1.41"
 description = "Implementation of visualisation and reporting analytics for Quantitative Investment Strategies"
 license = "LICENSE.txt"
 authors = ["Artur Sepp <artursepp@gmail.com>"]

{qis-2.1.39 → qis-2.1.41}/qis/examples/readme_performances.py

@@ -48,16 +48,16 @@ qis.save_fig(fig, file_name='perf3', local_path="figures/")
 # add benchmark regression using excess returns for linear beta
 # regression frequency is specified using perf_params.freq_reg
 # regression alpha is multiplied using perf_params.alpha_an_factor
-fig = qis.plot_ra_perf_table_benchmark(prices=prices,
-                                       benchmark='SPY',
-                                       perf_columns=[PerfStat.TOTAL_RETURN, PerfStat.PA_RETURN, PerfStat.PA_EXCESS_RETURN,
-                                                     PerfStat.VOL, PerfStat.SHARPE_RF0,
-                                                     PerfStat.SHARPE_EXCESS, PerfStat.SORTINO_RATIO, PerfStat.CALMAR_RATIO,
-                                                     PerfStat.MAX_DD, PerfStat.MAX_DD_VOL,
-                                                     PerfStat.SKEWNESS, PerfStat.KURTOSIS,
-                                                     PerfStat.ALPHA_AN, PerfStat.BETA, PerfStat.R2],
-                                       title=f"Risk-adjusted performance: {qis.get_time_period_label(prices, date_separator='-')} benchmarked with SPY",
-                                       perf_params=perf_params)
+fig, _ = qis.plot_ra_perf_table_benchmark(prices=prices,
+                                          benchmark='SPY',
+                                          perf_columns=[PerfStat.TOTAL_RETURN, PerfStat.PA_RETURN, PerfStat.PA_EXCESS_RETURN,
+                                                        PerfStat.VOL, PerfStat.SHARPE_RF0,
+                                                        PerfStat.SHARPE_EXCESS, PerfStat.SORTINO_RATIO, PerfStat.CALMAR_RATIO,
+                                                        PerfStat.MAX_DD, PerfStat.MAX_DD_VOL,
+                                                        PerfStat.SKEWNESS, PerfStat.KURTOSIS,
+                                                        PerfStat.ALPHA_AN, PerfStat.BETA, PerfStat.R2],
+                                          title=f"Risk-adjusted performance: {qis.get_time_period_label(prices, date_separator='-')} benchmarked with SPY",
+                                          perf_params=perf_params)
 # skip
 qis.save_fig(fig, file_name='perf4', local_path="figures/")
 

{qis-2.1.39 → qis-2.1.41}/qis/file_utils.py

@@ -118,20 +118,19 @@ def get_local_file_path(file_name: Optional[str],
                         file_type: Optional[FileTypes] = None,
                         local_path: Optional[str] = None,
                         folder_name: str = None,
-                        subfolder_name: str = None,
                         key: str = None,
                         is_output_file: bool = False
                         ) -> str:
     """
     file data management is organised as:
-    file_path = RESOURCE_PATH/folder_name/subfolder_name/file_name+file_type.value
+    file_path = RESOURCE_PATH/folder_name/file_name+file_type.value
     default value without optional arguments will be:
     file_path = RESOURCE_PATH/file_name.file_type.value
 
     for datasets, we can define datasets keys so the file paths are:
-    file_path = RESOURCE_PATH/folder_name/subfolder_name/file_name+_key+file_type.value
+    file_path = RESOURCE_PATH/folder_name/file_name+_key+file_type.value
     or if file_name is None:
-    file_path = RESOURCE_PATH/folder_name/subfolder_name/key+file_type.value
+    file_path = RESOURCE_PATH/folder_name/key+file_type.value
 
     if local_path is not None: file_path=local_path
     if local_path in not None and file_name and file_type is passed: file_path=local_path//file_name+file_type.value
@@ -146,10 +145,7 @@ def get_local_file_path(file_name: Optional[str],
             local_path = RESOURCE_PATH
 
