qis 3.2.3__tar.gz → 3.2.4__tar.gz

{qis-3.2.3 → qis-3.2.4}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: qis
-Version: 3.2.3
+Version: 3.2.4
 Summary: Implementation of visualisation and reporting analytics for Quantitative Investment Strategies
 License: LICENSE.txt
 Keywords: quantitative,investing,portfolio optimization,systematic strategies,volatility

{qis-3.2.3 → qis-3.2.4}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "qis"
-version = "3.2.3"
+version = "3.2.4"
 description = "Implementation of visualisation and reporting analytics for Quantitative Investment Strategies"
 license = "LICENSE.txt"
 authors = ["Artur Sepp <artursepp@gmail.com>"]

{qis-3.2.3 → qis-3.2.4}/qis/examples/core/perf_bbg_prices.py

@@ -22,15 +22,44 @@ def run_report():
         'BNPXOV3U Index': 'BNP 3M Long DHhedged Puts'
         }
 
+    benchmark = 'SPTR Index'
+    tickers = {
+        benchmark: benchmark,
+        'BNPIV1EE Index': 'BNP Europe 1Y Volatility',
+        'BNPIV1UE Index': 'BNP US 1Y Volatility',
+        'BNPXVO3A Index': 'BNP VOLA 3 Index',
+        'AIJPVT1U Index': 'JPM Volatility Trend Following',
+        'JPOSLVUS Index': 'JPM US Long Variance',
+        'JPOSPRU2 Index': 'JPM US Put Ratio',
+        'JPOSTUDN Index': 'JPM US Equity Tail Hedge',
+        'JPRC85BE Index': 'JPM Dynamic 85% Rolling Collar EU',
+        'JPRC85BU Index': 'JPM Dynamic 85% Rolling Collar US',
+        'JPUSVXCR Index': 'JPM US Volatility Call Ratio'
+    }
+
+    benchmark = 'HYG US Equity'
+    tickers = {
+        benchmark: benchmark,
+        'NMVVR1EL Index': 'IRVING1 EUR',
+        'NMVVR1UL Index': 'IRVING1 USD',
+        'NMVVR1L Index': 'IRVING1',
+        'BNPXLVRE Index': 'BNP Long Rates Vol EUR',
+        'BNPXLVRU Index': 'BNP Long Rates Vol USD',
+        'BXIIULSV Index': 'Barclays Long Rates Vol',
+        'BXIIUGNT Index': 'Barclays Gamma Neutral Vol',
+        'BXIIUENT Index': 'Barclays Triangle Vol'
+    }
+
     prices = fetch_field_timeseries_per_tickers(tickers=tickers, freq='B', field='PX_LAST').ffill()
     print(prices)
-    qis.save_df_to_csv(df=prices, file_name='qis_vol_indices', local_path=qis.get_output_path())
+    # qis.save_df_to_csv(df=prices, file_name='qis_vol_indices', local_path=qis.get_output_path())
 
-    time_period = qis.TimePeriod('31Dec2019', '15Nov2024')
-    kwargs = qis.fetch_default_report_kwargs(time_period=time_period, add_rates_data=False)
+    time_period = qis.TimePeriod('31Dec2024', '07Apr2025')
+    #kwargs = qis.fetch_default_report_kwargs(time_period=time_period, add_rates_data=False)
+    kwargs = qis.fetch_factsheet_config_kwargs(factsheet_config=qis.FACTSHEET_CONFIG_DAILY_DATA_SHORT_PERIOD)
 
     fig = qis.generate_multi_asset_factsheet(prices=prices,
-                                             benchmark='SPTR Index',
+                                             benchmark=benchmark,
                                              time_period=time_period,
                                              **kwargs)
     qis.save_figs_to_pdf(figs=[fig],
@@ -70,7 +99,7 @@ def run_unit_test(unit_test: UnitTests):
 
 if __name__ == '__main__':
 
-    unit_test = UnitTests.PRICE
+    unit_test = UnitTests.REPORT
 
     is_run_all_tests = False
     if is_run_all_tests:

{qis-3.2.3 → qis-3.2.4}/qis/plots/derived/returns_heatmap.py

@@ -223,7 +223,7 @@ def compute_periodic_returns(prices: pd.DataFrame,
 
     if add_total:
         if freq == 'ME':
-            total_name = total_name or 'last 12m'
+            total_name = total_name or 'YTD'
         elif freq == 'YE':
             total_name = total_name or 'Total'
         else:

{qis-3.2.3 → qis-3.2.4}/qis/portfolio/reports/config.py

@@ -82,9 +82,9 @@ class FactsheetConfig(NamedTuple):
 # create enumerations
 FACTSHEET_CONFIG_DAILY_DATA_LONG_PERIOD = FactsheetConfig()
 
-FACTSHEET_CONFIG_DAILY_DATA_SHORT_PERIOD = FactsheetConfig(heatmap_freq='YE',
-                                                           x_date_freq='QE',
-                                                           freq_regime='ME',
+FACTSHEET_CONFIG_DAILY_DATA_SHORT_PERIOD = FactsheetConfig(heatmap_freq='ME',
+                                                           x_date_freq='ME',
+                                                           freq_regime='W-WED',
                                                            freq_reg='W-WED',
                                                            alpha_an_factor=52
                                                            )

{qis-3.2.3 → qis-3.2.4}/qis/portfolio/reports/multi_assets_factsheet.py

@@ -60,6 +60,8 @@ class MultiAssetsReport:
                 prices = pd.concat([self.benchmark_prices[benchmark], self.prices], axis=1)
         else:
             prices = self.prices
+        # check in case
+        prices = prices.loc[:, ~prices.columns.duplicated(keep='first')]
         if time_period is not None:
             prices = time_period.locate(prices)
         return prices
@@ -68,7 +70,7 @@ class MultiAssetsReport:
                            regime_benchmark: str,
                            data_df: pd.DataFrame,
                            time_period: TimePeriod = None,
-                           regime_params: BenchmarkReturnsQuantileRegimeSpecs = REGIME_PARAMS
+                           regime_params: BenchmarkReturnsQuantileRegimeSpecs = None
                            ) -> None:
         if isinstance(self.benchmark_prices, pd.Series):
             pivot_prices = self.benchmark_prices
@@ -83,7 +85,7 @@ class MultiAssetsReport:
                                    data_df=data_df,
                                    pivot_prices=pivot_prices,
                                    benchmark=regime_benchmark,
-                                   regime_params=regime_params)
+                                   regime_params=regime_params or self.regime_params)
 
     def plot_ra_perf_table(self,
                            benchmark: str,
@@ -334,6 +336,7 @@ class MultiAssetsReport:
                                          roll_freq=freq_sharpe,
                                          legend_stats=legend_stats,
                                          regime_benchmark=regime_benchmark,
+                                         regime_params=self.regime_params,
                                          ax=ax,
                                          **kwargs)
         return fig
@@ -417,7 +420,7 @@ def generate_multi_asset_factsheet(prices: pd.DataFrame,
                                    heatmap_freq: str = 'YE',
                                    time_period: TimePeriod = None,  # time period for reporting
                                    figsize: Tuple[float, float] = (8.3, 11.7),  # A4 for portrait
-                                   fontsize: int = 3,
+                                   fontsize: int = 4,
                                    factsheet_name: str = None,
                                    performance_bars: Tuple[PerfStat, PerfStat] = (PerfStat.SHARPE_RF0, PerfStat.MAX_DD),
                                    drop_1y_ra_perf_table: bool = True,

{qis-3.2.3 → qis-3.2.4}/qis/settings.yaml

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