siat 3.10.75__py3-none-any.whl → 3.10.125__py3-none-any.whl

siat/assets_liquidity.py

@@ -73,6 +73,40 @@ if __name__=='__main__':
     pfdf=get_portfolio_prices(pf,start,end)
     rs=calc_roll_spread(pfdf)
 
+#==============================================================================
+
+def calc_liquidity(portfolio,indicator='amihud', \
+                   start='MRY',end='today',printout=True):
+    """
+    功能；计算投资组合的流动性，包括罗尔价差、阿米胡德非流动性以及PS流动性
+    """
+    start,end=start_end_preprocess(start,end)
+    
+    if not isinstance(portfolio,dict):
+        print(f"  #Error(calc_liquidity): unrecognizable form of portfolio {portfolio}")
+        print(f"  Only support securities in the form of a portfolio")
+        return 
+    
+    indicator1=indicator.lower()
+    
+    liquidity_list=['roll','amihud','ps']
+    if not (indicator1 in liquidity_list):
+        print(f"  #Error(calc_liquidity): unsupported liquidity type {indicator}")
+        print(f"  Supported liquidity: {liquidity_list}")
+        return 
+    
+    if 'roll' in indicator1:
+        liq=roll_spread_portfolio(portfolio,start,end,printout)
+        return
+    
+    if 'amihud' in indicator1:
+        liq=amihud_illiquidity_portfolio(portfolio,start,end,printout)
+        return
+    
+    if 'ps' in indicator1:
+        liq=ps_liquidity_portfolio(portfolio,start,end,printout)
+        return
+
 #==============================================================================    
 def roll_spread_portfolio(portfolio,start,end,printout=True):
     """
@@ -82,7 +116,8 @@ def roll_spread_portfolio(portfolio,start,end,printout=True):
     输出：罗尔价差%
     注意：含爬虫部分，调用其他函数
     """
-
+    print(f"  Calculating Roll spread ...")
+    
     #仅为测试用
     #portfolio={'Market':('US','^GSPC'),'EDU':0.7,'TAL':0.3}
     #start='2019-06-01'
@@ -95,9 +130,21 @@ def roll_spread_portfolio(portfolio,start,end,printout=True):
         return None
     
     #抓取股票价格，构建投资组合价格
-    sp=get_portfolio_prices(portfolio,start2,end2)
+    #屏蔽函数内print信息输出的类
+    import os, sys
+    class HiddenPrints:
+        def __enter__(self):
+            self._original_stdout = sys.stdout
+            sys.stdout = open(os.devnull, 'w')
+
+        def __exit__(self, exc_type, exc_val, exc_tb):
+            sys.stdout.close()
+            sys.stdout = self._original_stdout
+
+    with HiddenPrints():    
+        sp=get_portfolio_prices(portfolio,start2,end2)
     if sp is None:
-        print("  #Error(roll_spread_portfolio): portfolio info not available.")
+        print("  #Error(roll_spread_portfolio): portfolio info not available")
         return None    
 
     #计算罗尔价差指标
@@ -111,15 +158,18 @@ def roll_spread_portfolio(portfolio,start,end,printout=True):
             '-'+str(sp.index[-1].day)            
         print("\n===== 投资组合的流动性风险 =====")
         
+        """
         _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
         if len(tickerlist)==1:
             product=str(ticker_name(tickerlist,'bond'))
         else:
             product=str(ticker_name(tickerlist))+' by '+str(sharelist)
-        print("投资组合:",product)        
+        """
+        print("证券资产:",portfolio_name(portfolio))        
         print("计算期间:",date_start,"to",date_end, \
                   "(可用日期)")
-        print("罗尔价差%:",rs_pct)
+        #print("罗尔价差%:",rs_pct)
+        print("罗尔价差比率:",str(rs_pct)+'%')
     
     return rs_pct
 
@@ -166,7 +216,8 @@ def amihud_illiquidity_portfolio(portfolio,start,end,printout=True):
     输出：阿米胡德非流动性指数
     注意：含爬虫部分，调用其他函数
     """
-
+    print(f"  Calculating Amihud illiquidity ...")
+    
     #仅为测试用
     #portfolio={'Market':('US','^GSPC'),'EDU':0.7,'TAL':0.3}
     #start='2019-06-01'
@@ -179,8 +230,29 @@ def amihud_illiquidity_portfolio(portfolio,start,end,printout=True):
         return None
 
