return-scenario-engine 0.1.0__tar.gz
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- return_scenario_engine-0.1.0/LICENSE +201 -0
- return_scenario_engine-0.1.0/NOTICE +5 -0
- return_scenario_engine-0.1.0/PKG-INFO +238 -0
- return_scenario_engine-0.1.0/README.md +17 -0
- return_scenario_engine-0.1.0/pyproject.toml +28 -0
- return_scenario_engine-0.1.0/return_scenario_engine/__init__.py +481 -0
- return_scenario_engine-0.1.0/return_scenario_engine/methodology/__init__.py +1 -0
- return_scenario_engine-0.1.0/return_scenario_engine/methodology/return-scenario-v1.json +42 -0
- return_scenario_engine-0.1.0/return_scenario_engine.egg-info/PKG-INFO +238 -0
- return_scenario_engine-0.1.0/return_scenario_engine.egg-info/SOURCES.txt +12 -0
- return_scenario_engine-0.1.0/return_scenario_engine.egg-info/dependency_links.txt +1 -0
- return_scenario_engine-0.1.0/return_scenario_engine.egg-info/requires.txt +3 -0
- return_scenario_engine-0.1.0/return_scenario_engine.egg-info/top_level.txt +1 -0
- return_scenario_engine-0.1.0/setup.cfg +4 -0
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Metadata-Version: 2.4
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Name: return-scenario-engine
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Version: 0.1.0
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Summary: Portable historical return scenario calculations
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Author: Sid Kalla
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License: Apache License
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Version 2.0, January 2004
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http://www.apache.org/licenses/
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TERMS AND CONDITIONS FOR USE, REPRODUCTION, AND DISTRIBUTION
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"License" shall mean the terms and conditions for use, reproduction,
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Project-URL: Homepage, https://github.com/sidko/return-scenario-engine
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Project-URL: Issues, https://github.com/sidko/return-scenario-engine/issues
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Classifier: Programming Language :: Python :: 3
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Classifier: Programming Language :: Python :: 3.11
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Classifier: Programming Language :: Python :: 3.12
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License-File: NOTICE
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Provides-Extra: test
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Requires-Dist: build>=1.2; extra == "test"
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Dynamic: license-file
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# return-scenario-engine (Python)
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The Python distribution provides the same dependency-free normalized-index
|
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225
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scenario API, methodology JSON, public SHA-256 hash, and synthetic golden corpus
|
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226
|
+
as the TypeScript package. Install with `python -m pip install
|
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227
|
+
return-scenario-engine`, then call `calculate_scenario` with explicit artifact
|
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228
|
+
dictionaries. Full contract, limits, examples, and security guidance are in the
|
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[repository README](https://github.com/sidko/return-scenario-engine#readme).
|
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|
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231
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+
```python
|
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232
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+
from return_scenario_engine import calculate_scenario
|
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|
+
|
|
234
|
+
dates = ["2024-01-01", "2024-01-02", "2024-01-03"]
|
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235
|
+
base = {"schemaVersion": 1, "methodologyVersion": "return-scenario-v1.0.0", "seriesBasis": "close_index", "annualizationFactor": 365, "dates": dates}
|
|
236
|
+
result = calculate_scenario({"amountCents": 100_000, "requestedStart": dates[0], "requestedEnd": dates[-1], "assetA": base | {"assetKey": "sample-a", "growthIndex": [100, 110, 121]}, "assetB": base | {"assetKey": "sample-b", "growthIndex": [100, 95, 100]}})
|
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|
+
assert result["status"] == "ok"
|
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|
+
```
|
|
@@ -0,0 +1,17 @@
|
|
|
1
|
+
# return-scenario-engine (Python)
|
|
2
|
+
|
|
3
|
+
The Python distribution provides the same dependency-free normalized-index
|
|
4
|
+
scenario API, methodology JSON, public SHA-256 hash, and synthetic golden corpus
|
|
5
|
+
as the TypeScript package. Install with `python -m pip install
|
|
6
|
+
return-scenario-engine`, then call `calculate_scenario` with explicit artifact
|
|
7
|
+
dictionaries. Full contract, limits, examples, and security guidance are in the
|
|
8
|
+
[repository README](https://github.com/sidko/return-scenario-engine#readme).
