squarequant 0.1.0__py3-none-any.whl

squarequant/utils/__init__.py

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+# squarequant/utils/__init__.py
+"""
+Utility functions for the SquareQuant package
+"""
+
+# This file is intentionally left empty to mark the directory as a Python package

squarequant/utils/helpers.py

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+"""
+Helper functions for the SquareQuant package
+"""
+
+import pandas as pd
+import numpy as np
+from datetime import datetime, timedelta
+from typing import List, Optional, Union, Dict, Any
+
+
+def validate_date_format(date_str: str) -> bool:
+    """
+    Validate that a date string is in the correct format.
+
+    Parameters:
+    date_str (str): Date string to validate
+
+    Returns:
+    bool: True if the date is valid, False otherwise
+    """
+    try:
+        datetime.strptime(date_str, '%Y-%m-%d')
+        return True
+    except ValueError:
+        return False
+
+
+def date_range_filter(df: pd.DataFrame,
+                      start: Optional[str] = None,
+                      end: Optional[str] = None) -> pd.DataFrame:
+    """
+    Filter a DataFrame by date range.
+
+    Parameters:
+    df (DataFrame): DataFrame to filter
+    start (str, optional): Start date in format 'YYYY-MM-DD'
+    end (str, optional): End date in format 'YYYY-MM-DD'
+
+    Returns:
+    DataFrame: Filtered DataFrame
+    """
+    if start or end:
+        mask = pd.Series(True, index=df.index)
+
+        if start:
+            if not validate_date_format(start):
+                raise ValueError("Start date must be in YYYY-MM-DD format")
+            mask = mask & (df.index >= start)
+
+        if end:
+            if not validate_date_format(end):
+                raise ValueError("End date must be in YYYY-MM-DD format")
+            mask = mask & (df.index <= end)
+
+        return df[mask]
+
+    return df
+
+
+def annualize_returns(returns: pd.DataFrame, periods_per_year: int = 252) -> pd.DataFrame:
+    """
+    Annualize returns based on the frequency of the data.
+
+    Parameters:
+    returns (DataFrame): DataFrame with returns data
+    periods_per_year (int): Number of periods per year (252 for daily, 12 for monthly, etc.)
+
+    Returns:
+    DataFrame: DataFrame with annualized returns
+    """
+    return returns.mean() * periods_per_year
+
+
+def annualize_volatility(returns: pd.DataFrame, periods_per_year: int = 252) -> pd.DataFrame:
+    """
+    Annualize volatility based on the frequency of the data.
+
+    Parameters:
+    returns (DataFrame): DataFrame with returns data
+    periods_per_year (int): Number of periods per year (252 for daily, 12 for monthly, etc.)
+
+    Returns:
+    DataFrame: DataFrame with annualized volatility
+    """
+    return returns.std() * np.sqrt(periods_per_year)

squarequant-0.1.0.dist-info/LICENSE

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+MIT License
+
+Copyright (c) 2025 Gabriel Bosch
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.

