qis 3.0.1__tar.gz → 3.0.2__tar.gz

{qis-3.0.1 → qis-3.0.2}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: qis
-Version: 3.0.1
+Version: 3.0.2
 Summary: Implementation of visualisation and reporting analytics for Quantitative Investment Strategies
 License: LICENSE.txt
 Keywords: quantitative,investing,portfolio optimization,systematic strategies,volatility
@@ -135,7 +135,7 @@ import qis
 
 # define tickers and fetch price data
 tickers = ['SPY', 'QQQ', 'EEM', 'TLT', 'IEF', 'SHY', 'LQD', 'HYG', 'GLD']
-prices = yf.download(tickers, start=None, end=None)['Adj Close'][tickers].dropna()
+prices = yf.download(tickers, start=None, end=None)['Close'][tickers].dropna()
 
 # plotting price data with minimum usage
 with sns.axes_style("darkgrid"):
@@ -153,7 +153,7 @@ with sns.axes_style("darkgrid"):
 
 ```python 
 # plot risk-adjusted performance table with excess Sharpe ratio
-ust_3m_rate = yf.download('^IRX', start=None, end=None)['Adj Close'].dropna() / 100.0
+ust_3m_rate = yf.download('^IRX', start=None, end=None)['Close'].dropna() / 100.0
 # set parameters for computing performance stats including returns vols and regressions
 perf_params = qis.PerfParams(freq='ME', freq_reg='QE', alpha_an_factor=4.0, rates_data=ust_3m_rate)
 # perf_columns is list to display different perfomance metrics from enumeration PerfStat

{qis-3.0.1 → qis-3.0.2}/README.md

@@ -85,7 +85,7 @@ import qis
 
 # define tickers and fetch price data
 tickers = ['SPY', 'QQQ', 'EEM', 'TLT', 'IEF', 'SHY', 'LQD', 'HYG', 'GLD']
-prices = yf.download(tickers, start=None, end=None)['Adj Close'][tickers].dropna()
+prices = yf.download(tickers, start=None, end=None)['Close'][tickers].dropna()
 
 # plotting price data with minimum usage
 with sns.axes_style("darkgrid"):
@@ -103,7 +103,7 @@ with sns.axes_style("darkgrid"):
 
 ```python 
 # plot risk-adjusted performance table with excess Sharpe ratio
-ust_3m_rate = yf.download('^IRX', start=None, end=None)['Adj Close'].dropna() / 100.0
+ust_3m_rate = yf.download('^IRX', start=None, end=None)['Close'].dropna() / 100.0
 # set parameters for computing performance stats including returns vols and regressions
 perf_params = qis.PerfParams(freq='ME', freq_reg='QE', alpha_an_factor=4.0, rates_data=ust_3m_rate)
 # perf_columns is list to display different perfomance metrics from enumeration PerfStat

{qis-3.0.1 → qis-3.0.2}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "qis"
-version = "3.0.1"
+version = "3.0.2"
 description = "Implementation of visualisation and reporting analytics for Quantitative Investment Strategies"
 license = "LICENSE.txt"
 authors = ["Artur Sepp <artursepp@gmail.com>"]

{qis-3.0.1 → qis-3.0.2}/qis/examples/best_returns.py

@@ -73,7 +73,7 @@ class UnitTests(Enum):
 def run_unit_test(unit_test: UnitTests):
 
     ticker = 'SPY'
-    prices = yf.download(ticker, start=None, end=None)['Adj Close'].rename(ticker)
+    prices = yf.download(ticker, start=None, end=None)['Close'].rename(ticker)
 
     freq = 'ME'
     wo_type = WoType.BEST

{qis-3.0.1 → qis-3.0.2}/qis/examples/bootstrap_analysis.py

@@ -165,7 +165,7 @@ def run_unit_test(unit_test: UnitTests):
     LOCAL_PATH = "C://Users//artur//OneDrive//analytics//outputs//"
 
     # download spy prices
-    prices = yf.download(tickers=['SPY'], start=None, end=None, ignore_tz=True)['Adj Close'].rename('Realised')
+    prices = yf.download(tickers=['SPY'], start=None, end=None, ignore_tz=True)['Close'].rename('Realised')
 
     if unit_test == UnitTests.PLOT_BOOTSRAPPED_PRICES:
         # use small number of num_samples for illustration