     #抓取股票价格，构建投资组合价格
-    sp=get_portfolio_prices(portfolio,start2,end2)
-
+    #屏蔽函数内print信息输出的类
+    import os, sys
+    class HiddenPrints:
+        def __enter__(self):
+            self._original_stdout = sys.stdout
+            sys.stdout = open(os.devnull, 'w')
+
+        def __exit__(self, exc_type, exc_val, exc_tb):
+            sys.stdout.close()
+            sys.stdout = self._original_stdout
+
+    with HiddenPrints():    
+        sp=get_portfolio_prices(portfolio,start2,end2)
+    if sp is None:
+        print("  #Error(amihud_illiquidity_portfolio): portfolio info not available")
+        return None 
+    """
+    with HiddenPrints(): 
+        sp,found=get_price_1portfolio(portfolio,start2,end2)
+    if found != 'Found':
+        print("  #Error(amihud_illiquidity_portfolio): portfolio info not available")
+        return None 
+    """
     #计算指标
     amihud=calc_amihud_illiquidity(sp)
     
@@ -191,13 +263,14 @@ def amihud_illiquidity_portfolio(portfolio,start,end,printout=True):
         date_end=str(sp.index[-1].year)+'-'+str(sp.index[-1].month)+ \
             '-'+str(sp.index[-1].day)            
         print("\n===== 投资组合的流动性风险 =====")
-        
+        """
         _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
         if len(tickerlist)==1:
             product=str(ticker_name(tickerlist,'bond'))
         else:
             product=str(ticker_name(tickerlist))+' by '+str(sharelist)
-        print("投资组合:",product)        
+        """
+        print("证券资产:",portfolio_name(portfolio))         
         print("计算期间:",date_start,"至",date_end, \
                   "(可用日期)")
         print("阿米胡德非流动性:",amihud,"(对数算法)")
@@ -233,7 +306,7 @@ def calc_ps_liquidity(pfdf):
     reg2=reg1[['Ret-RF','Mkt_1','signAmt_1']].copy()
     
     #回归前彻底删除带有NaN和inf等无效值的样本，否则回归中可能出错
-    reg2=reg2[~reg2.isin([np.nan, np.inf, -np.inf]).any(1)].dropna()
+    reg2=reg2[~reg2.isin([np.nan, np.inf, -np.inf]).any(axis=1)].dropna()
     if len(reg2) == 0: return None
     
     ##计算帕斯托-斯坦堡流动性PSL
@@ -312,7 +385,7 @@ def ps_liquidity_portfolio(portfolio,start,end,printout=True):
     输出：帕斯托-斯坦堡流动性
     注意：含爬虫部分，调用其他函数
     """
-
+    print(f"  Calculating Pastor-Stambaugh liquidity ...")
     #仅为测试用
     #portfolio={'Market':('US','^GSPC'),'EDU':0.7,'TAL':0.3}
     #start='2019-06-01'
@@ -325,7 +398,22 @@ def ps_liquidity_portfolio(portfolio,start,end,printout=True):
         return None
 
     #抓取股票价格，构建投资组合价格
-    sp=get_portfolio_prices(portfolio,start2,end2)
+    #屏蔽函数内print信息输出的类
+    import os, sys
+    class HiddenPrints:
+        def __enter__(self):
+            self._original_stdout = sys.stdout
+            sys.stdout = open(os.devnull, 'w')
+
+        def __exit__(self, exc_type, exc_val, exc_tb):
+            sys.stdout.close()
+            sys.stdout = self._original_stdout
+
+    with HiddenPrints():    
+        sp=get_portfolio_prices(portfolio,start2,end2)
+    if sp is None:
+        print("  #Error(ps_liquidity_portfolio): portfolio info not available")
+        return None 
 
