siat 3.0.4__py3-none-any.whl → 3.0.10__py3-none-any.whl

siat/allin.py

@@ -60,7 +60,8 @@ from siat.option_china import *
 from siat.holding_risk import *
 
 # 投资组合理论
-from siat.markowitz import *
+#from siat.markowitz import *
+from siat.markowitz2 import *
 
 # 投资组合理论自助式示意图
 #from siat.markowitz_simple import *

siat/common.py

@@ -466,7 +466,8 @@ def portfolio_name(portfolio):
     try:
         name=portfolio[keylist[0]][2]
     except:
-        name="PF1"
+        #name="PF1"
+        e=text_lang("投资组合","Investment Portfolio")
 
     return name    
 
@@ -2384,12 +2385,24 @@ def descriptive_statistics2(df,titletxt,footnote,decimals=4,sortby='tpw_mean', \
             print("\n"+footnote)
             
         else: #style打印
+            """
             print("\n"+titletxt)
             dst6sd= dst6.style.set_properties(**{'text-align': 'center'})
             from IPython.display import display
             display(dst6sd)
             print(footnote+"\n")
-    
+            """
+            # 处理表格标题
+            dst6sd1=dst6.style.set_caption(titletxt).set_table_styles(
+                [{'selector':'caption',
+                  'props':[('color','black'),('font-size','16px'),('font-weight','bold')]}])        
+            # 列居中
+            dst6sd2=dst6sd1.set_properties(**{'text-align':'center'})
+            
+            from IPython.display import display
+            display(dst6sd2)  
+            print(footnote+"\n")
+            
     return dst5
 
 

siat/fama_french.py

@@ -274,6 +274,8 @@ if __name__=='__main__':
     scope='US'
     rate_period='1Y'
     rate_type='shibor'
+    
+    rfd=get_rf_daily(start,end)
 
 def get_rf_daily(start,end,scope='US',rate_period='1Y',rate_type='shibor'):
     """

siat/markowitz.py

@@ -225,10 +225,13 @@ def portfolio_hpr(portfolio,thedate,pastyears=1, \
 
 #==============================================================================
 if __name__=='__main__':
+    Market={'Market':('US','^GSPC')}
     Market={'Market':('US','^GSPC','我的组合001')}
     Stocks1={'AAPL':.3,'MSFT':.15,'AMZN':.15,'FB':.01,'GOOG':.01}
     Stocks2={'XOM':.02,'JNJ':.02,'JPM':.01,'TSLA':.3,'SBUX':.03}
     portfolio=dict(Market,**Stocks1,**Stocks2)
+
+    ticker_name(portfolio)
     
     thedate='2023-2-17'
     pastyears=1
@@ -241,7 +244,7 @@ def portfolio_cumret(portfolio,thedate,pastyears=1, \
                      rate_period='1Y',rate_type='shibor',RF=False, \
                          printout=True,graph=True):
     """
-    功能：绘制投资组合的累计收益率趋势图，并与等权和期间内资金量加权组合比较
+    功能：绘制投资组合的累计收益率趋势图，并与等权和期间内交易额加权组合比较
     注意：中国部分历史区段的treasury历史可能无法取得；
     无论是shibor还是treasury的近期利率均可能空缺，只能以最近期的数值填补
     """
@@ -384,7 +387,7 @@ def portfolio_cumret(portfolio,thedate,pastyears=1, \
     StockReturns['Portfolio_EW']=stock_return.mul(portfolio_weights_ew,axis=1).sum(axis=1)
     #..........................................................................
     
-    # 创建资金量加权组合：按照成交金额计算期间内资金量均值
+    # 创建交易额加权组合：按照成交金额计算期间内交易额均值
     tamount=prices['Close']*prices['Volume']
     tamountlist=tamount.mean(axis=0)    #求列的均值
     tamountlist_array = np.array(tamountlist)
@@ -397,7 +400,7 @@ def portfolio_cumret(portfolio,thedate,pastyears=1, \
     if lang == 'Chinese':
         title_txt="投资组合策略：业绩对比"
         Portfolio_EW_txt="等权重策略"
-        Portfolio_LW_txt="资金量加权策略"
+        Portfolio_LW_txt="交易额加权策略"
     else:
         title_txt="Investment Portfolio Strategies: Performance Comparison"
         Portfolio_EW_txt="Equal-weight"
@@ -443,7 +446,7 @@ if __name__=='__main__':
 def portfolio_expret(portfolio,today,pastyears=1, \
                      rate_period='1Y',rate_type='shibor',RF=False,printout=True,graph=True):
     """
-    功能：绘制投资组合的持有期收益率趋势图，并与等权和期间内资金量加权组合比较
+    功能：绘制投资组合的持有期收益率趋势图，并与等权和期间内交易额加权组合比较
     套壳原来的portfolio_cumret函数，以维持兼容性
     expret: expanding return，以维持与前述章节名词的一致性
     hpr: holding period return, 持有（期）收益率
@@ -994,22 +997,26 @@ def portfolio_es(pf_info,simulation=50000):
     