{qis-3.0.1 → qis-3.0.2}/qis/examples/boxplot_conditional_returns.py

@@ -15,7 +15,7 @@ def run_unit_test(unit_test: UnitTests):
     if unit_test == UnitTests.RETURNS_BOXPLOT:
         asset = 'SPY'
         regime_benchmark = '^VIX'
-        prices = yf.download([asset, regime_benchmark], start=None, end=None)['Adj Close'].dropna()
+        prices = yf.download([asset, regime_benchmark], start=None, end=None)['Close'].dropna()
         prices = prices.asfreq('W-FRI', method='ffill')
         data = pd.concat([prices[asset].pct_change(),  # use returns over (t_0, t_1]
                           prices[regime_benchmark].shift(1)  # use level at t_0

{qis-3.0.1 → qis-3.0.2}/qis/examples/btc_asset_corr.py

@@ -13,7 +13,7 @@ ASSET = 'QQQ'
 CRYPTO = 'BTC-USD'
 tickers = [ASSET, CRYPTO]
 # fetch yahoo data
-prices = yf.download(tickers, start=None, end=None)['Adj Close'][tickers]
+prices = yf.download(tickers, start=None, end=None)['Close'][tickers]
 # resample to business days
 prices = prices.asfreq('B', method='ffill').dropna()
 # % returns

{qis-3.0.1 → qis-3.0.2}/qis/examples/constant_notional.py

@@ -16,7 +16,7 @@ import qis
 
 # load dprice data for given ticker
 ticker = 'SPY'
-price = yf.download(ticker, start=None, end=None)['Adj Close'].rename(ticker)
+price = yf.download(ticker, start=None, end=None)['Close'].rename(ticker)
 price = price.loc['2016':]
 price_np = price.to_numpy()
 

{qis-3.0.1 → qis-3.0.2}/qis/examples/constant_weight_portfolios.py

@@ -8,7 +8,7 @@ import yfinance as yf
 
 tickers_weights = dict(SPY=0.6, IEF=0.4)
 tickers = list(tickers_weights.keys())
-prices = yf.download(tickers, start=None, end=None)['Adj Close'][tickers]
+prices = yf.download(tickers, start=None, end=None)['Close'][tickers]
 prices = prices.asfreq('B', method='ffill').dropna()
 
 balanced_60_40a = qis.backtest_model_portfolio(prices=prices, weights=tickers_weights, rebalance_freq='QE',

{qis-3.0.1 → qis-3.0.2}/qis/examples/core/price_plots.py

@@ -96,7 +96,7 @@ class UnitTests(Enum):
 
 def run_unit_test(unit_test: UnitTests):
 
-    ust_3m_rate = yf.download('^IRX', start=None, end=None)['Adj Close'].dropna() / 100.0
+    ust_3m_rate = yf.download('^IRX', start=None, end=None)['Close'].dropna() / 100.0
 
     if unit_test == UnitTests.ETF_DATA:
         regime_benchmark_str = 'SPY'
@@ -140,7 +140,7 @@ def run_unit_test(unit_test: UnitTests):
         perf_params = qis.PerfParams(freq='W-WED', freq_reg='W-WED', freq_drawdown='B', rates_data=ust_3m_rate, alpha_an_factor=52)
         kwargs = dict(x_date_freq='ME', heatmap_freq='ME', date_format='%b-%y', perf_params=perf_params)
 
-    prices = yf.download(tickers, start=None, end=None)['Adj Close'][tickers].dropna()
+    prices = yf.download(tickers, start=None, end=None)['Close'][tickers].dropna()
 
     if time_period is not None:
         prices = time_period.locate(prices)

{qis-3.0.1 → qis-3.0.2}/qis/examples/factsheets/multi_assets.py

@@ -83,7 +83,7 @@ def run_unit_test(unit_test: UnitTests):
         raise NotImplementedError
 
     if prices is None:
-        prices = yf.download(tickers=tickers, start=None, end=None, ignore_tz=True)['Adj Close'][tickers]
+        prices = yf.download(tickers=tickers, start=None, end=None, ignore_tz=True)['Close'][tickers]
 
     prices = prices.asfreq('B', method='ffill')  # make B frequency
     prices = prices.dropna()

