squarequant 0.2.2__tar.gz → 0.2.3__tar.gz

{squarequant-0.2.2/squarequant.egg-info → squarequant-0.2.3}/PKG-INFO

@@ -1,19 +1,21 @@
 Metadata-Version: 2.4
 Name: squarequant
-Version: 0.2.2
+Version: 0.2.3
 Summary: A Python package for financial risk metrics and stock data analysis
 Home-page: https://github.com/SquareQuant/squarequant-package
 Author: Gabriel Bosch
-Author-email: contact@squarequant.org
+Author-email: Gabriel Bosch <contact@squarequant.org>
 Project-URL: Documentation, https://www.squarequant.org
 Project-URL: Bug Tracker, https://github.com/SquareQuant/squarequant-package/issues
-Keywords: finance,risk,portfolio,investment,stocks,analysis,visualization,drawdown,var,cvar,entropic,ulcer index,theta data
+Project-URL: Homepage, https://github.com/SquareQuant/squarequant-package
 Classifier: Programming Language :: Python :: 3
 Classifier: Programming Language :: Python :: 3.7
 Classifier: Programming Language :: Python :: 3.8
 Classifier: Programming Language :: Python :: 3.9
 Classifier: Programming Language :: Python :: 3.10
 Classifier: Programming Language :: Python :: 3.11
+Classifier: Programming Language :: Python :: 3.12
+Classifier: Programming Language :: Python :: 3.13
 Classifier: License :: OSI Approved :: MIT License
 Classifier: Operating System :: OS Independent
 Classifier: Topic :: Office/Business :: Financial :: Investment
@@ -44,18 +46,9 @@ Requires-Dist: sphinx-autodoc-typehints>=1.22.0; extra == "dev"
 Requires-Dist: myst-parser>=1.0.0; extra == "dev"
 Requires-Dist: pytest-cov>=2.12.0; extra == "dev"
 Dynamic: author
-Dynamic: author-email
-Dynamic: classifier
-Dynamic: description
-Dynamic: description-content-type
 Dynamic: home-page
-Dynamic: keywords
 Dynamic: license-file
-Dynamic: project-url
-Dynamic: provides-extra
-Dynamic: requires-dist
 Dynamic: requires-python
-Dynamic: summary
 
 # SquareQuant
 
@@ -65,7 +58,7 @@ SquareQuant is a comprehensive Python package for financial risk metrics and sto
 
 - **Financial Data Access**: Multiple data sources including YFinance and Theta Data
 - **Extensive Risk Metrics**: Comprehensive set of traditional and advanced risk measures
-- **Modular Design**: Reorganized into specialized modules (data, var, etc.)
+- **Modular Design**: Organized into specialized modules (data, var, etc.)
 - **Flexible API**: Consistent function-based and object-oriented interfaces
 
 ## Installation
@@ -92,12 +85,16 @@ config = sq.DownloadConfig(
 
 # Download data
 data = sq.download_tickers(['AAPL', 'MSFT', 'GOOGL'], config)
+data = pd.DataFrame({
+    'AAPL': data['AAPL_Close'],
+    'MSFT': data['MSFT_Close']
+})
 
 # Calculate volatility
-vol = sq.vol(data=data, assets=['AAPL', 'MSFT', 'GOOGL'], window=21)
+vol = sq.vol(data=data, assets=['AAPL', 'MSFT', 'GOOGL'], use_returns=False, window=21)
 
 # Calculate Sharpe ratio
-sharpe = sq.sharpe(data=data, assets=['AAPL', 'MSFT', 'GOOGL'], window=252)
+sharpe = sq.sharpe(data=data, assets=['AAPL', 'MSFT', 'GOOGL'], use_returns=False, window=252)
 
 # Visualize results (using matplotlib directly)
 plt.figure(figsize=(12, 6))
@@ -126,7 +123,6 @@ SquareQuant provides a comprehensive set of risk metrics, including:
 | Entropic Risk Measure | `sq.erm()` | Risk measure based on information theory |
 | Entropic Value at Risk | `sq.evar()` | VAR using entropy concepts |
 | Conditional Drawdown at Risk | `sq.cdar()` | Expected drawdown beyond threshold |
-| Entropic Drawdown at Risk | `sq.edar()` | Drawdown risk using entropy concepts |
 