|
|
9
|
+
|
|
10
|
+
```python
|
|
11
|
+
from return_scenario_engine import calculate_scenario
|
|
12
|
+
|
|
13
|
+
dates = ["2024-01-01", "2024-01-02", "2024-01-03"]
|
|
14
|
+
base = {"schemaVersion": 1, "methodologyVersion": "return-scenario-v1.0.0", "seriesBasis": "close_index", "annualizationFactor": 365, "dates": dates}
|
|
15
|
+
result = calculate_scenario({"amountCents": 100_000, "requestedStart": dates[0], "requestedEnd": dates[-1], "assetA": base | {"assetKey": "sample-a", "growthIndex": [100, 110, 121]}, "assetB": base | {"assetKey": "sample-b", "growthIndex": [100, 95, 100]}})
|
|
16
|
+
assert result["status"] == "ok"
|
|
17
|
+
```
|
|
@@ -0,0 +1,28 @@
|
|
|
1
|
+
[project]
|
|
2
|
+
name = "return-scenario-engine"
|
|
3
|
+
version = "0.1.0"
|
|
4
|
+
requires-python = ">=3.11"
|
|
5
|
+
description = "Portable historical return scenario calculations"
|
|
6
|
+
readme = "README.md"
|
|
7
|
+
license = {file = "LICENSE"}
|
|
8
|
+
authors = [{name = "Sid Kalla"}]
|
|
9
|
+
classifiers = ["Programming Language :: Python :: 3", "Programming Language :: Python :: 3.11", "Programming Language :: Python :: 3.12"]
|
|
10
|
+
|
|
11
|
+
[project.urls]
|
|
12
|
+
Homepage = "https://github.com/sidko/return-scenario-engine"
|
|
13
|
+
Repository = "https://github.com/sidko/return-scenario-engine"
|
|
14
|
+
Issues = "https://github.com/sidko/return-scenario-engine/issues"
|
|
15
|
+
|
|
16
|
+
[project.optional-dependencies]
|
|
17
|
+
test = ["build>=1.2"]
|
|
18
|
+
|
|
19
|
+
[build-system]
|
|
20
|
+
requires = ["setuptools"]
|
|
21
|
+
build-backend = "setuptools.build_meta"
|
|
22
|
+
|
|
23
|
+
[tool.setuptools]
|
|
24
|
+
packages = ["return_scenario_engine", "return_scenario_engine.methodology"]
|
|
25
|
+
license-files = ["LICENSE", "NOTICE"]
|
|
26
|
+
|
|
27
|
+
[tool.setuptools.package-data]
|
|
28
|
+
return_scenario_engine = ["methodology/*.json"]
|
|
@@ -0,0 +1,481 @@
|
|
|
1
|
+
"""Portable public return-scenario calculations for normalized index artifacts."""
|
|
2
|
+
|
|
3
|
+
from __future__ import annotations
|
|
4
|
+
|
|
5
|
+
from datetime import date
|
|
6
|
+
from decimal import Decimal, ROUND_HALF_UP
|
|
7
|
+
import math
|
|
8
|
+
import re
|
|
9
|
+
from typing import Any
|
|
10
|
+
|
|
11
|
+
|
|
12
|
+
ARTIFACT_SCHEMA_VERSION = 1
|
|
13
|
+
METHODOLOGY_VERSION = "return-scenario-v1.0.0"
|
|
14
|
+
METHODOLOGY_HASH = "55ef9001eb8795071cfff1e135430d41952aedd8708ba1d767c3453804fd49b0"
|
|
15
|
+
SUPPORTED_SERIES_BASES = frozenset({"close_index", "adjusted_close_index"})
|
|
16
|
+
DEFAULT_FIXTURE_SERIES_BASIS = "close_index"
|
|
17
|
+
|
|
18
|
+
MIN_AMOUNT_CENTS = 100
|
|
19
|
+
MAX_AMOUNT_CENTS = 1_000_000_000
|
|
20
|
+
DATE_RE = re.compile(r"^\d{4}-\d{2}-\d{2}$")
|
|
21
|
+
CAGR_DAY_COUNT = 365.25
|
|
22
|
+
CALMAR_MIN_ABS_DRAWDOWN = 0.0001
|
|
23
|
+
ZERO_VARIANCE_SUMSQ_EPSILON = 1e-24
|
|
24
|
+
CORRELATION_CLAMP_TOLERANCE = 1e-12
|
|
25
|
+
|
|
26
|
+
|
|
27
|
+
def metric_available(value: float, display: dict[str, Any] | None = None) -> dict[str, Any]:
|
|
28
|
+
if not math.isfinite(value):
|
|
29
|
+
return metric_unavailable("nonfinite_result")
|
|
30
|
+
output: dict[str, Any] = {"available": True, "value": normalize_zero(value)}
|
|
31
|
+
if display:
|
|
32
|
+
output.update(display)
|
|
33
|
+
return output
|
|
34
|
+
|
|
35
|
+
|
|
36
|
+
def metric_unavailable(reason: str) -> dict[str, Any]:
|
|
37
|
+
return {"available": False, "reason": reason}
|
|
38
|
+
|
|
39
|
+
|
|
40
|
+
def normalize_zero(value: float) -> float:
|
|
41
|
+
return 0.0 if value == 0 else value
|
|
42
|
+
|
|
43
|
+
|
|
44
|
+
def round_half_away_from_zero(value: float, scale: int = 1) -> int:
|
|
45
|
+
if not math.isfinite(value):
|
|
46
|
+
raise ValueError("cannot round nonfinite value")
|
|
47
|
+
if isinstance(scale, bool) or not isinstance(scale, int) or scale <= 0 or scale > 9_007_199_254_740_991:
|
|
48
|
+
raise ValueError("scale must be a positive safe integer")
|
|
49
|
+
sign = -1 if value < 0 else 1
|
|
50
|
+
rounded = (Decimal(str(abs(value))) * Decimal(scale)).to_integral_value(rounding=ROUND_HALF_UP)
|
|
51
|
+
result = int(rounded)
