wbportfolio 1.43.1__py2.py3-none-any.whl

wbportfolio/static/wbportfolio/markdown/documentation/financial_statistics.md

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+# Financial Statistics
+
+Here is a list of different financial statistics that can help to evaluate performance and risk of an instrument against
+his benchmark.
+
+### Meaning:
+1. Mean Return: it is the average of all the returns during the period.
+2. Volatility: it is a statistical measure of the dispersion of returns.
+3. Maximum Drawdown: a drawdown is the return between the current price and the last highest price. If the current price
+   is the last highest price, the drawdown is 0. Therefore, drawdowns are only negative values. The maximum drawdown
+   (MDD) is the biggest fall in terms of return.
+4. Longest Drawdown Period: the longest number of days to recover his last highest price.
+5. Last cumulative return: a cumulative return on an investment is the aggregate amount that the investment has gained
+   or lost over time, independent of the amount of time involved. The last cumulative return is the return between the
+   first price and last price over the period.
+6. Value at Risk: the Value at Risk (VaR) is a downside risk measure. The idea is to keep the worst returns which are
+   lower than a specific return based on a quantile (default value is 5%). Once we have these worst returns, the VaR is
+   the highest one (so the "least bad"). The quantile number for the VaR is called alpha in finance. This process is the
+   historical VaR approach.
+7. Conditional Value at Risk: The CVaR is a downside risk measure. It is the same process as the VaR, however it is the
+   mean of the worst returns. The CVaR is an absolute value (always positive).
+8. Skewness: in statistics, skewness is the degree of asymmetry observed in a probability function. For instance,
+   negative skewness occurs when the returns to the left of (less than) the mean are fewer but farther from it than
+   returns to the right of (greater than) the mean.
+9. Excess Kurtosis: Like Skewness, Kurtosis is a statistical measure that is used to describe distribution. Whereas
+   skewness differentiates extreme values in one versus the other tail, kurtosis measures extreme values in either tail.
+   For instance, a higher kurtosis means that there are more extreme returns (positive and negative).
+10. Compound Annual Growth Rate: The CAGR is a rate of return that would be required for an investment to grow from its
+    beginning balance to its ending balance, assuming the profits were reinvested at the end of each year of the
+    investment’s life span.
+11. Sortino Ratio: it is a downside risk ratio. In finance, the most important risk is not volatility, but rather the
+    risk of not achieving the return in relation to an investment goal. Here it is not the same formula as investopedia,
+    so it is not the Sortino Ratio as everybody know. Here we use the target level instead of the risk free rate (it is
+    mostly the same thing). To calculate the Sortino Ratio, first we need only the returns that are below the target
+    level (default value is 0). Then, we take those returns, square them, sum them, divide by the total number of
+    returns (not only those who are below the target level) and finally square root them. This is what we call the
+    « below-target semi-deviation ». Calculate the annualized return and also annualized the below-target
+    semi-deviation. Take the annualized return, soustract by the target level and finally divide by the annualized
+    below-target semi-deviation.
+12. Adjusted Sortino Ratio: it is just the Sortino Ratio divided by square root of 2.
+13. Calmar Ratio: it is the CAGR divided by the MDD.
+14. Sterling Ratio: it is the annualized returns soustracted by the risk free rate, divided by the MDD.
+15. Burke Ratio: it is the annualized returns soustracted by the risk free rate, divided by the square root of the sum
+    of the square of the drawdowns.

