qis 3.2.3__tar.gz → 3.2.5__tar.gz

{qis-3.2.3 → qis-3.2.5}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: qis
-Version: 3.2.3
+Version: 3.2.5
 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-3.2.5}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "qis"
-version = "3.2.3"
+version = "3.2.5"
 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-3.2.5}/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-3.2.5}/qis/models/linear/ewm.py

@@ -690,6 +690,7 @@ def compute_ewm_newey_west_vol(data: Union[pd.DataFrame, pd.Series, np.ndarray],
     if mean_adj_type != MeanAdjType.NONE:
         a = compute_rolling_mean_adj(data=a,
                                      mean_adj_type=mean_adj_type,
+                                     span=span,
                                      ewm_lambda=ewm_lambda,
                                      init_type=init_type,
                                      nan_backfill=nan_backfill)
@@ -819,7 +820,7 @@ def compute_rolling_mean_adj(data: Union[pd.DataFrame, pd.Series, np.ndarray],
                              mean_adj_type: MeanAdjType = MeanAdjType.EWMA,
                              span: Union[float, np.ndarray] = None,
                              ewm_lambda: Union[float, np.ndarray] = 0.94,
-                             init_type: InitType = InitType.MEAN,
+                             init_type: InitType = InitType.X0,
                              init_value: Union[float, np.ndarray, None] = None,
                              nan_backfill: NanBackfill = NanBackfill.FFILL
                              ) -> Union[pd.DataFrame, pd.Series, np.ndarray]:

{qis-3.2.3 → qis-3.2.5}/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-3.2.5}/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-3.2.5}/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-3.2.5}/qis/settings.yaml

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

qis-3.2.3/qis/examples/bond_futures_portfolio.py

@@ -1,49 +0,0 @@
-import pandas as pd
-import numpy as np
-import matplotlib.pyplot as plt
-from enum import Enum
-import qis as qis
-
-import futures_strats.local_path as lp
-
-output_path = lp.OUTPUT_PATH
-local_path = lp.LOCAL_PATH
-# futures_strats
-from futures_strats import (compute_strategy_portfolio_data_with_costs,
-                            compute_multi_strategy_data_from_blocks,
-                            compute_marginal_perfs_for_strategy)
-from futures_strats.data.universes.futures.bbg_futures import Universes
-from futures_strats.data.providers.bloomberg.assets_bbg import AssetsBBG
-from futures_strats.research.cross_trend import (CSTF_RB_TRACKER,
-                                                 CSTF_EXACT_TRACKER,
-                                                 CSTF_RB_AC_TRACKER)
-from futures_strats.research.trackers import (CSTF_GOLDMAN_TRACKER_AC,
-                                              GOLDMAN_UNIVERSE)
-
-strategy_universe = Universes.BBG_FUTURES_INVESTABLE.load_universe_data(local_path=local_path)
-prices = strategy_universe.get_prices(freq='B')[['UXY1 Comdty', 'US1 Comdty', 'WN1 Comdty']].ffill().dropna()
-prices = prices[prices.columns[::-1]]
-qis.plot_prices_with_dd(prices=prices)
-
-portfolio_data = qis.backtest_model_portfolio(prices=prices,
-                                              weights=np.array([-1.0, 2.0, -1.0]),
-                                              rebalancing_freq='ME',
-                                              ticker='Butterly'
-                                              )
-
-time_period = qis.TimePeriod('31Dec2015', None)
-figs = qis.generate_strategy_factsheet(portfolio_data=portfolio_data,
-                                       benchmark_prices=prices.iloc[:, -1],
-                                       is_grouped=False,
-                                       add_current_position_var_risk_sheet=False,
-                                       add_weights_turnover_sheet=False,
-                                       add_grouped_exposures=False,
-                                       add_grouped_cum_pnl=False,
-                                       time_period=time_period,
-                                       **qis.fetch_default_report_kwargs(time_period=time_period,
-                                                                         add_rates_data=False))
-
-qis.save_figs_to_pdf(figs=figs, file_name=f"butterfly", orientation='landscape',
-                     local_path=output_path)
-
-plt.show()