|
|
52
|
+
if result > 9_007_199_254_740_991:
|
|
53
|
+
raise ValueError("rounded result exceeds safe integer range")
|
|
54
|
+
return sign * result
|
|
55
|
+
|
|
56
|
+
|
|
57
|
+
def display_cents(usd_value: float) -> int:
|
|
58
|
+
return round_half_away_from_zero(usd_value, 100)
|
|
59
|
+
|
|
60
|
+
|
|
61
|
+
def display_basis_points(decimal_value: float) -> int:
|
|
62
|
+
return round_half_away_from_zero(decimal_value, 10_000)
|
|
63
|
+
|
|
64
|
+
|
|
65
|
+
def display_hundredths(ratio_value: float) -> int:
|
|
66
|
+
return round_half_away_from_zero(ratio_value, 100)
|
|
67
|
+
|
|
68
|
+
|
|
69
|
+
def is_valid_civil_date(value: str) -> bool:
|
|
70
|
+
if not isinstance(value, str) or not DATE_RE.match(value):
|
|
71
|
+
return False
|
|
72
|
+
try:
|
|
73
|
+
parsed = date.fromisoformat(value)
|
|
74
|
+
except ValueError:
|
|
75
|
+
return False
|
|
76
|
+
return parsed.isoformat() == value
|
|
77
|
+
|
|
78
|
+
|
|
79
|
+
def parse_civil_date(value: str) -> date:
|
|
80
|
+
if not is_valid_civil_date(value):
|
|
81
|
+
raise ValueError(f"invalid civil date: {value}")
|
|
82
|
+
return date.fromisoformat(value)
|
|
83
|
+
|
|
84
|
+
|
|
85
|
+
def civil_day(value: str) -> int:
|
|
86
|
+
return parse_civil_date(value).toordinal()
|
|
87
|
+
|
|
88
|
+
|
|
89
|
+
def first_anniversary(value: str) -> str:
|
|
90
|
+
parsed = parse_civil_date(value)
|
|
91
|
+
try:
|
|
92
|
+
anniversary = parsed.replace(year=parsed.year + 1)
|
|
93
|
+
except ValueError:
|
|
94
|
+
anniversary = date(parsed.year + 1, 2, 28)
|
|
95
|
+
return anniversary.isoformat()
|
|
96
|
+
|
|
97
|
+
|
|
98
|
+
def parse_usd_amount_to_cents(value: str) -> dict[str, Any]:
|
|
99
|
+
if not isinstance(value, str):
|
|
100
|
+
return {"ok": False, "reason": "invalid_amount"}
|
|
101
|
+
raw = re.sub(r"^\$\s*", "", value.strip())
|
|
102
|
+
plain_amount = re.compile(r"^(0|[1-9][0-9]*)(\.[0-9]{1,2})?$")
|
|
103
|
+
grouped_amount = re.compile(r"^(0|[1-9][0-9]{0,2}(,[0-9]{3})+)(\.[0-9]{1,2})?$")
|
|
104
|
+
if not plain_amount.match(raw) and not grouped_amount.match(raw):
|
|
105
|
+
return {"ok": False, "reason": "invalid_amount"}
|
|
106
|
+
dollars, _, cents = raw.replace(",", "").partition(".")
|
|
107
|
+
parsed = int(dollars) * 100 + int(cents.ljust(2, "0") or "0")
|
|
108
|
+
if parsed < MIN_AMOUNT_CENTS or parsed > MAX_AMOUNT_CENTS:
|
|
109
|
+
return {"ok": False, "reason": "invalid_amount"}
|
|
110
|
+
return {"ok": True, "cents": parsed}
|
|
111
|
+
|
|
112
|
+
|
|
113
|
+
parse_amount_to_cents = parse_usd_amount_to_cents
|
|
114
|
+
|
|
115
|
+
|
|
116
|
+
def ordered_sum(values: list[float]) -> float:
|
|
117
|
+
"""Accumulate in input order to match the JavaScript implementation."""
|
|
118
|
+
total = 0.0
|
|
119
|
+
for value in values:
|
|
120
|
+
total += value
|
|
121
|
+
return total
|
|
122
|
+
|
|
123
|
+
|
|
124
|
+
def ordered_mean(values: list[float]) -> float:
|
|
125
|
+
return ordered_sum(values) / len(values)
|
|
126
|
+
|
|
127
|
+
|
|
128
|
+
def sample_variance(values: list[float]) -> float | None:
|
|
129
|
+
if len(values) < 2:
|
|
130
|
+
return None
|
|
131
|
+
mean = ordered_mean(values)
|
|
132
|
+
squared_deviation_sum = 0.0
|
|
133
|
+
for value in values:
|
|
134
|
+
squared_deviation_sum += (value - mean) ** 2
|
|
135
|
+
return squared_deviation_sum / (len(values) - 1)
|
|
136
|
+
|
|
137
|
+
|
|
138
|
+
def sample_stddev(values: list[float]) -> float | None:
|
|
139
|
+
variance = sample_variance(values)
|
|
140
|
+
return math.sqrt(variance) if variance is not None else None
|
|
141
|
+
|
|
142
|
+
|
|
143
|
+
def simple_returns(values: list[float]) -> list[float]:
|
|
144
|
+
returns: list[float] = []
|
|
145
|
+
for index in range(1, len(values)):
|
|
146
|
+
previous = values[index - 1]
|
|
147
|
+
current = values[index]
|
|
148
|
+
if previous <= 0 or current <= 0:
|
|
149
|
+
raise ValueError("normalized indexes must be positive")
|
|
150
|
+
returns.append(current / previous - 1)
|
|
151
|
+
return returns
|
|
152
|
+
|
|
153
|
+
|
|
154
|
+
def asset_values(asset: dict[str, Any]) -> list[Any]:
|
|
155
|
+
return asset.get("growthIndex")
