riskfolio-lib 7.2.0__cp313-cp313-macosx_10_13_x86_64.whl

riskfolio/__init__.py

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+""""""  #
+
+"""
+Copyright (c) 2020-2026, Dany Cajas
+All rights reserved.
+This work is licensed under BSD 3-Clause "New" or "Revised" License.
+License available at https://github.com/dcajasn/Riskfolio-Lib/blob/master/LICENSE.txt
+"""
+
+from riskfolio.src import *
+from riskfolio.external import *
+from riskfolio.version import (
+    version as __version__,
+)  # riskfolio/version.py is auto-generated

riskfolio/external/__init__.py

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+""""""  #
+
+"""
+Copyright (c) 2020-2026, Dany Cajas
+All rights reserved.
+This work is licensed under BSD 3-Clause "New" or "Revised" License.
+License available at https://github.com/dcajasn/Riskfolio-Lib/blob/master/LICENSE.txt
+"""
+
+from .cppfunctions import *

riskfolio/external/cppfunctions.py

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+""""""  #
+
+"""
+Copyright (c) 2020-2026, Dany Cajas
+All rights reserved.
+This work is licensed under BSD 3-Clause "New" or "Revised" License.
+License available at https://github.com/dcajasn/Riskfolio-Lib/blob/master/LICENSE.txt
+"""
+
+import numpy as np
+import pandas as pd
+from riskfolio.external.functions import *
+from itertools import product
+
+__all__ = [
+    "duplication_matrix",
+    "duplication_elimination_matrix",
+    "duplication_summation_matrix",
+    "commutation_matrix",
+    "coskewness_matrix",
+    "semi_coskewness_matrix",
+    "cokurtosis_matrix",
+    "semi_cokurtosis_matrix",
+    "k_eigh",
+    "d_corr",
+    "d_corr_matrix",
+    "residuals_coskewness_fm",
+    "residuals_cokurtosis_fm",
+]
+
+
+def duplication_matrix(n: int, diag: bool = True):
+    r"""
+    Calculate duplication matrix of size "n" as shown in :cite:`d-Magnus1980`.
+
+    Parameters
+    ----------
+    n : int
+        Number of assets.
+
+    Returns
+    -------
+    D: np.ndarray
+        Duplication matrix
+    """
+    return cpp_duplication_matrix(n, diag)
+
+
+def duplication_elimination_matrix(n: int, diag: bool = True):
+    r"""
+    Calculate duplication elimination matrix of size "n" as shown in :cite:`d-Magnus1980`.
+
+    Parameters
+    ----------
+    n : int
+        Number of assets.
+
+    Returns
+    -------
+    L: np.ndarray
+        Duplication matrix
+    """
+    return cpp_duplication_elimination_matrix(n, diag)
+
+
+def duplication_summation_matrix(n: int, diag: bool = True):
+    r"""
+    Calculate duplication summation matrix of size "n" as shown in :cite:`d-Cajas4`.
+
+    Parameters
+    ----------
+    n : int
+        Number of assets.
+
+    Returns
+    -------
+    S: np.ndarray
+        Duplication summation matrix.
+    """
+    return cpp_duplication_summation_matrix(n, diag)
+
+
+def commutation_matrix(T: int, n: int):
+    r"""
+    Calculate commutation matrix of size T x n.
+
+    Parameters
+    ----------
+    T : int
+        Number of rows.
+
+    n : int
+        Number of columns.
+
+    Returns
+    -------
+    K: np.ndarray
+        Duplication summation matrix.
+    """
+    return cpp_commutation_matrix(T, n)
+
+
+def coskewness_matrix(Y: np.ndarray):
+    r"""
+    Calculates coskewness rectangular matrix as shown in :cite:`d-Cajas4`.
+
+    Parameters
+    ----------
+    Y : ndarray or dataframe
+        Returns series of shape n_sample x n_features.
+
+    Returns
+    -------
+    M3 : ndarray
+        The lower semi coskewness rectangular matrix.
+
+    Raises
+    ------
+        ValueError when the value cannot be calculated.
+
+    """
+    flag = False
+    if isinstance(Y, pd.DataFrame):
+        assets = Y.columns.tolist()
+        cols = list(product(assets, assets))
+        cols = [str(y) + " - " + str(x) for x, y in cols]
+        flag = True
+
+    Y_ = np.array(Y, ndmin=2)
+    M3 = cpp_coskewness_matrix(Y_, semi=False)
+
+    if flag:
+        M3 = pd.DataFrame(M3, index=assets, columns=cols)
+
+    return M3
+
+
+def semi_coskewness_matrix(Y: np.ndarray):
+    r"""
+    Calculates lower semi coskewness rectangular matrix as shown in :cite:`d-Cajas4`.
+
+    Parameters
+    ----------
+    Y : ndarray or dataframe
+        Returns series of shape n_samples x n_features.
+
+    Returns
+    -------
+    s_M3 : ndarray
+        The lower semi coskewness rectangular matrix.
+
+    Raises
+    ------
+        ValueError when the value cannot be calculated.
+
+    """
+    flag = False
+    if isinstance(Y, pd.DataFrame):
+        assets = Y.columns.tolist()
+        cols = list(product(assets, assets))
+        cols = [str(y) + " - " + str(x) for x, y in cols]
+        flag = True
+
+    Y_ = np.array(Y, ndmin=2)
+    s_M3 = cpp_coskewness_matrix(Y_, semi=True)
+
+    if flag:
+        s_M3 = pd.DataFrame(s_M3, index=assets, columns=cols)