     #计算帕斯托-斯坦堡流动性
     psl=calc_ps_liquidity(sp)
@@ -338,12 +426,14 @@ def ps_liquidity_portfolio(portfolio,start,end,printout=True):
             '-'+str(sp.index[-1].day)            
         print("\n===== 投资组合的流动性风险 =====")
         
+        """
         _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
         if len(tickerlist)==1:
             product=str(ticker_name(tickerlist,'bond'))
         else:
             product=str(ticker_name(tickerlist))+' by '+str(sharelist)
-        print("投资组合:",product)
+        """
+        print("证券资产:",portfolio_name(portfolio)) 
         print("计算期间:",date_start,"to",date_end, \
                   "(可用日期)")
         print("Pastor-Stambaugh流动性:",psl,"(对数算法)")
@@ -659,35 +749,79 @@ if __name__=='__main__':
     window=30
     graph=True    
     liquidity_type='roll_spread'
+    liquidity_type='ps'
     liqs=liquidity_rolling(portfolio,start,end,liquidity_type)
 
 
 #==============================================================================
 #==============================================================================
-def compare_liquidity(portfolio1,portfolio2,start,end,liquidity_type,window=30):
+def compare_liquidity(portfolio1,portfolio2,start='MRY',end='today', \
+                      indicator='amihud',window=30, \
+                          period_value=False):
     """
     功能：套壳函数compare_liquidity_rolling，无差异，保持兼容性
     """
+    start,end=start_end_preprocess(start,end)
+    
+    indicator1=indicator.lower()
+    if 'roll' in indicator1:
+        indicator1='roll_spread'
+    elif 'amihud' in indicator1:
+        indicator1='amihud_illiquidity'
+    else:
+        indicator1='ps_liquidity'
     
     compare_liquidity_rolling(portfolio1=portfolio1,portfolio2=portfolio2, \
-                              start=start,end=end,liquidity_type=liquidity_type, \
+                              start=start,end=end,liquidity_type=indicator1, \
                                   window=window)
 
+    
+    #对比两个投资组合在期间内的流动性整体数值
+    if period_value:
+        calc_liquidity(portfolio1,start=start,end=end,indicator=indicator)
+        calc_liquidity(portfolio2,start=start,end=end,indicator=indicator)
+
     return
 
 #==============================================================================
-def compare_liquidity_rolling(portfolio1,portfolio2,start,end,liquidity_type,window=30):
+def compare_liquidity_rolling(portfolio1,portfolio2,start='MRY',end='today', \
+                              liquidity_type='amihud_illiquidity',window=30):
     """
     功能：比较两个投资组合portfolio1和portfolio2在start至end期间的流动性指标liquidity_type
     """
+    start,end=start_end_preprocess(start,end)
+    
+    if not(isinstance(portfolio1,dict)):
+        print("  #Error(compare_liquidity_rolling): unresolveable protfolio {portfolio1}")
+        return
+    
+    if not(isinstance(portfolio2,dict)):
+        print("  #Error(compare_liquidity_rolling): unresolveable protfolio {portfolio2}")
+        return
+    
+    print("  Working on the liquidities of 2 securities ...")
+
+    #屏蔽函数内print信息输出的类
+    import os, sys
+    class HiddenPrints:
+        def __enter__(self):
+            self._original_stdout = sys.stdout
+            sys.stdout = open(os.devnull, 'w')
+
+        def __exit__(self, exc_type, exc_val, exc_tb):
+            sys.stdout.close()
+            sys.stdout = self._original_stdout
+    
     #投资组合1
     pf1name=portfolio_name(portfolio1)
     if pf1name == '投资组合':
         pf1name == '组合1'
-    liqs1=liquidity_rolling(portfolio1,start,end,liquidity_type, \
-                      window=window,graph=False)
+        
+    with HiddenPrints():
+        liqs1=liquidity_rolling(portfolio1,start,end,liquidity_type, \
+                          window=window,graph=False)
     if liqs1 is None:
-        print("  #Error(compare_liquidity_rolling): portfolio info inaccesible for",portfolio1)
+        print(f"  #Error(compare_liquidity_rolling): portfolio info inaccesible for {pf1name}")
         return 
     