 ## Data Sources
 
@@ -162,7 +158,6 @@ config = sq.DownloadConfig(
 
 ```python
 import squarequant as sq
-import pandas as pd
 import matplotlib.pyplot as plt
 
 # Download data
@@ -174,10 +169,10 @@ config = sq.DownloadConfig(
 data = sq.download_tickers(['SPY', 'QQQ'], config)
 
 # Calculate multiple risk metrics
-vol = sq.vol(data=data, assets=['SPY', 'QQQ'], window=21)
-mad = sq.mad(data=data, assets=['SPY', 'QQQ'], window=252)
-mdd = sq.mdd(data=data, assets=['SPY', 'QQQ'], window=252)
-ulcer = sq.ulcer(data=data, assets=['SPY', 'QQQ'], window=252)
+vol = sq.vol(data=data, assets=['SPY', 'QQQ'], use_returns=False, window=21)
+mad = sq.mad(data=data, assets=['SPY', 'QQQ'], use_returns=False, window=252)
+mdd = sq.mdd(data=data, assets=['SPY', 'QQQ'], use_returns=False, window=252)
+ulcer = sq.ulcer(data=data, assets=['SPY', 'QQQ'], use_returns=False, window=252)
 
 # Visualize comparison (using matplotlib directly)
 plt.figure(figsize=(12, 8))
@@ -213,6 +208,7 @@ data = sq.download_tickers(weights.index.tolist(), config)
 # Calculate portfolio risk measures
 portfolio_var = sq.var(
     data=data,
+    use_returns = False,
     assets=weights.index.tolist(),
     confidence=0.95,
     window=252,
@@ -233,13 +229,13 @@ config = sq.DownloadConfig(start_date="2018-01-01", end_date="2023-12-31")
 data = sq.download_tickers(['SPY'], config)
 
 # Calculate Entropic Risk Measure with different risk aversion parameters
-erm1 = sq.erm(data=data, assets=['SPY'], z=0.5, confidence=0.95)
-erm2 = sq.erm(data=data, assets=['SPY'], z=1.0, confidence=0.95)
-erm3 = sq.erm(data=data, assets=['SPY'], z=2.0, confidence=0.95)
+erm1 = sq.erm(data=data, use_returns=False, assets=['SPY'], z=0.5, confidence=0.95)
+erm2 = sq.erm(data=data, use_returns=False, assets=['SPY'], z=1.0, confidence=0.95)
+erm3 = sq.erm(data=data, use_returns=False, assets=['SPY'], z=2.0, confidence=0.95)
 
 # Compare with traditional VaR and CVaR
-var = sq.var(data=data, assets=['SPY'], confidence=0.95)
-cvar = sq.cvar(data=data, assets=['SPY'], confidence=0.95)
+var = sq.var(data=data, use_returns=False, assets=['SPY'], confidence=0.95)
+cvar = sq.cvar(data=data, use_returns=False, assets=['SPY'], confidence=0.95)
 
 print(f"Latest ERM (z=0.5): {erm1.iloc[-1, 0]:.4f}")
 print(f"Latest ERM (z=1.0): {erm2.iloc[-1, 0]:.4f}")
@@ -253,8 +249,10 @@ print(f"Latest CVaR (95%): {cvar.iloc[-1, 0]:.4f}")
 The package has been reorganized into specialized modules:
 
 - `squarequant.data`: Data retrieval functionality (YFinance, Theta Data)
-- `squarequant.var`: Value at Risk and related risk measures
 - `squarequant.core`: Core risk metrics and calculations
+- `squarequant.var`: Value at Risk and related risk measures
+- `squarequant.monte_carlo`: Monte Carlo simulations (alpha version)
+
 
 ## Documentation
 

{squarequant-0.2.2 → squarequant-0.2.3}/README.md

@@ -6,7 +6,7 @@ SquareQuant is a comprehensive Python package for financial risk metrics and sto
 
 - **Financial Data Access**: Multiple data sources including YFinance and Theta Data
 - **Extensive Risk Metrics**: Comprehensive set of traditional and advanced risk measures
-- **Modular Design**: Reorganized into specialized modules (data, var, etc.)
+- **Modular Design**: Organized into specialized modules (data, var, etc.)
 - **Flexible API**: Consistent function-based and object-oriented interfaces
 
 ## Installation
@@ -33,12 +33,16 @@ config = sq.DownloadConfig(
 
 # Download data
 data = sq.download_tickers(['AAPL', 'MSFT', 'GOOGL'], config)
+data = pd.DataFrame({
+    'AAPL': data['AAPL_Close'],
+    'MSFT': data['MSFT_Close']
+})
 
 # Calculate volatility
-vol = sq.vol(data=data, assets=['AAPL', 'MSFT', 'GOOGL'], window=21)
+vol = sq.vol(data=data, assets=['AAPL', 'MSFT', 'GOOGL'], use_returns=False, window=21)
 
 # Calculate Sharpe ratio
-sharpe = sq.sharpe(data=data, assets=['AAPL', 'MSFT', 'GOOGL'], window=252)
+sharpe = sq.sharpe(data=data, assets=['AAPL', 'MSFT', 'GOOGL'], use_returns=False, window=252)
 
 # Visualize results (using matplotlib directly)
 plt.figure(figsize=(12, 6))
@@ -67,7 +71,6 @@ SquareQuant provides a comprehensive set of risk metrics, including:
 | Entropic Risk Measure | `sq.erm()` | Risk measure based on information theory |
 | Entropic Value at Risk | `sq.evar()` | VAR using entropy concepts |
 | Conditional Drawdown at Risk | `sq.cdar()` | Expected drawdown beyond threshold |
-| Entropic Drawdown at Risk | `sq.edar()` | Drawdown risk using entropy concepts |
 
 ## Data Sources
 
@@ -103,7 +106,6 @@ config = sq.DownloadConfig(
 