|
|
156
|
+
|
|
157
|
+
|
|
158
|
+
def pearson_correlation(values_a: list[float], values_b: list[float]) -> dict[str, Any]:
|
|
159
|
+
if len(values_a) != len(values_b) or len(values_a) < 2:
|
|
160
|
+
return metric_unavailable("insufficient_data")
|
|
161
|
+
|
|
162
|
+
mean_a = ordered_mean(values_a)
|
|
163
|
+
mean_b = ordered_mean(values_b)
|
|
164
|
+
covariance = 0.0
|
|
165
|
+
sum_sq_a = 0.0
|
|
166
|
+
sum_sq_b = 0.0
|
|
167
|
+
for value_a, value_b in zip(values_a, values_b):
|
|
168
|
+
delta_a = value_a - mean_a
|
|
169
|
+
delta_b = value_b - mean_b
|
|
170
|
+
covariance += delta_a * delta_b
|
|
171
|
+
sum_sq_a += delta_a * delta_a
|
|
172
|
+
sum_sq_b += delta_b * delta_b
|
|
173
|
+
|
|
174
|
+
if sum_sq_a <= ZERO_VARIANCE_SUMSQ_EPSILON or sum_sq_b <= ZERO_VARIANCE_SUMSQ_EPSILON:
|
|
175
|
+
return metric_unavailable("zero_variance")
|
|
176
|
+
|
|
177
|
+
correlation = covariance / math.sqrt(sum_sq_a * sum_sq_b)
|
|
178
|
+
if abs(abs(correlation) - 1) <= CORRELATION_CLAMP_TOLERANCE:
|
|
179
|
+
correlation = 1.0 if correlation > 0 else -1.0
|
|
180
|
+
elif correlation < -1 or correlation > 1:
|
|
181
|
+
return metric_unavailable("nonfinite_result")
|
|
182
|
+
return metric_available(correlation, {"displayHundredths": display_hundredths(correlation)})
|
|
183
|
+
|
|
184
|
+
|
|
185
|
+
def drawdown_stats(values: list[float], dates: list[str]) -> dict[str, Any]:
|
|
186
|
+
if len(values) < 2:
|
|
187
|
+
return {
|
|
188
|
+
"maxDrawdown": metric_unavailable("insufficient_data"),
|
|
189
|
+
"peakDate": None,
|
|
190
|
+
"troughDate": None,
|
|
191
|
+
"recoveryDate": None,
|
|
192
|
+
"recoveryDays": None,
|
|
193
|
+
"recoveryStatus": "not_applicable",
|
|
194
|
+
}
|
|
195
|
+
|
|
196
|
+
running_peak = values[0]
|
|
197
|
+
running_peak_at_trough = values[0]
|
|
198
|
+
trough_index = 0
|
|
199
|
+
max_drawdown = 0.0
|
|
200
|
+
|
|
201
|
+
for index, value in enumerate(values):
|
|
202
|
+
if value >= running_peak:
|
|
203
|
+
running_peak = value
|
|
204
|
+
drawdown = value / running_peak - 1
|
|
205
|
+
if drawdown < max_drawdown:
|
|
206
|
+
max_drawdown = drawdown
|
|
207
|
+
trough_index = index
|
|
208
|
+
running_peak_at_trough = running_peak
|
|
209
|
+
|
|
210
|
+
if max_drawdown == 0:
|
|
211
|
+
return {
|
|
212
|
+
"maxDrawdown": metric_available(0.0, {"displayBasisPoints": 0}),
|
|
213
|
+
"peakDate": None,
|
|
214
|
+
"troughDate": None,
|
|
215
|
+
"recoveryDate": None,
|
|
216
|
+
"recoveryDays": None,
|
|
217
|
+
"recoveryStatus": "not_applicable",
|
|
218
|
+
}
|
|
219
|
+
|
|
220
|
+
peak_index = 0
|
|
221
|
+
for index in range(0, trough_index + 1):
|
|
222
|
+
if values[index] == running_peak_at_trough:
|
|
223
|
+
peak_index = index
|
|
224
|
+
|
|
225
|
+
recovery_index = None
|
|
226
|
+
for index in range(trough_index, len(values)):
|
|
227
|
+
if values[index] >= running_peak_at_trough:
|
|
228
|
+
recovery_index = index
|
|
229
|
+
break
|
|
230
|
+
|
|
231
|
+
return {
|
|
232
|
+
"maxDrawdown": metric_available(max_drawdown, {"displayBasisPoints": display_basis_points(max_drawdown)}),
|
|
233
|
+
"peakDate": dates[peak_index],
|
|
234
|
+
"troughDate": dates[trough_index],
|
|
235
|
+
"recoveryDate": dates[recovery_index] if recovery_index is not None else None,
|
|
236
|
+
"recoveryDays": civil_day(dates[recovery_index]) - civil_day(dates[trough_index]) if recovery_index is not None else None,
|
|
237
|
+
"recoveryStatus": "recovered" if recovery_index is not None else "not_recovered",
|
|
238
|
+
}
|
|
239
|
+
|
|
240
|
+
|
|
241
|
+
def validate_asset(asset: dict[str, Any]) -> bool:
|
|
242
|
+
asset_key = asset.get("assetKey")
|
|
243
|
+
if not isinstance(asset_key, str) or not asset_key:
|
|
244
|
+
return False
|
|
245
|
+
series_basis = asset.get("seriesBasis")
|
|
246
|
+
if series_basis not in SUPPORTED_SERIES_BASES:
|
|
247
|
+
return False
|
|
248
|
+
dates = asset.get("dates")
|
|
249
|
+
values = asset_values(asset)
|
|
250
|
+
if not isinstance(dates, list) or not isinstance(values, list) or len(dates) != len(values):
|
|
251
|
+
return False
|
|
252
|
+
if not dates:
|
|
253