{qis-3.0.1 → qis-3.0.2}/qis/examples/factsheets/multi_strategy.py

@@ -25,7 +25,7 @@ def fetch_universe_data() -> Tuple[pd.DataFrame, pd.DataFrame, pd.Series]:
                          GLD='Gold')
     tickers = list(universe_data.keys())
     group_data = pd.Series(universe_data)  # for portfolio reporting
-    prices = yf.download(tickers=tickers, start=None, end=None, ignore_tz=True)['Adj Close'][tickers]
+    prices = yf.download(tickers=tickers, start=None, end=None, ignore_tz=True)['Close'][tickers]
     prices = prices.asfreq('B', method='ffill')
     benchmark_prices = prices[['SPY', 'TLT']]
     return prices, benchmark_prices, group_data

{qis-3.0.1 → qis-3.0.2}/qis/examples/factsheets/pyblogs_reports.py

@@ -26,7 +26,7 @@ def fetch_riskparity_universe_data() -> Tuple[pd.DataFrame, pd.DataFrame, pd.Ser
                          GLD='Gold')
     tickers = list(universe_data.keys())
     group_data = pd.Series(universe_data)  # for portfolio reporting
-    prices = yf.download(tickers=tickers, start=None, end=None, ignore_tz=True)['Adj Close'][tickers]
+    prices = yf.download(tickers=tickers, start=None, end=None, ignore_tz=True)['Close'][tickers]
     prices = prices.asfreq('B', method='ffill').loc['2003': ]
     benchmark_prices = prices[['SPY', 'TLT']]
     return prices, benchmark_prices, group_data

{qis-3.0.1 → qis-3.0.2}/qis/examples/factsheets/strategy.py

@@ -22,7 +22,7 @@ def fetch_universe_data() -> Tuple[pd.DataFrame, pd.DataFrame, pd.Series]:
                          GLD='Gold')
     tickers = list(universe_data.keys())
     group_data = pd.Series(universe_data)  # for portfolio reporting
-    prices = yf.download(tickers=tickers, start=None, end=None, ignore_tz=True)['Adj Close'][tickers]
+    prices = yf.download(tickers=tickers, start=None, end=None, ignore_tz=True)['Close'][tickers]
     prices = prices.asfreq('B', method='ffill')  # make B frequency
     benchmark_prices = prices[['SPY', 'TLT']]
     return prices, benchmark_prices, group_data
@@ -36,7 +36,7 @@ def fetch_equity_bond() -> Tuple[pd.DataFrame, pd.DataFrame, pd.Series]:
                          IEF='Bonds')
     tickers = list(universe_data.keys())
     group_data = pd.Series(universe_data)  # for portfolio reporting
-    prices = yf.download(tickers=tickers, start=None, end=None, ignore_tz=True)['Adj Close'][tickers]
+    prices = yf.download(tickers=tickers, start=None, end=None, ignore_tz=True)['Close'][tickers]
     benchmark_prices = prices[['SPY', 'IEF']]
     return prices, benchmark_prices, group_data
 

{qis-3.0.1 → qis-3.0.2}/qis/examples/factsheets/strategy_benchmark.py

@@ -34,7 +34,7 @@ def fetch_universe_data() -> Tuple[pd.DataFrame, pd.DataFrame, pd.Series]:
                          GLD='Gold')
     tickers = list(universe_data.keys())
     group_data = pd.Series(universe_data)  # for portfolio reporting
-    prices = yf.download(tickers=tickers, start=None, end=None, ignore_tz=True)['Adj Close'][tickers]
+    prices = yf.download(tickers=tickers, start=None, end=None, ignore_tz=True)['Close'][tickers]
     prices = prices.asfreq('B', method='ffill')
     benchmark_prices = prices[['SPY', 'TLT']]
     return prices, benchmark_prices, group_data

{qis-3.0.1 → qis-3.0.2}/qis/examples/interpolation_infrequent_returns.py

@@ -25,7 +25,7 @@ def run_unit_test(unit_test: UnitTests):
         pivot = 'SPY'
         asset = 'QQQ'
         tickers = [pivot, asset]
-        prices = yf.download(tickers=tickers, start=None, end=None)['Adj Close']
+        prices = yf.download(tickers=tickers, start=None, end=None)['Close']
 
     elif unit_test == UnitTests.BBG:
         from bbg_fetch import fetch_field_timeseries_per_tickers

