quantmod 0.0.9__tar.gz → 0.1.0__tar.gz

{quantmod-0.0.9 → quantmod-0.1.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: quantmod
-Version: 0.0.9
+Version: 0.1.0
 Summary: Quantmod Python Package
 Home-page: https://kannansingaravelu.com/
 Author: Kannan Singaravelu

{quantmod-0.0.9 → quantmod-0.1.0}/quantmod/derivatives/nse.py

@@ -15,11 +15,51 @@ import urllib.parse
 # Constants
 indices = ["NIFTY", "FINNIFTY", "BANKNIFTY"]
 
-mode = "local"
+headers = {
+    "accept": "text/html,application/xhtml+xml,application/xml;q=0.9,image/avif,image/webp,image/apng,*/*;q=0.8,application/signed-exchange;v=b3;q=0.7",
+    "accept-language": "en-US,en;q=0.9,en-IN;q=0.8,en-GB;q=0.7",
+    "cache-control": "max-age=0",
+    "priority": "u=0, i",
+    "sec-ch-ua": '"Microsoft Edge";v="129", "Not=A?Brand";v="8", "Chromium";v="129"',
+    "sec-ch-ua-mobile": "?0",
+    "sec-ch-ua-platform": '"Windows"',
+    "sec-fetch-dest": "document",
+    "sec-fetch-mode": "navigate",
+    "sec-fetch-site": "none",
+    "sec-fetch-user": "?1",
+    "upgrade-insecure-requests": "1",
+    "user-agent": "Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/129.0.0.0 Safari/537.36 Edg/129.0.0.0",
+}
+
+# Curl headers
+curl_headers = """ -H "authority: beta.nseindia.com" -H "cache-control: max-age=0" -H "dnt: 1" -H "upgrade-insecure-requests: 1" -H "user-agent: Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/79.0.3945.117 Safari/537.36" -H "sec-fetch-user: ?1" -H "accept: text/html,application/xhtml+xml,application/xml;q=0.9,image/webp,image/apng,*/*;q=0.8,application/signed-exchange;v=b3;q=0.9" -H "sec-fetch-site: none" -H "sec-fetch-mode: navigate" -H "accept-encoding: gzip, deflate, br" -H "accept-language: en-US,en;q=0.9,hi;q=0.8" --compressed"""
 
-if mode == "vpn":
+# https://ipapi.co/json
+# https://ipinfo.io/json
+
+try:
+    # Try ipapi.co
+    response = requests.get("https://ipapi.co/json/", timeout=5)
+    if response.status_code == 200:
+        data = response.json()
+        country_code = data.get('country_code', '').upper()
+        mode = "local" if country_code == "IN" else "vpn"
+    else:
+        # Fallback to ipinfo.io
+        response = requests.get("https://ipinfo.io/json", timeout=5)
+        if response.status_code == 200:
+            data = response.json()
+            country_code = data.get('country', '').upper()
+            mode = "local" if country_code == "IN" else "vpn"
+        else:
+            mode = "local"
+            
+except Exception:
+    mode = "local"
 
-    def nsefetch(payload):
+
+def nsefetch(payload):
+    if mode == "vpn":
         if ("%26" in payload) or ("%20" in payload):
             encoded_url = payload
         else:
@@ -38,10 +78,7 @@ if mode == "vpn":
             output = json.loads(output)
         return output
 
-
-if mode == "local":
-
-    def nsefetch(payload):
+    else: # mode == "local":
         try:
             output = requests.get(payload, headers=headers).json()
             # print(output)
@@ -58,25 +95,6 @@ if mode == "local":
         return output
 
 
-headers = {
-    "accept": "text/html,application/xhtml+xml,application/xml;q=0.9,image/avif,image/webp,image/apng,*/*;q=0.8,application/signed-exchange;v=b3;q=0.7",
-    "accept-language": "en-US,en;q=0.9,en-IN;q=0.8,en-GB;q=0.7",
-    "cache-control": "max-age=0",
-    "priority": "u=0, i",
-    "sec-ch-ua": '"Microsoft Edge";v="129", "Not=A?Brand";v="8", "Chromium";v="129"',
-    "sec-ch-ua-mobile": "?0",
-    "sec-ch-ua-platform": '"Windows"',
-    "sec-fetch-dest": "document",
-    "sec-fetch-mode": "navigate",
-    "sec-fetch-site": "none",
-    "sec-fetch-user": "?1",
-    "upgrade-insecure-requests": "1",
-    "user-agent": "Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/129.0.0.0 Safari/537.36 Edg/129.0.0.0",
-}
-# Curl headers
-curl_headers = """ -H "authority: beta.nseindia.com" -H "cache-control: max-age=0" -H "dnt: 1" -H "upgrade-insecure-requests: 1" -H "user-agent: Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/79.0.3945.117 Safari/537.36" -H "sec-fetch-user: ?1" -H "accept: text/html,application/xhtml+xml,application/xml;q=0.9,image/webp,image/apng,*/*;q=0.8,application/signed-exchange;v=b3;q=0.9" -H "sec-fetch-site: none" -H "sec-fetch-mode: navigate" -H "accept-encoding: gzip, deflate, br" -H "accept-language: en-US,en;q=0.9,hi;q=0.8" --compressed"""
-
-
 class OptionData:
     """
     A class to fetch and analyze option chain data from NSE.