|
+
return False
|
|
254
|
+
annualization_factor = asset.get("annualizationFactor")
|
|
255
|
+
if (
|
|
256
|
+
isinstance(annualization_factor, bool)
|
|
257
|
+
or not isinstance(annualization_factor, (int, float))
|
|
258
|
+
or not math.isfinite(annualization_factor)
|
|
259
|
+
or annualization_factor <= 0
|
|
260
|
+
):
|
|
261
|
+
return False
|
|
262
|
+
previous = None
|
|
263
|
+
for current_date, value in zip(dates, values):
|
|
264
|
+
if not is_valid_civil_date(current_date):
|
|
265
|
+
return False
|
|
266
|
+
if previous is not None and current_date <= previous:
|
|
267
|
+
return False
|
|
268
|
+
if isinstance(value, bool) or not isinstance(value, (int, float)) or not math.isfinite(value) or value <= 0:
|
|
269
|
+
return False
|
|
270
|
+
previous = current_date
|
|
271
|
+
return True
|
|
272
|
+
|
|
273
|
+
|
|
274
|
+
def check_methodology(asset_a: dict[str, Any], asset_b: dict[str, Any]) -> bool:
|
|
275
|
+
return (
|
|
276
|
+
asset_a.get("schemaVersion") == ARTIFACT_SCHEMA_VERSION
|
|
277
|
+
and asset_b.get("schemaVersion") == ARTIFACT_SCHEMA_VERSION
|
|
278
|
+
and asset_a.get("methodologyVersion") == METHODOLOGY_VERSION
|
|
279
|
+
and asset_b.get("methodologyVersion") == METHODOLOGY_VERSION
|
|
280
|
+
and asset_a.get("seriesBasis") in SUPPORTED_SERIES_BASES
|
|
281
|
+
and asset_b.get("seriesBasis") in SUPPORTED_SERIES_BASES
|
|
282
|
+
)
|
|
283
|
+
|
|
284
|
+
|
|
285
|
+
def date_to_index(asset: dict[str, Any]) -> dict[str, int]:
|
|
286
|
+
return {current_date: index for index, current_date in enumerate(asset["dates"])}
|
|
287
|
+
|
|
288
|
+
|
|
289
|
+
def native_window(asset: dict[str, Any], effective_start: str, effective_end: str) -> tuple[list[str], list[float]]:
|
|
290
|
+
dates: list[str] = []
|
|
291
|
+
values: list[float] = []
|
|
292
|
+
for current_date, value in zip(asset["dates"], asset_values(asset)):
|
|
293
|
+
if effective_start <= current_date <= effective_end:
|
|
294
|
+
dates.append(current_date)
|
|
295
|
+
values.append(float(value))
|
|
296
|
+
return dates, values
|
|
297
|
+
|
|
298
|
+
|
|
299
|
+
def asset_metrics(asset: dict[str, Any], dates: list[str], values: list[float], amount_cents: int, elapsed_days: int) -> dict[str, Any]:
|
|
300
|
+
amount_usd = amount_cents / 100
|
|
301
|
+
growth = values[-1] / values[0]
|
|
302
|
+
ending_value_usd = amount_usd * growth
|
|
303
|
+
ending_value_cents = display_cents(ending_value_usd)
|
|
304
|
+
profit_loss_usd = ending_value_usd - amount_usd
|
|
305
|
+
profit_loss_cents = ending_value_cents - amount_cents
|
|
306
|
+
total_return = growth - 1
|
|
307
|
+
returns = simple_returns(values)
|
|
308
|
+
drawdown = drawdown_stats(values, dates)
|
|
309
|
+
|
|
310
|
+
cagr = metric_unavailable("period_too_short")
|
|
311
|
+
if elapsed_days >= 30:
|
|
312
|
+
cagr_value = growth ** (CAGR_DAY_COUNT / elapsed_days) - 1
|
|
313
|
+
cagr = metric_available(cagr_value, {"displayBasisPoints": display_basis_points(cagr_value)})
|
|
314
|
+
|
|
315
|
+
volatility = metric_unavailable("insufficient_data")
|
|
316
|
+
if len(returns) >= 30:
|
|
317
|
+
stddev = sample_stddev(returns)
|
|
318
|
+
if stddev is not None:
|
|
319
|
+
volatility_value = stddev * math.sqrt(float(asset.get("annualizationFactor", 252)))
|
|
320
|
+
volatility = metric_available(volatility_value, {"displayBasisPoints": display_basis_points(volatility_value)})
|
|
321
|
+
|
|
322
|
+
calmar = metric_unavailable("period_too_short")
|
|
323
|
+
drawdown_metric = drawdown["maxDrawdown"]
|
|
324
|
+
first_anniversary_reached = dates[-1] >= first_anniversary(dates[0])
|
|
325
|
+
if first_anniversary_reached and cagr["available"] and drawdown_metric["available"]:
|
|
326
|
+
max_drawdown = drawdown_metric["value"]
|
|
327
|
+
if abs(max_drawdown) >= CALMAR_MIN_ABS_DRAWDOWN:
|
|
328
|
+
calmar_value = cagr["value"] / abs(max_drawdown)
|
|
329
|
+
calmar = metric_available(calmar_value, {"displayHundredths": display_hundredths(calmar_value)})
|
|
330
|
+
else:
|
|
331
|
+
calmar = metric_unavailable("zero_drawdown")
|
|
332
|
+
|
|
333
|
+
return {
|
|
334
|
+
"endingValueUsd": normalize_zero(ending_value_usd),