     import datetime as dt; stoday=dt.date.today()
     lang = check_language()
-    if lang == 'Chinese':    
+    if lang == 'Chinese':  
+        if pname == '': pname='投资组合'
+        
         plt.colorbar(label='收益率/标准差')
-        plt.title("投资组合: 马科维茨可行(有效)集",fontsize=title_txt_size)
+        plt.title(pname+": 马科维茨可行(有效)集",fontsize=title_txt_size)
         plt.ylabel("年化收益率",fontsize=ylabel_txt_size)
         
         footnote1="年化收益率标准差-->"
-        footnote2="\n\n基于"+pname+"之成份股构造"+str(simulation)+"个投资组合"
+        footnote2="\n\n基于给定的成份证券构造"+str(simulation)+"个投资组合"
         footnote3="\n观察期间："+hstart+"至"+hend
         footnote4="\n来源: Sina/EM/stooq, "+str(stoday)
     else:
+        if pname == '': pname='Investment Portfolio'
+        
         plt.colorbar(label='Return/Std')
-        plt.title("Investment Portfolio: Efficient Set",fontsize=title_txt_size)
+        plt.title(pname+": Efficient Set",fontsize=title_txt_size)
         plt.ylabel("Annualized Return",fontsize=ylabel_txt_size)
         
         footnote1="Annualized Std -->\n\n"
-        footnote2="Based on "+pname+"\'s stocks, constructed "+str(simulation)+" portfolios\n"
+        footnote2="Based on given component securities, constructed "+str(simulation)+" portfolios\n"
         footnote3="Period of observation: "+hstart+" to "+hend
         footnote4="\nSource: sina/eastmoney/stooq, "+str(stoday)
     
@@ -1465,21 +1472,25 @@ def RandomPortfolios_plot(RandomPortfolios,col_x,col_y,colorbartxt,title_ext, \
 
     lang = check_language()
     if lang == 'Chinese':
-        plt.title("投资组合: 马科维茨有效(可行)集，基于"+title_ext,fontsize=title_txt_size)
+        if pname == '': pname='投资组合'
+        
+        plt.title(pname+": 马科维茨有效(可行)集，基于"+title_ext,fontsize=title_txt_size)
         plt.ylabel(ylabeltxt,fontsize=ylabel_txt_size)
         
         import datetime as dt; stoday=dt.date.today()
         footnote1=x_axis_name+" -->\n\n"
-        footnote2="基于"+pname+"之成份股构造"+str(simulation)+"个投资组合"
+        footnote2="基于设定的成份证券构造"+str(simulation)+"个投资组合"
         footnote3="\n观察期间："+hstart+"至"+hend
         footnote4="\n来源: Sina/EM/stooq/FRED, "+str(stoday)
     else:
-        plt.title("Portfolio: Efficient Set, Based on "+title_ext,fontsize=title_txt_size)
+        if pname == '': pname='Investment Portfolio'
+        
+        plt.title(pname+": Efficient Set, Based on "+title_ext,fontsize=title_txt_size)
         plt.ylabel(ylabeltxt,fontsize=ylabel_txt_size)
         
         import datetime as dt; stoday=dt.date.today()
         footnote1=x_axis_name+" -->\n\n"
-        footnote2="Based on "+pname+"\'s stocks, constructed "+str(simulation)+" portfolios"
+        footnote2="Based on given component securities, constructed "+str(simulation)+" portfolios"
         footnote3="\nPeriod of observation: "+hstart+" to "+hend
         footnote4="\nSource: sina/eastmoney/stooq/FRED, "+str(stoday)
     
@@ -1514,7 +1525,7 @@ def cvt_portfolio_name(pname,portfolio_returns):
 
     lang=check_language()
     if lang == "Chinese":
-        pclist=[pname,'等权重组合','资金量加权组合','MSR组合','GMVS组合','MSO组合','GML组合', \
+        pclist=[pname,'等权重组合','交易额加权组合','MSR组合','GMVS组合','MSO组合','GML组合', \
                 'MAR组合','GMBA组合', 'MTR组合','GMBT组合']
     else:
         pclist=[pname,'Equal-weight','Amount-weight','MSR','GMVS','MSO','GML', \