{qis-3.0.1 → qis-3.0.2}/qis/examples/leveraged_strategies.py

@@ -13,7 +13,7 @@ benchmark = 'SPY'
 tickers = [benchmark, 'SSO', 'IEF']
 
 # fetch prices
-prices = yf.download(tickers=tickers, start=None, end=None, ignore_tz=True)['Adj Close'][tickers]
+prices = yf.download(tickers=tickers, start=None, end=None, ignore_tz=True)['Close'][tickers]
 prices = prices.asfreq('B', method='ffill').dropna()  # make B frequency
 
 rebalance_freq = 'B'  # each business day
@@ -27,7 +27,7 @@ unleveraged_portfolio = qis.backtest_model_portfolio(prices=prices[['SSO', 'IEF'
                                                      ticker='50/50 SSO/IEF').get_portfolio_nav()
 
 # leveraged is funded at 100bp + 3m UST
-funding_rate = 0.01 + yf.download('^IRX', start=None, end=None)['Adj Close'].dropna() / 100.0
+funding_rate = 0.01 + yf.download('^IRX', start=None, end=None)['Close'].dropna() / 100.0
 leveraged_portfolio = qis.backtest_model_portfolio(prices=prices[['SPY', 'IEF']],
                                                    weights={'SPY': 1.0, 'IEF': 0.5},
                                                    rebalance_freq=rebalance_freq,

{qis-3.0.1 → qis-3.0.2}/qis/examples/long_short.py

@@ -24,13 +24,13 @@ def run_unit_test(unit_test: UnitTests):
     time_period = TimePeriod('31Dec2021', '19Sep2022')
 
     if unit_test == UnitTests.LONG_IEF_SHORT_LQD:
-        prices = yf.download(tickers=['IEF', 'LQD', 'LQDH', 'IGIB'], start=None, end=None)['Adj Close']
+        prices = yf.download(tickers=['IEF', 'LQD', 'LQDH', 'IGIB'], start=None, end=None)['Close']
         prices = time_period.locate(prices)
         rets = qis.to_returns(prices=prices, is_first_zero=True)
         navs1 = qis.returns_to_nav(returns=4.0*(rets.iloc[:, 0] - rets.iloc[:, 1]).rename('4x(Long 10y ETF / Short IG ETF)'))
         navs2 = qis.returns_to_nav(returns=-4.0*rets.iloc[:, 2].rename('4x(Short LQDH)'))
         navs3 = qis.returns_to_nav(returns=4.0*(0.5*rets.iloc[:, 0] - rets.iloc[:, 3]).rename('4x(Long 10y ETF / Short IGIB)'))
-        spy = time_period.locate(yf.download(tickers=['SPY'])['Adj Close'])
+        spy = time_period.locate(yf.download(tickers=['SPY'])['Close'])
         prices2 = pd.concat([navs1, navs2, navs3, spy], axis=1)
 
         with sns.axes_style('darkgrid'):

{qis-3.0.1 → qis-3.0.2}/qis/examples/overnight_returns.py

@@ -14,9 +14,9 @@ def compute_returns(ticker: str = 'SPY', time_period: qis.TimePeriod = None) ->
     if time_period is not None:
         ohlc_data = time_period.locate(ohlc_data)
     # need to adjust open price for dividends
-    adjustment_ratio = ohlc_data['Adj Close'] / ohlc_data['Close']
+    adjustment_ratio = ohlc_data['Close'] / ohlc_data['Close']
     adjusted_open = adjustment_ratio.multiply(ohlc_data['Open'])
-    adjusted_close = ohlc_data['Adj Close']
+    adjusted_close = ohlc_data['Close']
     overnight_return = adjusted_open.divide(adjusted_close.shift(1)) - 1.0
     intraday_return = adjusted_close.divide(adjusted_open) - 1.0
     close_to_close_return = adjusted_close.divide(adjusted_close.shift(1)) - 1.0

{qis-3.0.1 → qis-3.0.2}/qis/examples/perf_external_assets.py

@@ -15,14 +15,14 @@ import qis
 svrpo = qis.load_df_from_csv(file_name='SVRPO_History', local_path=qis.get_resource_path())
 # spy etf as benchmark
 benchmark = 'SPY'
-spy = yf.download([benchmark], start=None, end=None)['Adj Close'].rename(benchmark)
+spy = yf.download([benchmark], start=None, end=None)['Close'].rename(benchmark)
 # merge
 prices = pd.concat([spy, svrpo], axis=1).dropna()
 # take last 3 years
 prices = prices.loc['2020':, :]
 