     colname1='Ratio'
@@ -702,11 +836,13 @@ def compare_liquidity_rolling(portfolio1,portfolio2,start,end,liquidity_type,win
     pf2name=portfolio_name(portfolio2)
     if pf2name == '投资组合':
         pf2name == '组合2'    
-    
-    liqs2=liquidity_rolling(portfolio2,start,end,liquidity_type, \
-                      window=window,graph=False)
+
+    with HiddenPrints():
+        liqs2=liquidity_rolling(portfolio2,start,end,liquidity_type, \
+                          window=window,graph=False)
+            
     if liqs2 is None:
-        print("  #Error(compare_liquidity_rolling): portfolio info inaccesible for",portfolio2)
+        print(f"  #Error(compare_liquidity_rolling): portfolio info inaccesible for {pf2name}")
         return     
     
     colname2='Ratio'
@@ -719,7 +855,7 @@ def compare_liquidity_rolling(portfolio1,portfolio2,start,end,liquidity_type,win
 
     #绘图    
     ylabeltxt=ectranslate(liquidity_type)
-    titletxt="证券流动性风险走势比较"
+    titletxt="证券流动性风险："+pf1name+' vs '+pf2name
     
     _,_,tickerlist1,sharelist1,ticker_type1=decompose_portfolio(portfolio1)
     if len(tickerlist1)==1:
@@ -737,8 +873,8 @@ def compare_liquidity_rolling(portfolio1,portfolio2,start,end,liquidity_type,win
     footnote=pf1name+"："+product1+"\n"+pf2name+"："+product2+ \
             "\n数据来源：新浪/stooq, "+str(today)
     """
-    if liquidity_type == 'amihud_illiquidity':
-        notes="注：图中阿米胡德指标采用对数算法\n"
+    if liquidity_type in ['amihud_illiquidity','ps_liquidity']:
+        notes="注：图中流动性指标采用对数算法\n"
     else:
         notes=''
     footnote= notes+"数据来源：新浪/stooq, "+str(today)    
@@ -748,10 +884,12 @@ def compare_liquidity_rolling(portfolio1,portfolio2,start,end,liquidity_type,win
                        liqs2,pf2name,colname2,label2, \
                 ylabeltxt,titletxt,footnote,power,datatag1,datatag2,zeroline)
     
+    """
     print("\n*** 投资组合的成分股与持仓比例")
-    print(pf1name+"："+product1)
-    print(pf2name+"："+product2)
-        
+    print(pf1name+"："+list2str(product1))
+    print(pf2name+"："+list2str(product2))
+    """    
+    
     return
     
     

siat/bond.py

@@ -748,13 +748,17 @@ if __name__=='__main__':
     
     prices=exchange_bond_price(symbol,fromdate,todate,power=power)
 
-def exchange_bond_price(symbol,fromdate,todate,power=0,graph=True,data_crop=True):
+#def exchange_bond_price(symbol,fromdate,todate,power=0,graph=True,data_crop=True):
+def exchange_bond_price(ticker,start,end='today',power=0,graph=True,data_crop=True):    
     """
     功能：获得沪深债券市场历史成交行情
     输入：沪深债券代码symbol，起始日期fromdate，截止日期todate。
     返回：历史价格df
     输出：折线图
     """
+    symbol=ticker
+    fromdate,todate=start_end_preprocess(start,end)
+    
     import pandas as pd
     import akshare as ak
     import datetime
@@ -813,7 +817,7 @@ if __name__=='__main__':
     ebp=exchange_bond_price('sh019521',fromdate,todate)
 