squarequant-0.1.0.dist-info/METADATA

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+Metadata-Version: 2.2
+Name: squarequant
+Version: 0.1.0
+Summary: A Python package for quantitative finance
+Home-page: https://github.com/SquareQuant/squarequant-package
+Author: Gabriel Bosch
+Author-email: contact@suqarequant.org
+Project-URL: Documentation, https://squarequant.readthedocs.io
+Project-URL: Bug Tracker, https://github.com/SquareQuant/squarequant-package/issues
+Keywords: finance,risk,portfolio,investment,stocks,analysis,visualization
+Classifier: Programming Language :: Python :: 3
+Classifier: Programming Language :: Python :: 3.7
+Classifier: Programming Language :: Python :: 3.8
+Classifier: Programming Language :: Python :: 3.9
+Classifier: License :: OSI Approved :: MIT License
+Classifier: Operating System :: OS Independent
+Classifier: Topic :: Office/Business :: Financial :: Investment
+Classifier: Topic :: Scientific/Engineering :: Information Analysis
+Classifier: Intended Audience :: Financial and Insurance Industry
+Classifier: Intended Audience :: Science/Research
+Classifier: Development Status :: 4 - Beta
+Requires-Python: >=3.7
+Description-Content-Type: text/markdown
+License-File: LICENSE
+Requires-Dist: pandas>=1.0.0
+Requires-Dist: numpy>=1.18.0
+Requires-Dist: yfinance>=0.1.63
+Requires-Dist: scipy>=1.5.0
+Requires-Dist: matplotlib>=3.3.0
+Provides-Extra: optimization
+Requires-Dist: cvxpy>=1.0.0; extra == "optimization"
+Provides-Extra: dev
+Requires-Dist: pytest>=6.0.0; extra == "dev"
+Requires-Dist: black>=21.5b2; extra == "dev"
+Requires-Dist: flake8>=3.9.0; extra == "dev"
+Requires-Dist: sphinx>=4.0.0; extra == "dev"
+Requires-Dist: sphinx-rtd-theme>=0.5.0; extra == "dev"
+Dynamic: author
+Dynamic: author-email
+Dynamic: classifier
+Dynamic: description
+Dynamic: description-content-type
+Dynamic: home-page
+Dynamic: keywords
+Dynamic: project-url
+Dynamic: provides-extra
+Dynamic: requires-dist
+Dynamic: requires-python
+Dynamic: summary
+
+# SquareQuant
+
+A professional-grade Python package for financial risk analysis, advanced portfolio metrics, and investment visualization with a focus on performance and usability.
+
+## Features
+
+### Data Management
+- Seamless download and integration with Yahoo Finance data
+- Flexible data filtering and preprocessing utilities
+- Configurable date ranges and interval selection
+
+### Risk Metrics
+- **Standard Metrics**:
+  - Sharpe & Sortino Ratios
+  - Volatility & Semi-Deviation
+  - Maximum Drawdown (MDD) & Average Drawdown
+  - Value at Risk (VaR) & Conditional Value at Risk (CVaR)
+- **Advanced Metrics**:
+  - Mean Absolute Deviation (MAD)
+  - Ulcer Index
+  - Entropic Risk Measure (ERM)
+  - Entropic Value at Risk (EVaR)
+  - Conditional Drawdown at Risk (CDaR)
+  - Entropic Drawdown at Risk (EDaR)
+
+### Visualization
+- Interactive risk metrics dashboards
+- Correlation matrix heatmaps
+- Drawdown analysis charts
+- Return distribution visualization
+- Risk contribution analysis
+- Portfolio weight allocation diagrams
+
+### Implementation Advantages
+- Memory-efficient vectorized calculations
+- Dual API approaches: functional & object-oriented
+- Configurable window sizes for all metrics
+- Minimal external dependencies
+
+## Installation
+
+```bash
+pip install squarequant
+```
+
+## Quick Start Guide
+
+```python
+import squarequant as sq
+import matplotlib.pyplot as plt
+
+# Download stock data
+tickers = ["AAPL", "MSFT", "GOOGL"]
+config = sq.DownloadConfig(
+    start_date="2020-01-01",
+    end_date="2023-01-01",
+    interval="1d"
+)
+data = sq.download_tickers(tickers, config)
+
+# Calculate risk metrics
+assets = ["AAPL_Close", "MSFT_Close", "GOOGL_Close"]
+
+# Sharpe ratio with a 1-year rolling window
+sharpe_ratios = sq.sharpe(data, assets, window=252)
+
+# Plot the results
+plt.figure(figsize=(12, 8))
+sharpe_ratios.plot()
+plt.title("Rolling Sharpe Ratios")
+plt.show()
+```
+
+## Advanced Usage Examples
+
+### Multiple Risk Metrics Visualization
+
+```python
+# Create a visualization of multiple risk metrics
+sq.plot_rolling_metrics(
+    data=data,
+    assets=assets,
+    metrics=['sharpe', 'vol', 'mdd', 'var'],
+    windows={'vol': 20, 'mdd': 252}
+)
+plt.show()
+```
+
+### Risk Comparison Dashboard
+
+```python
+# Create a risk comparison dashboard
+sq.plot_risk_comparison(
+    data=data,
+    assets=assets,
+    risk_metrics=['vol', 'mdd', 'var', 'cvar', 'semidev', 'ulcer'],
+)
+plt.show()
+```
+
+### Performance Metrics Table
+
+```python
+# Generate a performance metrics table
+sq.plot_performance_metrics(
+    data=data,
+    assets=assets,
+    risk_free=0.02,  # 2% risk-free rate
+)
+plt.show()
+```
+
+### Object-Oriented Interface
+
+SquareQuant provides an object-oriented interface for more advanced use cases:
+
+```python
+from squarequant.core.metrics import EntropicValueAtRisk
+
+# Create an EVaR calculator
+calculator = EntropicValueAtRisk(
+    data=data,
+    assets=assets,
+    alpha=0.95,  # 95% confidence level
+    window=252,
+    start="2021-01-01",
+    end="2022-01-01"
+)
+
+# Calculate EVaR
+evar_values = calculator.calculate()
+```
+
+## Configuration Options
+
+### Custom Risk-Free Rate
+
+```python
+# Using a constant value
+sharpe_ratios = sq.sharpe(data, assets, freerate_value=0.02)
+
+# Using a column in your data
+sharpe_ratios = sq.sharpe(data, assets, freerate="TREASURY_YIELD")
+```
+
+### Custom Confidence Levels
+
+```python
+# Calculate VaR with 99% confidence
+var_values = sq.var(data, assets, confidence=0.99)
+```
+
+## Documentation
+
+For full documentation, visit [https://squarequant.readthedocs.io](https://squarequant.readthedocs.io)
+
+## Contributing
+
+Contributions are welcome! Please feel free to submit a Pull Request.
+
+## License
+
+MIT
+
+## Author
+
+Gabriel Bosch

squarequant-0.1.0.dist-info/RECORD

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+squarequant-0.1.0.dist-info/LICENSE,sha256=S23qLSIZQYabXVhEHp9-9JPMVVI3zucYrSwZsIxudn4,1089
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squarequant-0.1.0.dist-info/WHEEL

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+Wheel-Version: 1.0
+Generator: setuptools (76.0.0)
+Root-Is-Purelib: true
+Tag: py3-none-any
+

squarequant-0.1.0.dist-info/top_level.txt

@@ -0,0 +1 @@
+squarequant