         if folder_name is not None:
-            if subfolder_name is not None:
-                local_path = join(local_path, folder_name, subfolder_name)
-            else:
-                local_path = join(local_path, folder_name)
+            local_path = join(local_path, folder_name)
 
     if file_name is not None:
         if key is not None:
@@ -209,7 +205,6 @@ def save_df_to_excel(data: Union[pd.DataFrame, List[pd.DataFrame], Dict[str, pd.
                      local_path: Optional[str] = None,
                      mode: Literal['w', 'a'] = 'w',
                      folder_name: str = None,
-                     subfolder_name: str = None,
                      key: str = None,
                      add_current_date: bool = False,
                      sheet_names: List[str] = None,
@@ -229,7 +224,6 @@ def save_df_to_excel(data: Union[pd.DataFrame, List[pd.DataFrame], Dict[str, pd.
                                     file_type=FileTypes.EXCEL,
                                     local_path=local_path,
                                     folder_name=folder_name,
-                                    subfolder_name=subfolder_name,
                                     key=key)
 
     excel_writer = pd.ExcelWriter(file_path, engine='openpyxl', mode=mode, if_sheet_exists=if_sheet_exists)
@@ -262,7 +256,6 @@ def load_df_from_excel(file_name: str,
                        sheet_name: str = 'Sheet1',
                        local_path: Optional[str] = None,
                        folder_name: str = None,
-                       subfolder_name: str = None,
                        key: str = None,
                        is_index: bool = True,
                        delocalize: bool = False  # excel data may have local time which are unwanted
@@ -274,7 +267,6 @@ def load_df_from_excel(file_name: str,
                                     file_type=FileTypes.EXCEL,
                                     local_path=local_path,
                                     folder_name=folder_name,
-                                    subfolder_name=subfolder_name,
                                     key=key)
     if os.path.isfile(file_path):
         excel_reader = pd.ExcelFile(file_path, engine='openpyxl')
@@ -295,7 +287,6 @@ def save_df_dict_to_excel(datasets: Dict[Union[str, Enum, NamedTuple], pd.DataFr
                           local_path: Optional[str] = None,
                           mode: Literal['w', 'a'] = 'w',
                           folder_name: str = None,
-                          subfolder_name: str = None,
                           key: str = None,
                           add_current_date: bool = False,
                           delocalize: bool = False
@@ -311,7 +302,6 @@ def save_df_dict_to_excel(datasets: Dict[Union[str, Enum, NamedTuple], pd.DataFr
                                     file_type=FileTypes.EXCEL,
                                     local_path=local_path,
                                     folder_name=folder_name,
-                                    subfolder_name=subfolder_name,
                                     key=key)
 
     excel_writer = pd.ExcelWriter(file_path, engine='openpyxl', mode=mode)
@@ -327,7 +317,6 @@ def load_df_dict_from_excel(file_name: str,
                             dataset_keys: Optional[List[Union[str, Enum, NamedTuple]]] = None,
                             local_path: Optional[str] = None,
                             folder_name: str = None,
-                            subfolder_name: str = None,
                             key: str = None,
                             is_index: bool = True,
                             delocalize: bool = False,
@@ -341,7 +330,6 @@ def load_df_dict_from_excel(file_name: str,
                                     file_type=FileTypes.EXCEL,
                                     local_path=local_path,
                                     folder_name=folder_name,
-                                    subfolder_name=subfolder_name,
                                     key=key)
 
     if os.path.isfile(file_path):
@@ -374,7 +362,6 @@ Pandas to/from CSV core
 def save_df_to_csv(df: pd.DataFrame,
                    file_name: str = None,
                    folder_name: str = None,
-                   subfolder_name: str = None,
                    key: str = None,
                    add_current_date: bool = False,
                    local_path: Optional[str] = None
@@ -389,7 +376,6 @@ def save_df_to_csv(df: pd.DataFrame,
                                     file_type=FileTypes.CSV,
                                     local_path=local_path,
                                     folder_name=folder_name,
-                                    subfolder_name=subfolder_name,
                                     key=key)
     df.to_csv(path_or_buf=file_path)
 