{quantmod-0.0.9 → quantmod-0.1.0}/quantmod/models/__init__.py

@@ -16,10 +16,10 @@
 # limitations under the License.
 #
 
-from .optioninputs import OptionInputs
+from .optioninputs import OptionInputs, OptionType, ExerciseStyle, BarrierType
 from .blackscholes import BlackScholesOptionPricing
-from .montecarlo import BarrierType, MonteCarloOptionPricing
-from .binomial import OptionType, ExerciseStyle, BinomialOptionPricing
+from .montecarlo import MonteCarloOptionPricing
+from .binomial import BinomialOptionPricing
 
 
 __all__ = [

{quantmod-0.0.9 → quantmod-0.1.0}/quantmod/models/binomial.py

@@ -1,21 +1,8 @@
 import numpy as np
 from pydantic import Field
-from enum import Enum
 import matplotlib.pyplot as plt
 from typing import Optional
-from .optioninputs import OptionInputs
-
-
-# Enums for option types
-class OptionType(str, Enum):
-    CALL = "call"
-    PUT = "put"
-
-
-# Enums for exercise styles
-class ExerciseStyle(str, Enum):
-    AMERICAN = "american"
-    EUROPEAN = "european"
+from .optioninputs import OptionInputs, OptionType, ExerciseStyle
 
 
 # Class for Binomial Option Pricing

{quantmod-0.0.9 → quantmod-0.1.0}/quantmod/models/montecarlo.py

@@ -1,23 +1,7 @@
 import numpy as np
-from enum import Enum
 from pydantic import Field
 from typing import Optional
-from .optioninputs import OptionInputs
-
-
-class OptionType(str, Enum):
-    CALL = "call"
-    PUT = "put"
-
-
-class ExerciseStyle(str, Enum):
-    EUROPEAN = "european"
-    ASIAN = "asian"
-    BARRIER = "barrier"
-
-
-class BarrierType(str, Enum):
-    UP_AND_OUT = "up_and_out"
+from .optioninputs import OptionInputs, OptionType, ExerciseStyle, BarrierType
 
 
 class MonteCarloOptionPricing:

{quantmod-0.0.9 → quantmod-0.1.0}/quantmod/models/optioninputs.py

@@ -1,6 +1,19 @@
 from pydantic import BaseModel, Field
+from enum import Enum
 from typing import Optional
 
+class OptionType(str, Enum):
+    CALL = "call"
+    PUT = "put"
+
+class ExerciseStyle(str, Enum):
+    ASIAN = "asian"
+    BARRIER = "barrier"
+    EUROPEAN = "european"
+    AMERICAN = "american"
+
+class BarrierType(str, Enum):
+    UP_AND_OUT = "up_and_out"
 
 class OptionInputs(BaseModel):
     """

