qis 3.2.4__tar.gz → 3.2.5__tar.gz

{qis-3.2.4 → qis-3.2.5}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: qis
-Version: 3.2.4
+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-3.2.4 → qis-3.2.5}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "qis"
-version = "3.2.4"
+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-3.2.4 → 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-3.2.4/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-3.2.4/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-3.2.4/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()