@@ -397,7 +383,6 @@ def save_df_to_csv(df: pd.DataFrame,
 def load_df_from_csv(file_name: Optional[str] = None,
                      local_path: Optional[str] = None,
                      folder_name: str = None,
-                     subfolder_name: str = None,
                      key: str = None,
                      is_index: bool = True,
                      parse_dates: bool = True,
@@ -412,9 +397,7 @@ def load_df_from_csv(file_name: Optional[str] = None,
                                     file_type=FileTypes.CSV,
                                     local_path=local_path,
                                     folder_name=folder_name,
-                                    subfolder_name=subfolder_name,
                                     key=key)
-
     if is_index:
         index_col = 0
         parse_dates = parse_dates
@@ -450,7 +433,6 @@ def load_df_from_csv(file_name: Optional[str] = None,
 def append_df_to_csv(df: pd.DataFrame,
                      file_name: str = None,
                      folder_name: str = None,
-                     subfolder_name: str = None,
                      key: str = None,
                      local_path: Optional[str] = None,
                      keep: Optional[Literal['first', 'last']] = None
@@ -463,13 +445,11 @@ def append_df_to_csv(df: pd.DataFrame,
                                     file_type=FileTypes.CSV,
                                     local_path=local_path,
                                     folder_name=folder_name,
-                                    subfolder_name=subfolder_name,
                                     key=key)
     if os.path.isfile(file_path):  # append using format of old file
         old_df = load_df_from_csv(file_name=file_name,
                                   local_path=local_path,
                                   folder_name=folder_name,
-                                  subfolder_name=subfolder_name,
                                   key=key)
         df = pd.concat([old_df, df], axis=0)
         if keep is not None:
@@ -481,7 +461,6 @@ def append_df_to_csv(df: pd.DataFrame,
     save_df_to_csv(df=df,
                    file_name=file_name,
                    folder_name=folder_name,
-                   subfolder_name=subfolder_name,
                    key=key,
                    local_path=local_path)
 
@@ -490,7 +469,6 @@ def save_df_dict_to_csv(datasets: Dict[Union[str, Enum, NamedTuple], pd.DataFram
                         file_name: Optional[str] = None,
                         local_path: Optional[str] = None,
                         folder_name: str = None,
-                        subfolder_name: str = None,
                         add_current_date: bool = False
                         ) -> None:
     """
@@ -505,7 +483,6 @@ def save_df_dict_to_csv(datasets: Dict[Union[str, Enum, NamedTuple], pd.DataFram
                                             file_type=FileTypes.CSV,
                                             local_path=local_path,
                                             folder_name=folder_name,
-                                            subfolder_name=subfolder_name,
                                             key=key)
             data.to_csv(path_or_buf=file_path)
 