 # set parameters for computing performance stats including returns vols and regressions
-ust_3m_rate = yf.download('^IRX', start=None, end=None)['Adj Close'].dropna() / 100.0
+ust_3m_rate = yf.download('^IRX', start=None, end=None)['Close'].dropna() / 100.0
 perf_params = qis.PerfParams(freq='ME', freq_reg='W-WED', alpha_an_factor=52.0, rates_data=ust_3m_rate)
 
 # price perf

{qis-3.0.1 → qis-3.0.2}/qis/examples/readme_performances.py

@@ -7,7 +7,7 @@ import qis as qis
 
 # define tickers and fetch price data
 tickers = ['SPY', 'QQQ', 'EEM', 'TLT', 'IEF', 'SHY', 'LQD', 'HYG', 'GLD']
-prices = yf.download(tickers, start=None, end=None)['Adj Close'][tickers].dropna()
+prices = yf.download(tickers, start=None, end=None)['Close'][tickers].dropna()
 
 # minimum usage
 with sns.axes_style("darkgrid"):
@@ -28,7 +28,7 @@ qis.save_fig(fig, file_name='perf2', local_path="figures/")
 # risk-adjusted performance table with specified data entries
 # add rates for excess Sharpe
 from qis import PerfStat
-ust_3m_rate = yf.download('^IRX', start=None, end=None)['Adj Close'].dropna() / 100.0
+ust_3m_rate = yf.download('^IRX', start=None, end=None)['Close'].dropna() / 100.0
 
 # set parameters for computing performance stats including returns vols and regressions
 perf_params = qis.PerfParams(freq='ME', freq_reg='QE', alpha_an_factor=4.0, rates_data=ust_3m_rate)

{qis-3.0.1 → qis-3.0.2}/qis/examples/risk_return_frontier.py

@@ -22,10 +22,10 @@ bond_etfs = {'SHV': '3m UST',
              }
 # fetch prices and rename to dict values
 tickers = list(bond_etfs.keys())
-prices = yf.download(tickers, start=None, end=None)['Adj Close'][tickers].rename(bond_etfs, axis=1)
+prices = yf.download(tickers, start=None, end=None)['Close'][tickers].rename(bond_etfs, axis=1)
 
 # set parameters for computing performance stats including returns vols and regressions
-ust_3m_rate = yf.download('^IRX', start=None, end=None)['Adj Close'].dropna() / 100.0
+ust_3m_rate = yf.download('^IRX', start=None, end=None)['Close'].dropna() / 100.0
 perf_params = qis.PerfParams(freq='W-WED', rates_data=ust_3m_rate)
 
 # time period for performance measurement

{qis-3.0.1 → qis-3.0.2}/qis/examples/seasonality.py

@@ -8,7 +8,7 @@ import qis
 tickers = ['SPY', 'TLT', 'GLD']
 
 # fetch prices
-prices = yf.download(tickers=tickers, start=None, end=None, ignore_tz=True)['Adj Close'][tickers]
+prices = yf.download(tickers=tickers, start=None, end=None, ignore_tz=True)['Close'][tickers]
 prices = prices.asfreq('B', method='ffill').dropna() # make B frequency
 returns = qis.to_returns(prices, freq='ME', drop_first=True)
 returns['month'] = returns.index.month

{qis-3.0.1 → qis-3.0.2}/qis/examples/sharpe_vs_sortino.py

@@ -7,7 +7,7 @@ from qis import PerfStat
 
 # define tickers and fetch price data
 tickers = ['SPY', 'QQQ', 'EEM', 'TLT', 'IEF', 'SHY', 'LQD', 'HYG', 'GLD']
-prices = yf.download(tickers, start=None, end=None)['Adj Close'][tickers].dropna()
+prices = yf.download(tickers, start=None, end=None)['Close'][tickers].dropna()
 