quantmod-0.1.0/quantmod/risk/var.py

@@ -0,0 +1,137 @@
+import numpy as np
+from scipy.stats import norm
+from .varinputs import RiskInputs
+
+
+# Risk Metrics
+class VaRMetrics:
+    """
+    Class to calculate various Value at Risk (VaR) metrics.
+
+    Parameters
+    ----------
+    inputs : RiskInputs
+        Object containing the following option parameters:
+        - confidence_level : float
+            The confidence level for the VaR calculation.
+        - num_simulations : int
+            The number of Monte Carlo simulations.
+        - portfolio_returns : pd.DataFrame
+            Historical returns of portfolio assets or single stock.
+        - is_single_stock : bool
+            Flag to indicate single stock calculation.
+        - portfolio_weights : list of float, optional
+            Weights of assets in the portfolio (None for single stock).
+
+    Attributes
+    ----------
+    parametric_var : float
+        The parametric VaR value.
+    historical_var : float
+        The historical VaR value.
+    monte_carlo_var : float
+        The Monte Carlo VaR value.
+    expected_shortfall : float
+        The expected shortfall value.
+
+    """
+
+    def __init__(self, inputs: RiskInputs):
+        self.confidence_level = inputs.confidence_level
+        self.num_simulations = inputs.num_simulations
+        self.is_single_stock = inputs.is_single_stock
+            
+        # Convert returns to NumPy array and ensure 2D shape
+        self.returns = inputs.portfolio_returns.to_numpy()
+        if self.is_single_stock:
+            self.returns = self.returns.reshape(-1, 1)  # Ensure 2D for consistency
+            self.weights = np.array([1.0])
+        else:
+            if inputs.portfolio_weights is None:
+                raise ValueError("Portfolio weights must be provided for portfolio VaR")
+            self.weights = np.array(inputs.portfolio_weights)
+            if len(self.weights) != self.returns.shape[1]:
+                raise ValueError("Portfolio weights must match the number of assets")
+            if not np.all(self.weights >= 0):
+                raise ValueError("Portfolio weights must be non-negative")
+            if not np.isclose(np.sum(self.weights), 1.0, rtol=1e-3):
+                raise ValueError("Portfolio weights must sum to 1")
+            
+        # Precompute portfolio returns for efficiency
+        self.portfolio_returns = (
+            self.returns if self.is_single_stock else self.returns @ self.weights
+        )
+        
+        if np.any(np.isnan(self.portfolio_returns)) or np.any(np.isinf(self.portfolio_returns)):
+            raise ValueError("portfolio_returns contains NaN or infinite values")
+
+        # Compute risk metrics
+        self.parametric_var = self._parametric_var()
+        self.historical_var = self._historical_var()
+        self.monte_carlo_var = self._monte_carlo_var()
+        self.expected_shortfall = self._expected_shortfall()
+
+
+    def _parametric_var(self) -> float:
+        """
+        Calculate parametric VaR using normal distribution.
+
+        Returns
+        -------
+        float
+            Parametric VaR value.
+        """
+        mean_returns = np.mean(self.portfolio_returns)
+        std_returns = np.std(self.portfolio_returns, ddof=1) # Use sample standard deviation
+        return norm.ppf(1 - self.confidence_level, loc=mean_returns, scale=std_returns)
+
+    def _historical_var(self) -> float:
+        """
+        Calculate historical VaR based on empirical distribution.
+
+        Returns
+        -------
+        float
+            Historical VaR value.
+        """
+        return np.percentile(self.portfolio_returns, 100 * (1 - self.confidence_level))
+
+    def _monte_carlo_var(self) -> float:
+        """
+        Calculate Monte Carlo VaR using simulated returns.
+
+        Returns
+        -------
+        float
+            Monte Carlo VaR value.
+        """
+        mean_returns = np.mean(self.returns, axis=0)
+        
+        if self.is_single_stock:
+            std_returns = np.std(self.returns[:, 0])
+            simulated_returns = np.random.normal(
+                mean_returns[0], std_returns, self.num_simulations
+            )
+        else:
+            cov_matrix = np.cov(self.returns.T)
+            # Regularize covariance matrix
+            cov_matrix += np.eye(cov_matrix.shape[0]) * 1e-6
+            simulated_returns = np.random.multivariate_normal(
+                mean_returns, cov_matrix, self.num_simulations
+            )
+            simulated_returns = simulated_returns @ self.weights
+
+        return np.percentile(simulated_returns, 100 * (1 - self.confidence_level))
+    
+    def _expected_shortfall(self) -> float:
+        """
+        Calculate expected shortfall (conditional VaR).
+
+        Returns
+        -------
+        float
+            Expected shortfall value. Returns NaN if no returns are below VaR.
+        """
+        var = self._historical_var()
+        tail_returns = self.portfolio_returns[self.portfolio_returns <= var]
+        return np.mean(tail_returns) if tail_returns.size > 0 else np.nan

{quantmod-0.0.9 → quantmod-0.1.0}/quantmod/risk/varbacktest.py

@@ -15,8 +15,6 @@ class VaRAnalyzer:
         Object containing the following option parameters:
         - confidence_level : float
             The confidence level for the VaR calculation.
-        - lookback_period : int
-            The number of historical days for risk estimation.
         - num_simulations : int
             The number of Monte Carlo simulations.
         - portfolio_returns : pd.DataFrame

{quantmod-0.0.9 → quantmod-0.1.0}/quantmod/risk/varinputs.py

@@ -12,8 +12,6 @@ class RiskInputs(BaseModel):
     - confidence_level : float
         The confidence level for the VaR calculation.
         Must be between 0.90 and 1.0.
-    - lookback_period : int
-        Number of historical days for risk estimation.
         Must be greater than or equal to 1.
     - num_simulations : int, default: 10000
         Number of Monte Carlo simulations.
@@ -41,9 +39,6 @@ class RiskInputs(BaseModel):
     confidence_level: float = Field(
         ..., ge=0.90, le=1.0, description="The confidence level for the VaR calculation"
     )
-    lookback_period: int = Field(
-        ..., ge=1, description="Number of historical days for risk estimation"
-    )
     num_simulations: int = Field(
         10000, ge=1000, le=100000, description="Number of Monte Carlo simulations"
     )

quantmod-0.1.0/quantmod/version.py

@@ -0,0 +1 @@
+version = "0.1.0"