@@ -514,7 +491,6 @@ def load_df_dict_from_csv(dataset_keys: List[Union[str, Enum, NamedTuple]],
                           file_name: Optional[str],
                           local_path: Optional[str] = None,
                           folder_name: str = None,
-                          subfolder_name: str = None,
                           is_index: bool = True,
                           dayfirst: Optional[bool] = None,  # will give priority to formats where day come first
                           force_not_found_error: bool = False,
@@ -529,7 +505,6 @@ def load_df_dict_from_csv(dataset_keys: List[Union[str, Enum, NamedTuple]],
                                         file_type=FileTypes.CSV,
                                         local_path=local_path,
                                         folder_name=folder_name,
-                                        subfolder_name=subfolder_name,
                                         key=key)
         if os.path.isfile(file_path):
             data = pd.read_csv(filepath_or_buffer=file_path,
@@ -599,7 +574,6 @@ def save_df_to_feather(df: pd.DataFrame,
                        file_name: Optional[str] = None,
                        local_path: Optional[str] = None,
                        folder_name: str = None,
-                       subfolder_name: str = None,
                        key: str = None,
                        index_col: Optional[str] = INDEX_COLUMN
                        ) -> None:
@@ -611,7 +585,6 @@ def save_df_to_feather(df: pd.DataFrame,
                                     file_type=FileTypes.FEATHER,
                                     local_path=local_path,
                                     folder_name=folder_name,
-                                    subfolder_name=subfolder_name,
                                     key=key)
     if index_col is not None and index_col not in df.columns:  # index is unique and preserved
         df = df.reset_index(names=index_col)
@@ -623,7 +596,6 @@ def save_df_to_feather(df: pd.DataFrame,
 def append_df_to_feather(df: pd.DataFrame,
                          file_name: str = None,
                          folder_name: str = None,
-                         subfolder_name: str = None,
                          key: str = None,
                          local_path: Optional[str] = None,
                          keep: Optional[Literal['first', 'last']] = None,
@@ -637,13 +609,11 @@ def append_df_to_feather(df: pd.DataFrame,
                                     file_type=FileTypes.FEATHER,
                                     local_path=local_path,
                                     folder_name=folder_name,
-                                    subfolder_name=subfolder_name,
                                     key=key)
     if os.path.isfile(file_path):  # append using format of old file
         old_df = load_df_from_feather(file_name=file_name,
                                       local_path=local_path,
                                       folder_name=folder_name,
-                                      subfolder_name=subfolder_name,
                                       key=key,
                                       index_col=index_col)
         df = pd.concat([old_df, df], axis=0)
@@ -656,7 +626,6 @@ def append_df_to_feather(df: pd.DataFrame,
     save_df_to_feather(df=df,
                        file_name=file_name,
                        folder_name=folder_name,
-                       subfolder_name=subfolder_name,
                        key=key,
                        local_path=local_path,
                        index_col=index_col)
@@ -666,7 +635,6 @@ def append_df_to_feather(df: pd.DataFrame,
 def load_df_from_feather(file_name: Optional[str] = None,
                          local_path: Optional[str] = None,
                          folder_name: str = None,
-                         subfolder_name: str = None,
                          key: str = None,
                          index_col: Optional[str] = INDEX_COLUMN
                          ) -> pd.DataFrame:
@@ -677,7 +645,6 @@ def load_df_from_feather(file_name: Optional[str] = None,
                                     file_type=FileTypes.FEATHER,
                                     local_path=local_path,
                                     folder_name=folder_name,
-                                    subfolder_name=subfolder_name,
                                     key=key)
     if os.path.isfile(file_path):  # append using format of old file
         df = pd.read_feather(file_path)
@@ -695,7 +662,6 @@ def save_df_dict_to_feather(dfs: Dict[Union[str, Enum, NamedTuple], pd.DataFrame
                             file_name: Optional[str] = None,
                             local_path: Optional[str] = None,
                             folder_name: str = None,
-                            subfolder_name: str = None,
                             index_col: Optional[str] = INDEX_COLUMN
                             ) -> None:
     """
@@ -707,7 +673,6 @@ def save_df_dict_to_feather(dfs: Dict[Union[str, Enum, NamedTuple], pd.DataFrame
                                             file_type=FileTypes.FEATHER,
                                             local_path=local_path,
                                             folder_name=folder_name,
-                                            subfolder_name=subfolder_name,
                                             key=key)
             if index_col not in df.columns:
                 df = df.reset_index(names=index_col)
@@ -718,7 +683,6 @@ def load_df_dict_from_feather(dataset_keys: List[Union[str, Enum, NamedTuple]],
                               file_name: Optional[str],
                               local_path: Optional[str] = None,
                               folder_name: str = None,
-                              subfolder_name: str = None,
                               force_not_found_error: bool = False,
                               index_col: Optional[str] = INDEX_COLUMN
                               ) -> Dict[str, pd.DataFrame]:
@@ -731,7 +695,6 @@ def load_df_dict_from_feather(dataset_keys: List[Union[str, Enum, NamedTuple]],
                                         file_type=FileTypes.FEATHER,
                                         local_path=local_path,
                                         folder_name=folder_name,
-                                        subfolder_name=subfolder_name,
                                         key=key)
         if os.path.isfile(file_path):
             df = pd.read_feather(file_path)
@@ -757,7 +720,6 @@ Pandas to/from parquet core
 def save_df_to_parquet(df: pd.DataFrame,
                        file_name: str,
                        folder_name: Optional[str] = None,
-                       subfolder_name: str = None,
                        key: Optional[str] = None,
                        local_path: Optional[str] = None,
                        delocalize: bool = False
@@ -769,7 +731,6 @@ def save_df_to_parquet(df: pd.DataFrame,
                                     file_type=FileTypes.PARQUET,
                                     local_path=local_path,
                                     folder_name=folder_name,
-                                    subfolder_name=subfolder_name,
                                     key=key)
     if delocalize:
         df = delocalize_df(df)
@@ -778,7 +739,6 @@ def save_df_to_parquet(df: pd.DataFrame,
 