wbportfolio/static/wbportfolio/markdown/documentation/person.md

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+# Persons
+A list of every person saved in the database.
+
+## Columns:
+Each column title has three lines on the right if you hover over it. Click on them to show options for that column. The second tab of the options menu will allow you to filter the column, the third to completely hide entire columns. Click on anywhere else on the column to order it, cycling between ascending, descending and no ordering. Hold shift while clicking to order multiple columns with individual weights.
+
+### Name:
+The first and last name of the person.
+
+### Primary Employer:
+The primary employer of the person.
+
+### Status:
+The primary employer's status. Company statuses can be added, edited and deleted by managers under CRM > Administration > Customer Status.
+
+### Position:
+The position of the person within its primary employer. Positions can be added, edited and deleted by managers under CRM > Administration > Company Positions.
+
+### City:
+The city of the person's primary address. Hover over the name to display the full address.
+
+### Primary Phone Number:
+The person's primary phone number.
+
+### Tier:
+The person's primary employer's tier. Tiers range from 1 to 5 and are automatically computed.
+
+### AUM Invested:
+The person's primary employer's assets under management managed by the main company.
+
+### AUM:
+Total assets under management for the person's primary employer.
+
+### Potential:
+The potential reflects how much potential a person's primary employer (regardless of whether this employer is a client or propective) has. Formula: AUM * (Asset Allocation * Asset Allocation Max Investment) - Invested AUM. The field is populated automatically.
+
+### Primary Relationship Manager:
+The primary relationship manager of this person. Hover over the name to display further information about the person.
+
+### Last Activity:
+The name and end date of the person's last activity. Hover over it to display further information about the activity. Column can also be ordered by end date of the activity.
+
+### Activity Heat:
+A visual representation of the person's activeness. The data representation ranges from 0 to 1 which needs to be kept in mind to be able to apply a proper filter to the column.
+
+## Filters:
+
+### Specializations:
+Filter persons by their specializations.
+
+### No Activity:
+Filter persons with no activity for x amount of time.
+
+### Has User Account:
+Filter persons by if they have a user account on the workbench.
+
+### Email:
+Filter persons by their email address.
+
+## Search Field:
+Typing in the search field allows to filter the persons by name.
+
+## Buttons:
+Each row can be right-clicked to reveal two buttons at the end of it.
+
+### Activities:
+Displays all activities for the row's person.
+
+### Relationship Managers:
+Displays all relationship managers of the row's person.