qis-3.2.3/qis/examples/credit_trackers.py

@@ -1,42 +0,0 @@
-
-import pandas as pd
-import matplotlib.pyplot as plt
-import seaborn as sns
-import qis as qis
-from bbg_fetch import fetch_field_timeseries_per_tickers
-
-
-tickers = {'CICMCE5B Index': 'ITRAXX Main 5Y',
-           'CICMCE1B Index': 'ITRAXX Main 10Y',
-           'CICMCX5B Index': 'ITRAXX Xover 5Y',
-           'CICMCI5B Index': 'CDX NA IG 5Y',
-           'CICMCI1B Index': 'CDX NA IG 10Y',
-           'CICMCH5B Index': 'CDX NA HY 5Y',
-           'CICMCG05 Index': 'UK CDS 5Y',
-           'CICMCK05 Index': 'South Korea CDS 5Y',
-           'CICMCJ05 Index': 'Japan CDS 5Y',
-           'CICMCU05 Index': 'US CDS 5Y',
-           'CICMCE05 Index': 'Germany CDS 5Y'
-           }
-
-tickers = {'UISYMH5S Index': 'UBS_CDX_HY',
-           'CICMCH5B Index': 'CITI_CDX_HY',
-           'CH5LMER5 Index': 'GS_CDX_HY',
-           'UISYMI5S Index': 'UBS_IG_5Y',
-           'CICMCI5B Index': 'CITI_IG_5Y',
-           'CI5LMER5 Index': 'GS_IG_5Y'}
-
-prices = fetch_field_timeseries_per_tickers(tickers=tickers, freq='B', field='PX_LAST').ffill()
-print(prices)
-benchmark_prices = fetch_field_timeseries_per_tickers(tickers={'LGDRTRUU Index': 'Agg IG'}, freq='B', field='PX_LAST').ffill()
-
-time_period = qis.TimePeriod('01Jan2008', pd.Timestamp.today())
-kwargs = qis.fetch_default_report_kwargs(time_period=time_period, add_rates_data=False)
-
-fig = qis.generate_multi_asset_factsheet(prices=prices,
-                                         benchmark_prices=benchmark_prices,
-                                         time_period=time_period,
-                                         **kwargs)
-qis.save_figs_to_pdf(figs=[fig],
-                     file_name=f"credit_trackers_report", orientation='landscape',
-                     local_path=qis.local_path.get_output_path())

qis-3.2.3/qis/examples/perp_pricing.py

@@ -1,56 +0,0 @@
-import pandas as pd
-import numpy as np
-import matplotlib.pyplot as plt
-import seaborn as sns
-import qis as qis
-from bbg_fetch import fetch_field_timeseries_per_tickers, fetch_index_members_weights, fetch_bonds_info
-
-
-index_ticker = 'I31415US Index'
-
-end_dates = ['20180101', '20190101', '20200101', '20210101', '20220101', '20230101', '20240101', '20250101', '20250106']
-
-data_out = {}
-weighted_resets = []
-for idx, end_date in enumerate(end_dates):
-    if idx > 0:
-        members = fetch_index_members_weights(index_ticker, END_DATE_OVERRIDE=end_dates[idx-1])
-        corp_index = [f"{x} corp" for x in members.index]
-        members.index = corp_index
-        """
-        amt_outstanding = fetch_bonds_info(isins=members.index.to_list(), fields=['amt_outstanding'],
-                                           END_DATE_OVERRIDE=end_dates[idx-1])['amt_outstanding']
-        amt_outstanding = amt_outstanding.loc[members.index]
-        amt_outstanding.index = corp_index
-        """
-        prices = fetch_field_timeseries_per_tickers(tickers=corp_index,
-                                                    start_date=pd.Timestamp(end_dates[idx-1]),
-                                                    end_date=pd.Timestamp(end_date),
-                                                    freq='B')
-        prices = prices.resample('W-WED').last()
-        # market_value = prices.multiply(amt_outstanding, axis=1)
-        #market_value.divide(np.nansum(market_value, axis=1, keepdims=True), axis=1)
-        is_reset = (prices > 100).astype(float)
-        market_weights = members.iloc[:, 0]
-        weighted_reset = is_reset.multiply(market_weights, axis=1)
-        weighted_reset = weighted_reset.sum(1)
-        weighted_resets.append(weighted_reset)
-        data_out[f"{end_dates[idx-1]} members"] = members
-        data_out[f"{end_date} prices"] = prices
-        data_out[f"{end_date} is_reset"] = is_reset
-
-weighted_resets = pd.concat(weighted_resets)
-weighted_resets = weighted_resets.loc[~weighted_resets.index.duplicated(keep='first')]
-weighted_resets = weighted_resets.to_frame('weighted_par_reset %')
-print(weighted_resets)
-
-data_out['weighted_resets'] = weighted_resets
-qis.save_df_to_excel(data=data_out, file_name='perp_pricing')
-
-with sns.axes_style("darkgrid"):
-    fig, ax = plt.subplots(1, 1, figsize=(15, 8), tight_layout=True)
-    qis.plot_time_series(weighted_resets,
-                         title='weighted_par_reset',
-                         ax=ax)
-
-plt.show()