 def load_df_from_parquet(file_name: Optional[str],
                          folder_name: str = None,
-                         subfolder_name: str = None,
                          key: Optional[str] = None,
                          local_path: Optional[str] = None,
                          delocalize: bool = False
@@ -790,7 +750,6 @@ def load_df_from_parquet(file_name: Optional[str],
                                     file_type=FileTypes.PARQUET,
                                     local_path=local_path,
                                     folder_name=folder_name,
-                                    subfolder_name=subfolder_name,
                                     key=key)
     if os.path.isfile(file_path):
         df = pd.read_parquet(path=file_path)
@@ -805,7 +764,6 @@ def load_df_from_parquet(file_name: Optional[str],
 def save_df_dict_to_parquet(datasets: Dict[Union[str, Enum, NamedTuple], pd.DataFrame],
                             file_name: Optional[str] = None,
                             folder_name: str = None,
-                            subfolder_name: str = None,
                             local_path: Optional[str] = None,
                             delocalize: bool = False
                             ) -> None:
@@ -818,7 +776,6 @@ def save_df_dict_to_parquet(datasets: Dict[Union[str, Enum, NamedTuple], pd.Data
                                             file_type=FileTypes.PARQUET,
                                             local_path=local_path,
                                             folder_name=folder_name,
-                                            subfolder_name=subfolder_name,
                                             key=key)
             if delocalize:
                 data = delocalize_df(data)
@@ -828,7 +785,6 @@ def save_df_dict_to_parquet(datasets: Dict[Union[str, Enum, NamedTuple], pd.Data
 def load_df_dict_from_parquet(dataset_keys: List[Union[str, Enum, NamedTuple]],
                               file_name: Optional[str],
                               folder_name: str = None,
-                              subfolder_name: str = None,
                               local_path: Optional[str] = None,
                               force_not_found_error: bool = False
                               ) -> Dict[str, pd.DataFrame]:
@@ -841,7 +797,6 @@ def load_df_dict_from_parquet(dataset_keys: List[Union[str, Enum, NamedTuple]],
                                         file_type=FileTypes.PARQUET,
                                         local_path=local_path,
                                         folder_name=folder_name,
-                                        subfolder_name=subfolder_name,
                                         key=key)
         if os.path.isfile(file_path):
             pandas_dict[key] = pd.read_parquet(path=file_path)

{qis-2.1.39 → qis-2.1.41}/qis/plots/derived/perf_table.py

@@ -125,10 +125,9 @@ def plot_ra_perf_table_benchmark(prices: pd.DataFrame,
                                  fontsize: int = 10,
                                  transpose: bool = False,
                                  alpha_an_factor: float = None,
-                                 is_df_out: bool = False,
                                  ax: plt.Subplot = None,
                                  **kwargs
-                                 ) -> Union[plt.Figure, Tuple[plt.Figure, pd.DataFrame]]:
+                                 ) -> Tuple[Optional[plt.Figure], pd.DataFrame]:
     """
     plot ra perf table and get ra performance columns with data as string for tables
     """
@@ -149,10 +148,7 @@ def plot_ra_perf_table_benchmark(prices: pd.DataFrame,
                             fontsize=fontsize,
                             ax=ax,
                             **kwargs)
-    if is_df_out:
-        return fig, ra_perf_table
-    else:
-        return fig
+    return fig, ra_perf_table
 