 #==============================================================================
-def exchange_covbond_deal(num,option='1'):
+def exchange_covbond_deal(rank=10,option='1'):
     """
     功能：获得沪深债券市场可转券即时行情
     输入：从头开始显示的个数num；选项option：默认1按照交易时间排列，
@@ -821,6 +825,8 @@ def exchange_covbond_deal(num,option='1'):
     5按照涨跌幅从低到高，6按照成交量从高到低排列，7按照成交量从低到高排列。
     其他选项按照默认排列。
     """
+    num=rank
+    
     print("开始搜索互联网，可能需要一点时间，请耐心等候......")
     #定义标准输出关闭类
     import os, sys
@@ -883,7 +889,7 @@ def exchange_covbond_deal(num,option='1'):
             'name':texttranslate('债券名称'),'trade':texttranslate('成交价'),'pricechange':texttranslate('涨跌(元)'), \
             'open':texttranslate('开盘价'),'high':texttranslate('最高价'),'low':texttranslate('最低价'), \
             'buy':texttranslate('买入价'),'sell':texttranslate('卖出价'),'volume':texttranslate('成交量')})
-    
+    """
     print("\n***",texttranslate("沪深交易所可转债现券即时行情（")+optiontxt+texttranslate("，前")+str(num)+texttranslate("名）***"))
     import pandas as pd
     pd.set_option('display.unicode.ambiguous_as_wide', True)
@@ -895,6 +901,15 @@ def exchange_covbond_deal(num,option='1'):
     today = datetime.date.today().strftime("%Y-%m-%d")
     footnote="\n"+texttranslate("数据来源：新浪财经，")+today    
     print(footnote)
+    """
+    titletxt=texttranslate("沪深交易所可转债现券即时行情（")+optiontxt+texttranslate("，前")+str(num)+texttranslate("名）")
+    import datetime; todaydt = datetime.date.today().strftime("%Y-%m-%d")
+    footnote="\n"+texttranslate("数据来源：新浪财经，")+todaydt    
+    
+    df_display_CSS(df2.head(num),titletxt=titletxt,footnote=footnote,facecolor='papayawhip',decimals=3, \
+                       first_col_align='left',second_col_align='left', \
+                       last_col_align='center',other_col_align='center')
+
     
     return df1
 
@@ -923,14 +938,18 @@ if __name__=='__main__':
     
     cov=exchange_covbond_price(symbol,fromdate,todate)
 
-def exchange_covbond_price(symbol,fromdate,todate,power=0,graph=True):
+#def exchange_covbond_price(symbol,fromdate,todate,power=0,graph=True):
+def exchange_covbond_price(ticker,start='MRY',end='today',power=0,graph=True):    
     """
     功能：获得沪深市场可转债历史成交行情
     输入：沪深债券代码symbol，起始日期fromdate，截止日期todate。
     返回：历史价格df
     输出：折线图
     """
-    print("  Searching for bond",symbol,"\b, it takes great time, please wait ... ...")
+    symbol=ticker
+    fromdate,todate=start_end_preprocess(start,end)
+    
+    print("  Searching for bond",symbol,"\b, it may take time ...")
 
     import pandas as pd
     import akshare as ak
@@ -1142,7 +1161,11 @@ def bond_malkiel1(aytm,yper,c,fv=100,mterm=1, \
         df4=df3.rename(columns={'到期收益率变化':'YTM Change','到期收益率%':'YTM%','债券价格':'Bond Price'})
     else:
         df4=df3
-    print("\n",df4.to_string(index=False))
+    #print("\n",df4.to_string(index=False))
+    df_display_CSS(df4,titletxt='',footnote='',facecolor='papayawhip', \
+                       first_col_align='center',second_col_align='center', \
+                       last_col_align='center',other_col_align='center')
+
     
     #绘图
     plt.plot(df['xLabel'],df['Price'],color='red',marker='o')
@@ -1241,7 +1264,11 @@ def bond_malkiel2(aytm,yper,c,fv=100,mterm=1, \
         df4=df3.rename(columns={'到期时间(年)':'Year(s) to Maturity','债券价格变化':'Bond Price Change'})
     else:
         df4=df3
-    print("\n",df4.to_string(index=False))
+    #print("\n",df4.to_string(index=False))
+    df_display_CSS(df4,titletxt='',footnote='',facecolor='papayawhip', \
+                       first_col_align='center',second_col_align='center', \
+                       last_col_align='center',other_col_align='center')
+
     