 ```python
 import squarequant as sq
-import pandas as pd
 import matplotlib.pyplot as plt
 
 # Download data
@@ -115,10 +117,10 @@ config = sq.DownloadConfig(
 data = sq.download_tickers(['SPY', 'QQQ'], config)
 
 # Calculate multiple risk metrics
-vol = sq.vol(data=data, assets=['SPY', 'QQQ'], window=21)
-mad = sq.mad(data=data, assets=['SPY', 'QQQ'], window=252)
-mdd = sq.mdd(data=data, assets=['SPY', 'QQQ'], window=252)
-ulcer = sq.ulcer(data=data, assets=['SPY', 'QQQ'], window=252)
+vol = sq.vol(data=data, assets=['SPY', 'QQQ'], use_returns=False, window=21)
+mad = sq.mad(data=data, assets=['SPY', 'QQQ'], use_returns=False, window=252)
+mdd = sq.mdd(data=data, assets=['SPY', 'QQQ'], use_returns=False, window=252)
+ulcer = sq.ulcer(data=data, assets=['SPY', 'QQQ'], use_returns=False, window=252)
 
 # Visualize comparison (using matplotlib directly)
 plt.figure(figsize=(12, 8))
@@ -154,6 +156,7 @@ data = sq.download_tickers(weights.index.tolist(), config)
 # Calculate portfolio risk measures
 portfolio_var = sq.var(
     data=data,
+    use_returns = False,
     assets=weights.index.tolist(),
     confidence=0.95,
     window=252,
@@ -174,13 +177,13 @@ config = sq.DownloadConfig(start_date="2018-01-01", end_date="2023-12-31")
 data = sq.download_tickers(['SPY'], config)
 
 # Calculate Entropic Risk Measure with different risk aversion parameters
-erm1 = sq.erm(data=data, assets=['SPY'], z=0.5, confidence=0.95)
-erm2 = sq.erm(data=data, assets=['SPY'], z=1.0, confidence=0.95)
-erm3 = sq.erm(data=data, assets=['SPY'], z=2.0, confidence=0.95)
+erm1 = sq.erm(data=data, use_returns=False, assets=['SPY'], z=0.5, confidence=0.95)
+erm2 = sq.erm(data=data, use_returns=False, assets=['SPY'], z=1.0, confidence=0.95)
+erm3 = sq.erm(data=data, use_returns=False, assets=['SPY'], z=2.0, confidence=0.95)
 
 # Compare with traditional VaR and CVaR
-var = sq.var(data=data, assets=['SPY'], confidence=0.95)
-cvar = sq.cvar(data=data, assets=['SPY'], confidence=0.95)
+var = sq.var(data=data, use_returns=False, assets=['SPY'], confidence=0.95)
+cvar = sq.cvar(data=data, use_returns=False, assets=['SPY'], confidence=0.95)
 
 print(f"Latest ERM (z=0.5): {erm1.iloc[-1, 0]:.4f}")
 print(f"Latest ERM (z=1.0): {erm2.iloc[-1, 0]:.4f}")
@@ -194,8 +197,10 @@ print(f"Latest CVaR (95%): {cvar.iloc[-1, 0]:.4f}")
 The package has been reorganized into specialized modules:
 
 - `squarequant.data`: Data retrieval functionality (YFinance, Theta Data)
-- `squarequant.var`: Value at Risk and related risk measures
 - `squarequant.core`: Core risk metrics and calculations
+- `squarequant.var`: Value at Risk and related risk measures
+- `squarequant.monte_carlo`: Monte Carlo simulations (alpha version)
+
 