 
 def plot_ra_perf_bars(prices: pd.DataFrame,

{qis-2.1.39 → qis-2.1.41}/qis/portfolio/multi_portfolio_data.py

@@ -207,7 +207,7 @@ class MultiPortfolioData:
         for date, pd_covar in self.covar_dict.items():
             w = weight_diffs.loc[date]
             tracking_error[date] = np.sqrt(w @ pd_covar @ w.T)
-        tracking_error = pd.Series(tracking_error)
+        tracking_error = pd.Series(tracking_error, name='Tracking error')
         return tracking_error
 
     def compute_tracking_error_table(self,
@@ -427,10 +427,9 @@ class MultiPortfolioData:
                            time_period: TimePeriod = None,
                            perf_params: PerfParams = PERF_PARAMS,
                            perf_columns: List[PerfStat] = rpt.BENCHMARK_TABLE_COLUMNS,
-                           is_df_out: bool = False,
                            ax: plt.Subplot = None,
                            **kwargs
-                           ) -> Optional[pd.DataFrame]:
+                           ) -> pd.DataFrame:
         if benchmark is None:
             benchmark = self.benchmark_prices.columns[0]
         prices = self.get_navs(time_period=time_period, benchmark=benchmark, add_benchmarks_to_navs=add_benchmarks_to_navs)
@@ -445,11 +444,9 @@ class MultiPortfolioData:
                                                               drop_benchmark=drop_benchmark,
                                                               title=ra_perf_title,
                                                               rotation_for_columns_headers=0,
-                                                              is_df_out=is_df_out,
                                                               ax=ax,
                                                               **kwargs)
-        if is_df_out:
-            return ra_perf_table
+        return ra_perf_table
 
     def plot_ac_ra_perf_table(self,
                               benchmark_price: pd.Series,

{qis-2.1.39 → qis-2.1.41}/qis/portfolio/portfolio_data.py

@@ -709,25 +709,33 @@ class PortfolioData:
     def compute_risk_contributions_implied_by_covar(self,
                                                     covar_dict: Dict[pd.Timestamp, pd.DataFrame],
                                                     group_data: pd.Series = None,
-                                                    group_order: List[str] = None
+                                                    group_order: List[str] = None,
+                                                    align_with_covar_dates: bool = True,
+                                                    freq: Optional[str] = None
                                                     ) -> pd.DataFrame:
         """
         compute risk contributions using covar_dict
         """
-        strategy_weights = self.get_weights(freq=None, is_input_weights=True)
+        strategy_weights = self.get_weights(freq=freq, is_input_weights=True)
         covar_index = list(covar_dict.keys())
-        strategy_weights = strategy_weights.reindex(index=covar_index).ffill().fillna(0.0)
         strategy_rc = {}
-        for date, pd_covar in covar_dict.items():
-            strategy_rc[date] = compute_portfolio_risk_contributions(w=strategy_weights.loc[date], covar=pd_covar)
-        strategy_rc = pd.DataFrame.from_dict(strategy_rc, orient='index')
+        if align_with_covar_dates:
+            strategy_weights = strategy_weights.reindex(index=covar_index).ffill().fillna(0.0)
+            for date, pd_covar in covar_dict.items():
+                strategy_rc[date] = compute_portfolio_risk_contributions(w=strategy_weights.loc[date], covar=pd_covar)
+        else:
+            for date, weights in strategy_weights.to_dict(orient='index').items():
+                last_covar_update_date = qis.find_upto_date_from_datetime_index(index=covar_index, date=date)
+                if last_covar_update_date is not None:
+                    strategy_rc[date] = compute_portfolio_risk_contributions(w=pd.Series(weights).fillna(0.0),
+                                                                             covar=covar_dict[last_covar_update_date])
 
+        strategy_rc = pd.DataFrame.from_dict(strategy_rc, orient='index')
         if group_data is not None:
             strategy_rc = dfg.agg_df_by_groups_ax1(strategy_rc, group_data=group_data, group_order=group_order)
 
         return strategy_rc
 
-
     # """
     # plotting methods
     # """