+
+    return s_M3
+
+
+def cokurtosis_matrix(Y: np.ndarray):
+    r"""
+    Calculates cokurtosis square matrix as shown in :cite:`d-Cajas4`.
+
+    Parameters
+    ----------
+    Y : ndarray or dataframe
+        Returns series of shape n_samples x n_features.
+
+    Returns
+    -------
+    S4 : ndarray
+        The cokurtosis square matrix.
+
+    Raises
+    ------
+        ValueError when the value cannot be calculated.
+
+    """
+    flag = False
+    if isinstance(Y, pd.DataFrame):
+        assets = Y.columns.tolist()
+        cols = list(product(assets, assets))
+        cols = [str(y) + " - " + str(x) for x, y in cols]
+        flag = True
+
+    Y_ = np.array(Y, ndmin=2)
+    S4 = cpp_cokurtosis_matrix(Y_, semi=False)
+
+    if flag:
+        S4 = pd.DataFrame(S4, index=cols, columns=cols)
+
+    return S4
+
+
+def semi_cokurtosis_matrix(Y: np.ndarray):
+    r"""
+    Calculates lower semi cokurtosis square matrix as shown in :cite:`d-Cajas4`.
+
+    Parameters
+    ----------
+    Y : ndarray or dataframe
+        Returns series of shape n_sample x n_features.
+
+    Returns
+    -------
+    s_S4 : ndarray
+        The lower semi cokurtosis square matrix.
+
+    Raises
+    ------
+        ValueError when the value cannot be calculated.
+
+    """
+    flag = False
+    if isinstance(Y, pd.DataFrame):
+        assets = Y.columns.tolist()
+        cols = list(product(assets, assets))
+        cols = [str(y) + " - " + str(x) for x, y in cols]
+        flag = True
+
+    Y_ = np.array(Y, ndmin=2)
+    s_S4 = cpp_cokurtosis_matrix(Y_, semi=True)
+
+    if flag:
+        s_S4 = pd.DataFrame(s_S4, index=cols, columns=cols)
+
+    return s_S4
+
+
+def k_eigh(Y: np.ndarray, k: int):
+    r"""
+    Calculates lower semi cokurtosis square matrix as shown in :cite:`d-Cajas4`.
+
+    Parameters
+    ----------
+    Y : ndarray or dataframe
+        Returns series of shape n_sample x n_features.
+
+    Returns
+    -------
+    s_S4 : ndarray
+        The lower semi cokurtosis square matrix.
+
+    Raises
+    ------
+        ValueError when the value cannot be calculated.
+    """
+    Y_ = np.array(Y, ndmin=2)
+    eigvalues, eigvectors = cpp_k_eigh(Y_, k)
+
+    return eigvalues, eigvectors
+
+
+def d_corr(X: np.ndarray, Y: np.ndarray):
+    r"""
+    Calculates the distance correlation of X and Y.
+
+    Parameters
+    ----------
+    X : ndarray or dataframe
+        Returns series of shape n_sample x n_features.
+    Y : ndarray or dataframe
+        Returns series of shape n_sample x n_features.
+
+    Returns
+    -------
+    value : float
+        Distance correlation.
+
+    Raises
+    ------
+        ValueError when the value cannot be calculated.
+    """
+    X_ = np.array(X, ndmin=2)
+    Y_ = np.array(Y, ndmin=2)
+    value = cpp_dcorr(X_, Y_)
+
+    return value
+
+
+def d_corr_matrix(Y: np.ndarray):
+    r"""
+    Calculates the distance correlation matrix of matrix of variables Y.
+
+    Parameters
+    ----------
+    Y : ndarray or dataframe
+        Returns series of shape n_sample x n_features.
+
+    Returns
+    -------
+    value : float
+        Distance correlation.
+
+    Raises
+    ------
+        ValueError when the value cannot be calculated.
+
+    """
+    Y_ = np.array(Y, ndmin=2)
+    value = cpp_dcorr_matrix(Y_)
+
+    return value
+
+
+def residuals_coskewness_fm(residuals: np.ndarray):
+    r"""
+    Calculates the coskewness tensor of residuals of a risk factors model.
+
+    Parameters
+    ----------
+    residuals : ndarray or dataframe
+        Ndarray or DataFrame of residuals of the risk factors model of shape n_samples x 1.
+
+    Returns
+    -------
+    value : float
+        Coskewness tensor of residuals of a risk factors model.
+
+    Raises
+    ------
+        ValueError when the value cannot be calculated.
+
+    """
+    residuals_ = np.array(residuals, ndmin=2)
+
+    value = cpp_residuals_coskewness_fm(residuals_)
+
+    return value
+
+
+def residuals_cokurtosis_fm(B: np.ndarray, S_f: np.ndarray, residuals: np.ndarray):
+    r"""
+    Calculates the cokurtosis square matrix of residuals of a risk factors model.
+
+    Parameters
+    ----------
+    B : ndarray or dataframe
+        The loadings matrix.
+
+    S_f : ndarray or dataframe
+        Covariance matrix of the risk factors.
+
+    residuals : ndarray or dataframe
+        Ndarray or DataFrame of residuals of the risk factors model of shape n_samples x 1.
+
+    Returns
+    -------
+    value : float
+        Cokurtosis square matrix of residuals of a risk factors model.
+
+    Raises
+    ------
+        ValueError when the value cannot be calculated.
+
+    """
+    B_ = np.array(B, ndmin=2)
+    S_f_ = np.array(S_f, ndmin=2)
+    residuals_ = np.array(residuals, ndmin=2)
+
+    value = cpp_residuals_cokurtosis_fm(B_, S_f_, residuals_)
+
+    return value