 # define frequencies for vol computations
 freqs = ['B', 'W-WED', 'ME', 'QE']

{qis-3.0.1 → qis-3.0.2}/qis/examples/simulate_quant_strats.py

@@ -226,7 +226,7 @@ def run_unit_test(unit_test: UnitTests):
     import yfinance as yf
 
     if unit_test == UnitTests.BTC_SIMULATION:
-        prices = yf.download(tickers=['BTC-USD'], start=None, end=None)['Adj Close'].rename('BTC').dropna()
+        prices = yf.download(tickers=['BTC-USD'], start=None, end=None)['Close'].rename('BTC').dropna()
 
         time_period = qis.TimePeriod('31Dec2015', '21Jun2023')
         figs = create_time_series_report(prices=prices, time_period=time_period, vol_target=0.5, vol_af=360)
@@ -234,7 +234,7 @@ def run_unit_test(unit_test: UnitTests):
                             add_current_date=True, local_path=None)
 
     elif unit_test == UnitTests.SPY_SIMULATION:
-        prices = yf.download(tickers=['SPY'], start=None, end=None)['Adj Close'].rename('SPY').dropna()
+        prices = yf.download(tickers=['SPY'], start=None, end=None)['Close'].rename('SPY').dropna()
         time_period = qis.TimePeriod('31Dec2019', '15Aug2024')
         figs = create_time_series_report(prices=prices, time_period=time_period, vol_target=0.15, vol_af=260)
         fu.save_figs_to_pdf(figs=figs, file_name='spy_analysis', orientation='landscape',

{qis-3.0.1 → qis-3.0.2}/qis/examples/try_pybloqs.py

@@ -131,7 +131,7 @@ class UnitTests(Enum):
 
 def run_unit_test(unit_test: UnitTests):
 
-    ust_3m_rate = yf.download('^IRX', start=None, end=None)['Adj Close'].dropna() / 100.0
+    ust_3m_rate = yf.download('^IRX', start=None, end=None)['Close'].dropna() / 100.0
 
     if unit_test == UnitTests.ETF_DATA:
         regime_benchmark_str = 'SPY'
@@ -154,7 +154,7 @@ def run_unit_test(unit_test: UnitTests):
         perf_params = qis.PerfParams(freq='W-WED', freq_reg='W-WED', freq_drawdown='B', rates_data=ust_3m_rate)
         kwargs = dict(x_date_freq='ME', heatmap_freq='ME', date_format='%b-%y', perf_params=perf_params)
 
-    prices = yf.download(tickers, start=None, end=None)['Adj Close'].dropna()
+    prices = yf.download(tickers, start=None, end=None)['Close'].dropna()
 
     if time_period is not None:
         prices = time_period.locate(prices)

{qis-3.0.1 → qis-3.0.2}/qis/examples/universe_corrs.py

@@ -11,7 +11,7 @@ class UnitTests(Enum):
 def run_unit_test(unit_test: UnitTests):
 
     tickers = ['SPY', 'QQQ', 'TLT', 'GLD']
-    prices = yf.download(tickers, start=None, end=None)['Adj Close'][tickers].dropna()
+    prices = yf.download(tickers, start=None, end=None)['Close'][tickers].dropna()
 
     if unit_test == UnitTests.CORR1:
         fig, ax = plt.subplots(1, 1, figsize=(7, 7), tight_layout=True)

{qis-3.0.1 → qis-3.0.2}/qis/examples/vix_beta_to_equities_bonds.py

@@ -9,10 +9,10 @@ import qis
 from qis import PortfolioData
 
 # load VIX ETH
-vix = yf.download(tickers=['VXX'], start=None, end=None, ignore_tz=True)['Adj Close'].asfreq('B', method='ffill').rename('Long VIX ETF')
+vix = yf.download(tickers=['VXX'], start=None, end=None, ignore_tz=True)['Close'].asfreq('B', method='ffill').rename('Long VIX ETF')
 
 # load becnhmarks benchmarks
-benchmark_prices = yf.download(tickers=['SPY', 'TLT'], start=None, end=None, ignore_tz=True)['Adj Close'].asfreq('B', method='ffill')
+benchmark_prices = yf.download(tickers=['SPY', 'TLT'], start=None, end=None, ignore_tz=True)['Close'].asfreq('B', method='ffill')
 