|
|
335
|
+
"endingValueCents": ending_value_cents,
|
|
336
|
+
"profitLossUsd": normalize_zero(profit_loss_usd),
|
|
337
|
+
"profitLossCents": profit_loss_cents,
|
|
338
|
+
"totalReturn": metric_available(total_return, {"displayBasisPoints": display_basis_points(total_return)}),
|
|
339
|
+
"cagr": cagr,
|
|
340
|
+
"volatility": volatility,
|
|
341
|
+
"drawdown": drawdown,
|
|
342
|
+
"calmar": calmar,
|
|
343
|
+
"nativeObservationCount": len(values),
|
|
344
|
+
"nativeReturnCount": len(returns),
|
|
345
|
+
"periodOutcome": "gain" if profit_loss_cents > 0 else "loss" if profit_loss_cents < 0 else "unchanged",
|
|
346
|
+
}
|
|
347
|
+
|
|
348
|
+
|
|
349
|
+
def compare_display_values(metric_a: dict[str, Any], metric_b: dict[str, Any], display_key: str) -> str:
|
|
350
|
+
if not metric_a.get("available") or not metric_b.get("available"):
|
|
351
|
+
return "unavailable"
|
|
352
|
+
value_a = metric_a[display_key]
|
|
353
|
+
value_b = metric_b[display_key]
|
|
354
|
+
if value_a == value_b:
|
|
355
|
+
return "tie"
|
|
356
|
+
return "asset_a" if value_a > value_b else "asset_b"
|
|
357
|
+
|
|
358
|
+
|
|
359
|
+
def compare_ending_value(metrics_a: dict[str, Any], metrics_b: dict[str, Any]) -> str:
|
|
360
|
+
value_a = metrics_a["endingValueCents"]
|
|
361
|
+
value_b = metrics_b["endingValueCents"]
|
|
362
|
+
if value_a == value_b:
|
|
363
|
+
return "tie"
|
|
364
|
+
return "asset_a" if value_a > value_b else "asset_b"
|
|
365
|
+
|
|
366
|
+
|
|
367
|
+
def compare_deeper_drawdown(metrics_a: dict[str, Any], metrics_b: dict[str, Any]) -> str:
|
|
368
|
+
drawdown_a = metrics_a["drawdown"]["maxDrawdown"]
|
|
369
|
+
drawdown_b = metrics_b["drawdown"]["maxDrawdown"]
|
|
370
|
+
if not drawdown_a.get("available") or not drawdown_b.get("available"):
|
|
371
|
+
return "unavailable"
|
|
372
|
+
value_a = drawdown_a["displayBasisPoints"]
|
|
373
|
+
value_b = drawdown_b["displayBasisPoints"]
|
|
374
|
+
if value_a == value_b:
|
|
375
|
+
return "tie"
|
|
376
|
+
return "asset_a" if value_a < value_b else "asset_b"
|
|
377
|
+
|
|
378
|
+
|
|
379
|
+
def calculate_scenario(input_payload: dict[str, Any]) -> dict[str, Any]:
|
|
380
|
+
if not isinstance(input_payload, dict):
|
|
381
|
+
raise ValueError("invalid scenario input")
|
|
382
|
+
|
|
383
|
+
asset_a = input_payload.get("assetA")
|
|
384
|
+
asset_b = input_payload.get("assetB")
|
|
385
|
+
amount_cents = input_payload.get("amountCents")
|
|
386
|
+
requested_start = input_payload.get("requestedStart")
|
|
387
|
+
requested_end = input_payload.get("requestedEnd")
|
|
388
|
+
|
|
389
|
+
if not isinstance(asset_a, dict) or not isinstance(asset_b, dict):
|
|
390
|
+
raise ValueError("invalid asset artifact")
|
|
391
|
+
asset_key_a = asset_a.get("assetKey")
|
|
392
|
+
asset_key_b = asset_b.get("assetKey")
|
|
393
|
+
if not isinstance(asset_key_a, str) or not asset_key_a or not isinstance(asset_key_b, str) or not asset_key_b:
|
|
394
|
+
raise ValueError("invalid asset artifact")
|
|
395
|
+
if asset_key_a == asset_key_b:
|
|
396
|
+
return {"status": "error", "reason": "same_asset"}
|
|
397
|
+
if isinstance(amount_cents, bool) or not isinstance(amount_cents, int) or amount_cents < MIN_AMOUNT_CENTS or amount_cents > MAX_AMOUNT_CENTS:
|
|
398
|
+
return {"status": "error", "reason": "invalid_amount"}
|
|
399
|
+
if not is_valid_civil_date(requested_start) or not is_valid_civil_date(requested_end):
|
|
400
|
+
return {"status": "error", "reason": "invalid_date"}
|
|
401
|
+
if requested_start > requested_end:
|
|
402
|
+
return {"status": "error", "reason": "start_after_end"}
|
|
403
|
+
if not check_methodology(asset_a, asset_b):
|
|
404
|
+
return {"status": "error", "reason": "methodology_mismatch"}
|
|
405
|
+
if not validate_asset(asset_a) or not validate_asset(asset_b):
|
|
406
|
+
raise ValueError("invalid asset artifact")
|
|
407
|
+
|
|
408
|
+
index_a = date_to_index(asset_a)
|
|
409
|
+
index_b = date_to_index(asset_b)
|
|
410
|
+
shared_dates = [current_date for current_date in asset_a["dates"] if current_date in index_b]
|
|
411
|
+
if not shared_dates:
|
|
412
|
+