{quantmod-0.0.9 → quantmod-0.1.0}/quantmod.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: quantmod
-Version: 0.0.9
+Version: 0.1.0
 Summary: Quantmod Python Package
 Home-page: https://kannansingaravelu.com/
 Author: Kannan Singaravelu

quantmod-0.0.9/quantmod/risk/var.py

@@ -1,110 +0,0 @@
-import numpy as np
-from scipy.stats import norm
-from .varinputs import RiskInputs
-
-
-# Risk Metrics
-class VaRMetrics:
-    """
-    Class to calculate various Value at Risk (VaR) metrics.
-
-    Parameters
-    ----------
-    inputs : RiskInputs
-        Object containing the following option parameters:
-        - confidence_level : float
-            The confidence level for the VaR calculation.
-        - lookback_period : int
-            The number of historical days for risk estimation.
-        - num_simulations : int
-            The number of Monte Carlo simulations.
-        - portfolio_returns : pd.DataFrame
-            Historical returns of portfolio assets or single stock.
-        - is_single_stock : bool
-            Flag to indicate single stock calculation.
-        - portfolio_weights : list of float, optional
-            Weights of assets in the portfolio (None for single stock).
-
-    Attributes
-    ----------
-    parametric_var : float
-        The parametric VaR value.
-    historical_var : float
-        The historical VaR value.
-    monte_carlo_var : float
-        The Monte Carlo VaR value.
-    expected_shortfall : float
-        The expected shortfall value.
-
-    """
-
-    def __init__(self, inputs: RiskInputs):
-        self.confidence_level = inputs.confidence_level
-        self.lookback_period = inputs.lookback_period
-        self.num_simulations = inputs.num_simulations
-        self.returns = inputs.portfolio_returns
-        self.is_single_stock = inputs.is_single_stock
-
-        # Set weights before risk metric calculations
-        if self.is_single_stock:
-            self.weights = np.array([1.0])  # Single stock, full weight
-        else:
-            if inputs.portfolio_weights is None:
-                raise ValueError(
-                    "Portfolio weights must be provided for portfolio VaR calculation"
-                )
-            self.weights = np.array(inputs.portfolio_weights)
-            # Only check shape for portfolio (2D returns)
-            if len(self.weights) != self.returns.shape[1]:
-                raise ValueError("Portfolio weights must match the number of assets")
-
-        # attributes
-        self.parametric_var = self._parametric_var()
-        self.historical_var = self._historical_var()
-        self.monte_carlo_var = self._monte_carlo_var()
-        self.expected_shortfall = self._expected_shortfall()
-
-    def _parametric_var(self) -> float:
-        mean_returns = np.mean(self.returns, axis=0)
-        std = np.std(self.returns, axis=0)
-        return self.weights @ norm.ppf(
-            1 - self.confidence_level, loc=mean_returns, scale=std
-        )
-
-    def _historical_var(self) -> float:
-        portfolio_returns = (
-            self.returns if self.is_single_stock else self.returns @ self.weights
-        )
-        return np.percentile(portfolio_returns, 100 * (1 - self.confidence_level))
-
-    def _monte_carlo_var(self) -> float:
-        mean_returns = np.mean(self.returns, axis=0)
-        cov_matrix = (
-            np.cov(self.returns.T)
-            if not self.is_single_stock
-            else np.var(self.returns, axis=0)
-        )
-
-        simulated_returns = (
-            np.random.normal(mean_returns, np.sqrt(cov_matrix), self.num_simulations)
-            if self.is_single_stock
-            else np.random.multivariate_normal(
-                mean_returns, cov_matrix, self.num_simulations
-            )
-        )
-
-        portfolio_simulated_returns = (
-            simulated_returns
-            if self.is_single_stock
-            else simulated_returns @ self.weights
-        )
-        return np.percentile(
-            portfolio_simulated_returns, 100 * (1 - self.confidence_level)
-        )
-
-    def _expected_shortfall(self) -> float:
-        portfolio_returns = (
-            self.returns if self.is_single_stock else self.returns @ self.weights
-        )
-        var = self._historical_var()
-        return np.mean(portfolio_returns[portfolio_returns <= var])

quantmod-0.0.9/quantmod/version.py

@@ -1 +0,0 @@
-version = "0.0.9"