     #绘图
     plt.plot(df['Maturity'],df['deltaPrice'],color='red',marker='o')

siat/capm_beta.py

@@ -316,22 +316,36 @@ def capm_beta_yearly(ticker,mktidx,yearlist):
             betas=betas._append(row,ignore_index=True)
         #print(year,round(beta,4),round(r_value**2,3),round(p_value,4))
     
+    betas['Significance']=betas['p-value'].apply(lambda x: '***' if x<0.01 \
+                                                 else '**' if x<0.05 else '*' if x<0.1 else '')
+    
     #设置打印标题与数据对齐
+    """
     pd.set_option('display.unicode.ambiguous_as_wide', True)
     pd.set_option('display.unicode.east_asian_width', True)
     pd.set_option('display.width', 180) # 设置打印宽度(**重要**)
     
-    print("\n ===== 股票的年度贝塔系数:",ticker_name(ticker),"=====")
+    print("\n ===== 分年度静态贝塔系数:",ticker_name(ticker),"=====")
     print(betas.to_string(index=False))
-    import datetime as dt; today=dt.date.today()    
-    print(" 数据来源：新浪/stooq/fred，基于"+ticker_name(mktidx)+'，'+str(today))
-    
+    import datetime as dt; todaydt=dt.date.today()    
+    print("数据来源：新浪/stooq/fred，基于"+ticker_name(mktidx)+'，'+str(dttoday))
+    print('') #空一行
+    """
+    titletxt="分年度静态贝塔系数: "+ticker_name(ticker)
+    import datetime as dt; todaydt=dt.date.today()
+    footnote="数据来源：新浪/stooq/fred，基于"+ticker_name(mktidx)+', '+str(todaydt)
+    df_display_CSS(betas,titletxt=titletxt,footnote=footnote,facecolor='papayawhip', \
+                   decimals=4, \
+                       first_col_align='center',second_col_align='center', \
+                       last_col_align='center',other_col_align='center')
+
+    #准备绘图
     betas.set_index('Year',inplace=True)
     
     #绘图：年度贝塔系数趋势
     df=pd.DataFrame(betas['Beta'])
-    title="股票的年度贝塔系数趋势: "+ticker_name(ticker)
-    foot="\n数据来源：新浪/stooq/fred，基于"+ticker_name(mktidx)+'，'+str(today)
+    title="分年度静态贝塔系数: "+ticker_name(ticker)
+    foot="\n数据来源：新浪/stooq/fred，基于"+ticker_name(mktidx)+'，'+str(todaydt)
     plot_trend(title,foot,df,power=3,axhline_value=1,axhline_label='市场风险线')
     
     return betas   
@@ -485,13 +499,24 @@ def capm_beta_portfolio_yearly(tickerlist,sharelist,mktidx,yearlist):
             betas=betas.append(row,ignore_index=True)
         except:
             betas=betas._append(row,ignore_index=True)
-        
-    print("\n",betas)
+
+    betas['Significance']=betas['p-value'].apply(lambda x: '***' if x<0.01 \
+                                                 else '**' if x<0.05 else '*' if x<0.1 else '')        
+    #print("\n",betas)
+    
+    titletxt="投资组合的静态年度贝塔系数"
+    import datetime as dt; todaydt=dt.date.today()
+    footnote="数据来源：新浪/stooq/fred，基于"+ticker_name(mktidx)+', '+str(todaydt)
+    df_display_CSS(betas,titletxt=titletxt,footnote=footnote,facecolor='papayawhip', \
+                   decimals=4, \
+                       first_col_align='center',second_col_align='center', \
+                       last_col_align='center',other_col_align='center')    
+    
     betas.set_index('Year',inplace=True)
     
     #绘图：年度贝塔系数变化
     df=pd.DataFrame(betas['Beta'])
-    title="投资组合的年度贝塔系数"+ \
+    title="投资组合的静态年度贝塔系数"+ \
             "\n成分股: "+str(ticker_name(tickerlist,'bond'))+"\n持仓权重: "+str(sharelist)
     import datetime; today = datetime.date.today()
     foot="数据来源: 新浪/stooq/fred，"+str(today)