return {"status": "error", "reason": "no_overlap"}
|
|
413
|
+
|
|
414
|
+
requested_shared_dates = [current_date for current_date in shared_dates if requested_start <= current_date <= requested_end]
|
|
415
|
+
if not requested_shared_dates:
|
|
416
|
+
return {"status": "error", "reason": "no_overlap"}
|
|
417
|
+
|
|
418
|
+
effective_start = next((current_date for current_date in shared_dates if current_date >= requested_start), None)
|
|
419
|
+
effective_end = next((current_date for current_date in reversed(shared_dates) if current_date <= requested_end), None)
|
|
420
|
+
if effective_start is None or effective_end is None or effective_start >= effective_end:
|
|
421
|
+
return {"status": "error", "reason": "insufficient_shared_observations"}
|
|
422
|
+
|
|
423
|
+
selected_shared_dates = [current_date for current_date in shared_dates if effective_start <= current_date <= effective_end]
|
|
424
|
+
if len(selected_shared_dates) < 2:
|
|
425
|
+
return {"status": "error", "reason": "insufficient_shared_observations"}
|
|
426
|
+
|
|
427
|
+
elapsed_days = civil_day(effective_end) - civil_day(effective_start)
|
|
428
|
+
if elapsed_days <= 0:
|
|
429
|
+
return {"status": "error", "reason": "insufficient_shared_observations"}
|
|
430
|
+
|
|
431
|
+
native_dates_a, native_values_a = native_window(asset_a, effective_start, effective_end)
|
|
432
|
+
native_dates_b, native_values_b = native_window(asset_b, effective_start, effective_end)
|
|
433
|
+
values_a = asset_values(asset_a)
|
|
434
|
+
values_b = asset_values(asset_b)
|
|
435
|
+
shared_values_a = [float(values_a[index_a[current_date]]) for current_date in selected_shared_dates]
|
|
436
|
+
shared_values_b = [float(values_b[index_b[current_date]]) for current_date in selected_shared_dates]
|
|
437
|
+
|
|
438
|
+
metrics_a = asset_metrics(asset_a, native_dates_a, native_values_a, amount_cents, elapsed_days)
|
|
439
|
+
metrics_b = asset_metrics(asset_b, native_dates_b, native_values_b, amount_cents, elapsed_days)
|
|
440
|
+
shared_returns_a = simple_returns(shared_values_a)
|
|
441
|
+
shared_returns_b = simple_returns(shared_values_b)
|
|
442
|
+
correlation = (
|
|
443
|
+
pearson_correlation(shared_returns_a, shared_returns_b)
|
|
444
|
+
if len(shared_returns_a) >= 30 and len(shared_returns_b) >= 30
|
|
445
|
+
else metric_unavailable("insufficient_data")
|
|
446
|
+
)
|
|
447
|
+
amount_usd = amount_cents / 100
|
|
448
|
+
|
|
449
|
+
return {
|
|
450
|
+
"status": "ok",
|
|
451
|
+
"scenario": {
|
|
452
|
+
"methodologyVersion": METHODOLOGY_VERSION,
|
|
453
|
+
"methodologyContractHash": METHODOLOGY_HASH,
|
|
454
|
+
"amountCents": amount_cents,
|
|
455
|
+
"requestedStart": requested_start,
|
|
456
|
+
"requestedEnd": requested_end,
|
|
457
|
+
"effectiveStart": effective_start,
|
|
458
|
+
"effectiveEnd": effective_end,
|
|
459
|
+
"startSnap": "exact" if effective_start == requested_start else "forward",
|
|
460
|
+
"endSnap": "exact" if effective_end == requested_end else "backward",
|
|
461
|
+
"elapsedDays": elapsed_days,
|
|
462
|
+
"sharedObservationCount": len(selected_shared_dates),
|
|
463
|
+
"assetA": metrics_a,
|
|
464
|
+
"assetB": metrics_b,
|
|
465
|
+
"pair": {
|
|
466
|
+
"correlation": correlation,
|
|
467
|
+
"sharedReturnCount": len(shared_returns_a),
|
|
468
|
+
},
|
|
469
|
+
"wealthPath": [
|
|
470
|
+
{
|
|
471
|
+
"date": current_date,
|
|
472
|
+
"assetAUsd": normalize_zero(amount_usd * float(values_a[index_a[current_date]]) / shared_values_a[0]),
|
|
473
|
+
"assetBUsd": normalize_zero(amount_usd * float(values_b[index_b[current_date]]) / shared_values_b[0]),
|
|
474
|
+
}
|
|
475
|
+
for current_date in selected_shared_dates
|
|
476
|
+
],
|
|
477
|
+
"endingValueWinner": compare_ending_value(metrics_a, metrics_b),
|
|
478
|
+
"totalReturnWinner": compare_display_values(metrics_a["totalReturn"], metrics_b["totalReturn"], "displayBasisPoints"),
|
|
479
|
+
"deeperDrawdownAsset": compare_deeper_drawdown(metrics_a, metrics_b),
|
|
480
|
+
},
|
|
481
|
+
}
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
"""Versioned methodology documents bundled with the Python distribution."""