wbportfolio/tasks.py

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+from contextlib import suppress
+from datetime import date, timedelta
+
+from celery import chain, chord
+from django.db.models import ProtectedError, Q
+from pandas.tseries.offsets import BDay
+from tqdm import tqdm
+from wbfdm.models import InstrumentPrice
+from wbportfolio.models import Portfolio, Trade
+from wbportfolio.models.portfolio import propagate_or_update_portfolio_assets_as_task
+from wbportfolio.models.products import Product, update_outstanding_shares_as_task
+
+from .fdm.tasks import *  # noqa
+
+
+@shared_task()
+def dummy_task():
+    return True
+
+
+@shared_task(queue="portfolio")
+def periodically_update_outstanding_shares_for_active_products():
+    qs = Product.active_objects.all()
+    for product in tqdm(qs, total=qs.count()):
+        update_outstanding_shares_as_task(product.id)
+
+
+@shared_task(queue="portfolio")
+def periodically_clean_marked_for_deletion_trades(max_allowed_iterations: int = 5):
+    # Get all trade marked for deletion or pending and older than 7 days (i.e. After 7 days, we consider the pending trade obselete)
+    qs = Trade.objects.filter(
+        Q(marked_for_deletion=True) | (Q(pending=True) & Q(transaction_date__lt=date.today() - timedelta(days=7)))
+    )
+    i = 0
+
+    # We try several times in case the trades deletion mechanism shifts the marked for deletion tag forwards
+    while i < max_allowed_iterations and qs.exists():
+        for t in qs:
+            with suppress(ProtectedError):
+                t.delete()
+        qs = Trade.objects.filter(marked_for_deletion=True)
+        i += 1
+
+
+# Daily synchronization tasks.
+# This tasks needs to be ran at maximum once a day in order to guarantee data consitency in
+# case of change in change (e.g. reimport).
+@shared_task(queue="portfolio")
+def daily_instrument_price_statistics_synchronization(today: date = None, day_periods: int = 7):
+    if not today:
+        today = date.today()
+
+    # We query for the last 7 days unsynch instrument prices.
+    prices = (
+        InstrumentPrice.objects.filter(
+            date__gte=today - timedelta(days=day_periods), instrument__related_instruments__isnull=False
+        )
+        .filter(Q(sharpe_ratio__isnull=True) | Q(correlation__isnull=True) | Q(beta__isnull=True))
+        .distinct()
+    )
+    objs = []
+    for p in prices.iterator():
+        p.compute_and_update_statistics()
+        objs.append(p)
+    InstrumentPrice.objects.bulk_update(objs, fields=["sharpe_ratio", "correlation", "beta"])
+
+
+# A Task to run every day to update automatically the preferred classification
+# per instrument of each wbportfolio containing assets.
+@shared_task(queue="portfolio")
+def update_preferred_classification_per_instrument_and_portfolio_as_task():
+    for portfolio in Portfolio.tracked_objects.all():
+        portfolio.update_preferred_classification_per_instrument()
+
+
+# This task needs to run at fix interval. It will trigger the basic wbportfolio synchronization update:
+# - Fetch for stainly price at t-1
+# - propagate (or update) t-2 asset positions into t-1
+# - Synchronize wbportfolio at t-1
+# - Compute Instrument Price estimate at t-1
+
+
+@shared_task(queue="portfolio")
+def general_portfolio_synchronization_and_update(task_date=None):
+    if not task_date:
+        task_date = date.today()
+    t_1 = (task_date - BDay(1)).date()
+    t_2 = (t_1 - BDay(1)).date()
+
+    # We propagate or update assets position from t-2 to t-1 (Needs stainly t-1 prices)
+    subroutines_propagate_or_update_portfolio_assets = list()
+    for portfolio in Portfolio.tracked_objects.all():
+        if (
+            portfolio.assets.filter(date=t_2).exists()
+            and not portfolio.assets.filter(date=t_1, is_estimated=False).exists()
+        ):
+            subroutines_propagate_or_update_portfolio_assets.append(
+                propagate_or_update_portfolio_assets_as_task.si(portfolio.id, t_2, t_1)
+            )
+
+    # # Synchronize wbportfolio at t-1 (needs propagated data)
+    # subroutines_synchronize_computed_positions = list()
+    # for method in PortfolioSynchronization.objects.all():
+    #     for portfolio in method.portfolios.all():
+    #         subroutines_synchronize_computed_positions.append(
+    #             synchronize_portfolio_as_task.si(portfolio.id, t_1, synchronization_method_id=method.id)
+    #         )
+    #
+    # # Compute price estimate at t-1 (needs synchronized wbportfolio)
+    # subroutines_compute_price = list()
+    # for method in PriceComputation.objects.all():
+    #     for instrument in method.instruments.all():
+    #         subroutines_compute_price.append(
+    #             compute_price_as_task.si(instrument.id, t_1, price_computation_method_id=method.id)
+    #         )
+
+    subroutines_propagate_or_update_portfolio_assets_group = chord(
+        subroutines_propagate_or_update_portfolio_assets, dummy_task.si()
+    )
+
+    chain(
+        subroutines_propagate_or_update_portfolio_assets_group,
+        # subroutines_synchronize_computed_positions_group,
+        # subroutines_compute_price_group
+    ).apply_async()

wbportfolio/templates/portfolio/email/customer_report.html

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+{% extends "notifications/email_template.html" %}
+
+{% block body %}
+<p style="font-size: 20px; color: #313952; text-align: center;"><strong>Dear {{profile.first_name}} {{profile.last_name}}</strong></p>
+<p style="text-align: center;">Attached you find the requested Excel-Report for {{customer.search_name}}</p>
+{% endblock %}

wbportfolio/templates/portfolio/email/customer_trade_notification.html

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+{% extends "wbcore/email_base_template.html" %}
+
+{% block body %}
+<p>
+    <strong>A Customer Trade was saved that might be related to your managed sub accounts:</strong><br />
+</p>
+<p style="text-align: left; text-decoration: underline;">Claim info:</p>
+<p style="text-align: left;">
+    <ul style="text-align: left;">
+        <li><b>Bank:</b> {{model.bank}}</li>
+        <li><b>Product:</b> {{model.product.title}}</li>
+        <li><b>Trade Date:</b> {{model.transaction_date}}</li>
+        <li><b>Shares:</b> {{model.shares}}</li>
+        <li><b>Price:</b> {{model.price}}</li>
+        {% if notification.external_identifier %}
+        <li><b>External Identifier:</b> {{model.external_id}}</li>
+        {% endif %}
+        {% if notification.message %}
+        <li><b>Related SubAccounts:</b> {{notification.message}}</li>
+        {% endif %}
+        {% if model.comment%}
+        <li><b>Comment:</b> <i>{{model.comment|safe}}</i></li>
+        {% endif %}
+      </ul>
+</p>
+{% endblock %}