 ## Documentation
 

squarequant-0.2.3/pyproject.toml

@@ -0,0 +1,58 @@
+[build-system]
+requires = ["setuptools>=61.0.0", "wheel", "numpy"]
+build-backend = "setuptools.build_meta"
+
+[project]
+name = "squarequant"
+version = "0.2.3"
+authors = [
+    { name="Gabriel Bosch", email="contact@squarequant.org" },
+]
+description = "A Python package for financial risk metrics and stock data analysis"
+readme = "README.md"
+requires-python = ">=3.7"
+classifiers = [
+    "Programming Language :: Python :: 3",
+    "Programming Language :: Python :: 3.7",
+    "Programming Language :: Python :: 3.8",
+    "Programming Language :: Python :: 3.9",
+    "Programming Language :: Python :: 3.10",
+    "Programming Language :: Python :: 3.11",
+    "Programming Language :: Python :: 3.12",
+    "Programming Language :: Python :: 3.13",
+    "License :: OSI Approved :: MIT License",
+    "Operating System :: OS Independent",
+    "Topic :: Office/Business :: Financial :: Investment",
+    "Topic :: Scientific/Engineering :: Information Analysis",
+    "Intended Audience :: Financial and Insurance Industry",
+    "Intended Audience :: Science/Research",
+    "Development Status :: 4 - Beta",
+]
+dependencies = [
+    "pandas>=1.0.0",
+    "numpy>=1.18.0",
+    "yfinance>=0.1.63",
+    "scipy>=1.5.0",
+    "scikit-learn>=1.5.0",
+    "matplotlib>=3.3.0",
+    "statsmodels>=0.12.0",
+    "requests>=2.25.0",
+]
+
+[project.optional-dependencies]
+optimization = ["cvxpy>=1.0.0"]
+dev = [
+    "pytest>=6.0.0",
+    "black>=21.5b2",
+    "flake8>=3.9.0",
+    "sphinx>=4.0.0",
+    "sphinx-rtd-theme>=0.5.0",
+    "sphinx-autodoc-typehints>=1.22.0",
+    "myst-parser>=1.0.0",
+    "pytest-cov>=2.12.0",
+]
+
+[project.urls]
+Documentation = "https://www.squarequant.org"
+"Bug Tracker" = "https://github.com/SquareQuant/squarequant-package/issues"
+Homepage = "https://github.com/SquareQuant/squarequant-package"

{squarequant-0.2.2 → squarequant-0.2.3}/setup.py

@@ -1,11 +1,13 @@
 from setuptools import setup, find_packages
+import numpy
 
 with open("README.md", "r", encoding="utf-8") as fh:
     long_description = fh.read()
 
+
 setup(
     name="squarequant",
-    version="0.2.2",
+    version="0.2.3",
     author="Gabriel Bosch",
     author_email="contact@squarequant.org",
     description="A Python package for financial risk metrics and stock data analysis",
@@ -24,6 +26,8 @@ setup(
         "Programming Language :: Python :: 3.9",
         "Programming Language :: Python :: 3.10",
         "Programming Language :: Python :: 3.11",
+        "Programming Language :: Python :: 3.12",
+        "Programming Language :: Python :: 3.13",
         "License :: OSI Approved :: MIT License",
         "Operating System :: OS Independent",
         "Topic :: Office/Business :: Financial :: Investment",
@@ -41,7 +45,7 @@ setup(
         "scikit-learn>=1.5.0",
         "matplotlib>=3.3.0",
         "statsmodels>=0.12.0",
-        "requests>=2.25.0",  # Added for Theta data provider
+        "requests>=2.25.0",
     ],
     extras_require={
         "optimization": ["cvxpy>=1.0.0"],
@@ -56,5 +60,7 @@ setup(
             "pytest-cov>=2.12.0",
         ],
     },
-    keywords="finance, risk, portfolio, investment, stocks, analysis, visualization, drawdown, var, cvar, entropic, ulcer index, theta data",
-)
+    setup_requires=["pandas", "numpy"],
+    include_dirs=[numpy.get_include()],
+    keywords="finance, risk, portfolio, investment, stocks, analysis, drawdown, var, cvar, entropic, ulcer index, theta data, quant, time series, monte carlo",
+)

{squarequant-0.2.2 → squarequant-0.2.3}/squarequant/__init__.py

@@ -6,7 +6,7 @@ and data retrieval from multiple sources (YFinance and Theta Data).
 """
 
 # Version information
-__version__ = "0.2.2"
+__version__ = "0.3.0"
 __author__ = "Gabriel Bosch"
 __email__ = "contact@squarequant.org"
 
@@ -27,7 +27,11 @@ from .api import (
     erm,
     evar,
     cdar,
-    edar
+    simplemc,
+    brownian,
+    correlated_brownian,
+    gbm_paths,
+    gbm_correlated_paths,
 )
 
 # Define what's available when using "from squarequant import *"
@@ -48,5 +52,9 @@ __all__ = [
     'erm',
     'evar',
     'cdar',
-    'edar'
+    'simplemc',
+    'brownian',
+    'correlated_brownian',
+    'gbm_paths',
+    'gbm_correlated_paths'
 ]