qis 3.1.3__tar.gz → 3.1.4__tar.gz

{qis-3.1.3 → qis-3.1.4}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: qis
-Version: 3.1.3
+Version: 3.1.4
 Summary: Implementation of visualisation and reporting analytics for Quantitative Investment Strategies
 License: LICENSE.txt
 Keywords: quantitative,investing,portfolio optimization,systematic strategies,volatility

{qis-3.1.3 → qis-3.1.4}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "qis"
-version = "3.1.3"
+version = "3.1.4"
 description = "Implementation of visualisation and reporting analytics for Quantitative Investment Strategies"
 license = "LICENSE.txt"
 authors = ["Artur Sepp <artursepp@gmail.com>"]

{qis-3.1.3 → qis-3.1.4}/qis/plots/bars.py

@@ -217,7 +217,7 @@ def plot_bars(df: Union[pd.DataFrame, pd.Series],
     return fig
 
 
-def plot_vbars(df: pd.DataFrame,
+def plot_vbars(df: Union[pd.DataFrame, pd.Series],
                title: Optional[str] = None,
                fontsize: int = 10,
                add_bar_values: bool = True,
@@ -244,6 +244,8 @@ def plot_vbars(df: pd.DataFrame,
                **kwargs
                ) -> plt.Figure:
 
+    if isinstance(df, pd.Series):
+        df = df.to_frame()
     category_names = df.columns.to_list()
 
     if add_total_to_index and totals is not None:
@@ -516,7 +518,7 @@ def run_unit_test(unit_test: UnitTests):
 
 if __name__ == '__main__':
 
-    unit_test = UnitTests.BARS
+    unit_test = UnitTests.VBAR_WEIGHTS
 
     is_run_all_tests = False
     if is_run_all_tests:

{qis-3.1.3 → qis-3.1.4}/qis/plots/table.py

@@ -49,6 +49,7 @@ def plot_df_table(df: pd.DataFrame,
                   data_colors: List[Tuple[float, float, float]] = None,
                   diagonal_color: str = None,
                   rows_edge_lines: List[int] = None,
+                  rows_edge_color: str = 'blue',
                   columns_edge_lines: List[Tuple[int, str]] = None,
                   bold_font: bool = False,
                   linewidth: float = 0.5,  # table borders
@@ -211,7 +212,7 @@ def plot_df_table(df: pd.DataFrame,
 
     if rows_edge_lines is not None:
         for rows_edge_line in rows_edge_lines:
-            ax.axhline(y=rows_edge_line, color='black', alpha=0.5*alpha, lw=0.75)
+            ax.axhline(y=rows_edge_line, color=rows_edge_color, alpha=0.5*alpha, lw=0.75)
 
     if columns_edge_lines is not None:
         for columns_edge_line in columns_edge_lines:

{qis-3.1.3 → qis-3.1.4}/qis/portfolio/portfolio_data.py

@@ -80,6 +80,7 @@ class PortfolioData:
     benchmark_prices: pd.DataFrame = None  # can pass benchmark prices here
     ticker: str = None
     strategy_signal_data: StrategySignalData = None
+    covar_dict: Dict[pd.Timestamp, pd.DataFrame] = None  # for computing risk contributions
 
     def __post_init__(self):
         if isinstance(self.nav, pd.DataFrame):
@@ -715,7 +716,7 @@ class PortfolioData:
         return portfolio_vars, instrument_vars
 
     def compute_risk_contributions_implied_by_covar(self,
-                                                    covar_dict: Dict[pd.Timestamp, pd.DataFrame],
+                                                    covar_dict: Dict[pd.Timestamp, pd.DataFrame] = None,
                                                     group_data: pd.Series = None,
                                                     group_order: List[str] = None,
                                                     align_with_covar_dates: bool = True,
@@ -725,6 +726,11 @@ class PortfolioData:
         """
         compute risk contributions using covar_dict
         """
+        if covar_dict is None:
+            if self.covar_dict is None:
+                raise ValueError(f"must provide covar_dict")
+            else:
+                covar_dict = self.covar_dict
         strategy_weights = self.get_weights(freq=freq, is_input_weights=True)
         covar_index = list(covar_dict.keys())
         strategy_rc = {}
@@ -1236,10 +1242,13 @@ class PortfolioData:
                              add_top_bar_values: Optional[bool] = None,
                              time_period: TimePeriod = None,
                              title: str = None,
+                             group_data: pd.Series = None,
+                             group_order: List[str] = None,
                              ax: plt.Subplot = None,
                              **kwargs
                              ) -> None:
-        weights = self.get_weights(is_input_weights=True, freq=None, is_grouped=is_grouped)
+        weights = self.get_weights(is_input_weights=True, freq=None, is_grouped=is_grouped,
+                                   group_data=group_data, group_order=group_order)
         if time_period is not None:
             weights_1 = time_period.locate(weights)
             if len(weights_1.index) > 0:
@@ -1456,6 +1465,7 @@ class PortfolioData:
                        ax=axs[1],
                        **kwargs)
 
+
 @dataclass
 class StrategySignalData:
     """

{qis-3.1.3 → qis-3.1.4}/qis/portfolio/reports/strategy_benchmark_factsheet.py

@@ -566,9 +566,9 @@ def weights_tracking_error_report_by_ac_subac(multi_portfolio_data: MultiPortfol
         # benchmark weights
         benchmark_data = multi_portfolio_data.portfolio_datas[benchmark_idx]
         benchmark_ticker = benchmark_data.ticker
-        benchmark_exposures_ac = benchmark_data.get_weights(group_data=ac_group_data, group_order=sub_ac_group_order,
+        benchmark_exposures_ac = benchmark_data.get_weights(group_data=ac_group_data, group_order=ac_group_order,
                                                             **weight_kwargs)
-        benchmark_exposures_subac = benchmark_data.get_weights(group_data=sub_ac_group_data, group_order=ac_group_order,
+        benchmark_exposures_subac = benchmark_data.get_weights(group_data=sub_ac_group_data, group_order=sub_ac_group_order,
                                                                **weight_kwargs)
 
         # plot strategy and benchmark weights by ac

{qis-3.1.3 → qis-3.1.4}/qis/settings.yaml

@@ -18,3 +18,4 @@ OUTPUT_PATH:
 
 AWS_POSTGRES:
   ""
+