qis 3.0.3__tar.gz → 3.0.4__tar.gz

{qis-3.0.3 → qis-3.0.4}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: qis
-Version: 3.0.3
+Version: 3.0.4
 Summary: Implementation of visualisation and reporting analytics for Quantitative Investment Strategies
 License: LICENSE.txt
 Keywords: quantitative,investing,portfolio optimization,systematic strategies,volatility

{qis-3.0.3 → qis-3.0.4}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "qis"
-version = "3.0.3"
+version = "3.0.4"
 description = "Implementation of visualisation and reporting analytics for Quantitative Investment Strategies"
 license = "LICENSE.txt"
 authors = ["Artur Sepp <artursepp@gmail.com>"]

{qis-3.0.3 → qis-3.0.4}/qis/portfolio/ewm_portfolio_risk.py

@@ -217,7 +217,13 @@ def compute_portfolio_independent_var_by_ac(prices: pd.DataFrame,
 def compute_portfolio_risk_contributions(w: Union[np.ndarray, pd.Series],
                                          covar: Union[np.ndarray, pd.DataFrame]
                                          ) -> Union[np.ndarray, pd.Series]:
+    if isinstance(covar, pd.DataFrame) and isinstance(w, pd.Series):  # make sure weights are alined
+        w = w.reindex(index=covar.index).fillna(0.0)
+    elif isinstance(covar, np.ndarray) and isinstance(w, np.ndarray):
+        assert covar.shape[0] == covar.shape[1] == w.shape[0]
+    else:
+        raise ValueError(f"unnsuported types {type(w)} and {type(covar)}")
     portfolio_vol = np.sqrt(w.T @ covar @ w)
     marginal_risk_contribution = covar @ w.T
     rc = np.multiply(marginal_risk_contribution, w) / portfolio_vol
-    return rc
+    return rc

{qis-3.0.3 → qis-3.0.4}/qis/settings.yaml

@@ -17,4 +17,3 @@ OUTPUT_PATH:
 
 AWS_POSTGRES:
   ""
-

{qis-3.0.3 → qis-3.0.4}/qis/utils/np_ops.py

@@ -249,14 +249,13 @@ def to_finite_ratio(x: Union[pd.Series, pd.DataFrame, np.ndarray],
     return x_y
 
 
-@njit
-def covar_to_corr(covar: np.ndarray) -> np.ndarray:
+def covar_to_corr(covar: Union[np.ndarray, pd.DataFrame]) -> Union[np.ndarray, pd.DataFrame]:
     """
     compute correlation out of covariance
     """
     inv_vol = np.reciprocal(np.sqrt(np.diag(covar)))
     norm = np.outer(inv_vol, inv_vol)
-    covar *= norm
+    covar = covar.multiply(norm)
     return covar