|
|
@@ -0,0 +1,42 @@
|
|
|
1
|
+
{
|
|
2
|
+
"schemaVersion": 1,
|
|
3
|
+
"methodologyVersion": "return-scenario-v1.0.0",
|
|
4
|
+
"constants": {
|
|
5
|
+
"amountCentsMin": 100,
|
|
6
|
+
"amountCentsMax": 1000000000,
|
|
7
|
+
"cagrDayCount": 365.25,
|
|
8
|
+
"calmarMinAbsDrawdown": 0.0001,
|
|
9
|
+
"defaultAnnualizationFactor": 252
|
|
10
|
+
},
|
|
11
|
+
"dateAlignment": {
|
|
12
|
+
"civilDatePattern": "YYYY-MM-DD",
|
|
13
|
+
"timezone": "utc_civil_day_ordinals",
|
|
14
|
+
"startSnap": "first_shared_on_or_after_request",
|
|
15
|
+
"endSnap": "last_shared_on_or_before_request",
|
|
16
|
+
"sharedMetrics": "shared_observation_dates_only",
|
|
17
|
+
"nativeMetrics": "per_asset_native_observations_between_shared_effective_boundaries"
|
|
18
|
+
},
|
|
19
|
+
"formulas": {
|
|
20
|
+
"totalReturn": "index_end/index_start-1",
|
|
21
|
+
"endingValueUsd": "amount_usd*index_end/index_start",
|
|
22
|
+
"cagr": "pow(index_end/index_start,365.25/elapsed_calendar_days)-1",
|
|
23
|
+
"realizedVolatility": "sample_stddev_native_simple_returns_ddof_1*sqrt(annualization_factor)",
|
|
24
|
+
"drawdown": "index_t/running_max(index_0_to_t)-1",
|
|
25
|
+
"calmar": "cagr/abs(max_drawdown)",
|
|
26
|
+
"correlation": "pearson_aligned_shared_simple_returns_ordered_centered_sums"
|
|
27
|
+
},
|
|
28
|
+
"minimumEvidence": {
|
|
29
|
+
"totalReturnSharedPrices": 2,
|
|
30
|
+
"cagrElapsedCalendarDays": 30,
|
|
31
|
+
"volatilityNativeReturns": 30,
|
|
32
|
+
"drawdownNativePrices": 2,
|
|
33
|
+
"correlationSharedReturns": 30,
|
|
34
|
+
"calmarFirstAnniversaryRequired": true
|
|
35
|
+
},
|
|
36
|
+
"rounding": {
|
|
37
|
+
"money": "integer_cents_half_away_from_zero",
|
|
38
|
+
"percent": "integer_basis_points_half_away_from_zero",
|
|
39
|
+
"ratio": "integer_hundredths_half_away_from_zero",
|
|
40
|
+
"negativeZero": "normalize_to_positive_zero"
|
|
41
|
+
}
|
|
42
|
+
}
|
|
@@ -0,0 +1,238 @@
|
|
|
1
|
+
Metadata-Version: 2.4
|
|
2
|
+
Name: return-scenario-engine
|
|
3
|
+
Version: 0.1.0
|
|
4
|
+
Summary: Portable historical return scenario calculations
|
|
5
|
+
Author: Sid Kalla
|
|
6
|
+
License: Apache License
|
|
7
|
+
Version 2.0, January 2004
|
|
8
|
+
http://www.apache.org/licenses/
|
|
9
|
+
|
|
10
|
+
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|
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# return-scenario-engine (Python)
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The Python distribution provides the same dependency-free normalized-index
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scenario API, methodology JSON, public SHA-256 hash, and synthetic golden corpus
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as the TypeScript package. Install with `python -m pip install
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dictionaries. Full contract, limits, examples, and security guidance are in the
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```python
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from return_scenario_engine import calculate_scenario
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dates = ["2024-01-01", "2024-01-02", "2024-01-03"]
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base = {"schemaVersion": 1, "methodologyVersion": "return-scenario-v1.0.0", "seriesBasis": "close_index", "annualizationFactor": 365, "dates": dates}
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result = calculate_scenario({"amountCents": 100_000, "requestedStart": dates[0], "requestedEnd": dates[-1], "assetA": base | {"assetKey": "sample-a", "growthIndex": [100, 110, 121]}, "assetB": base | {"assetKey": "sample-b", "growthIndex": [100, 95, 100]}})
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assert result["status"] == "ok"
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```
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