 # create long-only portfolio using vix nav
 vix_portfolio = PortfolioData(nav=vix)
@@ -20,7 +20,7 @@ vix_portfolio = PortfolioData(nav=vix)
 # set timeperiod for analysis
 time_period = qis.TimePeriod('31Dec2021', None)
 perf_params = qis.PerfParams(freq='W-WED', freq_reg='W-WED', alpha_an_factor=52.0,
-                             rates_data=yf.download('^IRX', start=None, end=None)['Adj Close'].dropna() / 100.0)
+                             rates_data=yf.download('^IRX', start=None, end=None)['Close'].dropna() / 100.0)
 regime_params = qis.BenchmarkReturnsQuantileRegimeSpecs(freq='ME')
 
 prices = pd.concat([vix, benchmark_prices], axis=1).sort_index().dropna()

{qis-3.0.1 → qis-3.0.2}/qis/examples/vix_spy_by_year.py

@@ -81,7 +81,7 @@ def run_unit_test(unit_test: UnitTests):
     time_period = qis.TimePeriod('01Jan1996', None)
 
     if unit_test == UnitTests.VIX_SPY:
-        prices = yf.download(['SPY', '^VIX'], start=None, end=None)['Adj Close']
+        prices = yf.download(['SPY', '^VIX'], start=None, end=None)['Close']
         fig = plot_vol_vs_underlying(spot=prices['SPY'].rename('S&P500'),
                                      vol=prices['^VIX'].rename('VIX'),
                                      time_period=time_period)

{qis-3.0.1 → qis-3.0.2}/qis/plots/reports/econ_data_single.py

@@ -170,20 +170,17 @@ class UnitTests(Enum):
 def run_unit_test(unit_test: UnitTests):
 
     import matplotlib.pyplot as plt
-    import futures_strats.local_path as lp
-    local_path = lp.get_resource_path()
-
     if unit_test == UnitTests.UPDATE_DATA:
         from bbg_fetch import fetch_field_timeseries_per_tickers
         vix_tickers = ['VIX1D Index', 'VIX9D Index', 'VIX Index', 'VIX3M Index', 'VIX6M Index', 'VIX1Y Index']
         vols = 0.01 * fetch_field_timeseries_per_tickers(tickers=vix_tickers, field='PX_LAST', CshAdjNormal=True)
         print(vols)
-        qis.save_df_to_csv(df=vols, file_name='vix_indices', local_path=local_path)
+        qis.save_df_to_csv(df=vols, file_name='vix_indices')
 
     elif unit_test == UnitTests.RUN_REPORT:
-        df = qis.load_df_from_csv(file_name='vix_indices', local_path=local_path)
+        df = qis.load_df_from_csv(file_name='vix_indices')
         figs = econ_data_report(data=df)
-        qis.save_figs_to_pdf(figs, file_name='vix_indices', local_path=local_path)
+        qis.save_figs_to_pdf(figs, file_name='vix_indices')
 
     plt.show()
 

{qis-3.0.1 → qis-3.0.2}/qis/portfolio/reports/config.py

@@ -138,7 +138,7 @@ def fetch_factsheet_config_kwargs(factsheet_config: FactsheetConfig = FACTSHEET_
     """
     rates_data = None
     if add_rates_data:
-        rates_data = yf.download('^IRX', start=None, end=None)['Adj Close'].dropna() / 100.0
+        rates_data = yf.download('^IRX', start=None, end=None)['Close'].dropna() / 100.0
         if rates_data.empty:  # if online
             rates_data = None
 
@@ -166,7 +166,7 @@ def fetch_default_perf_params() -> Tuple[PerfParams, BenchmarkReturnsQuantileReg
     """
     by default we use 3m US rate
     """
-    rates_data = yf.download('^IRX', start=None, end=None)['Adj Close'].dropna() / 100.0
+    rates_data = yf.download('^IRX', start=None, end=None)['Close'].dropna() / 100.0
     if rates_data.empty:  # if online
         rates_data = None
     perf_params = PerfParams(freq='W-WED', freq_reg='W-WED', rates_data=rates_data)

{qis-3.0.1 → qis-3.0.2}/qis/test_data.py

@@ -28,7 +28,7 @@ def run_unit_test(unit_test: UnitTests):
     if unit_test == UnitTests.ETF_PRICES:
         prices = yf.download(tickers=['SPY', 'QQQ', 'EEM', 'TLT', 'IEF', 'LQD', 'HYG', 'SHY', 'GLD'],
                              start=None, end=None,
-                             ignore_tz=True)['Adj Close']
+                             ignore_tz=True)['Close']
         print(prices)
         fu.save_df_to_csv(df=prices, file_name='etf_prices', local_path=RESOURCE_PATH)