wbportfolio 1.43.1__tar.gz → 1.44.0__tar.gz

{wbportfolio-1.43.1 → wbportfolio-1.44.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: wbportfolio
-Version: 1.43.1
+Version: 1.44.0
 Author-email: Christopher Wittlinger <c.wittlinger@stainly.com>
 License-File: LICENSE
 Requires-Dist: cryptography==3.4.*

{wbportfolio-1.43.1 → wbportfolio-1.44.0}/wbportfolio/import_export/handlers/asset_position.py

@@ -4,7 +4,10 @@ from decimal import Decimal
 from itertools import chain
 from typing import Any, Dict, List, Optional
 
+from django.core.exceptions import ObjectDoesNotExist
 from django.db import models
+from contextlib import suppress
+
 from wbcore.contrib.authentication.authentication import User
 from wbcore.contrib.currency.import_export.handlers import CurrencyImportHandler
 from wbcore.contrib.io.exceptions import DeserializationError
@@ -145,23 +148,23 @@ class AssetPositionImportHandler(ImportExportHandler):
             for val_date in sorted(dates):
                 trigger_portfolio_change_as_task.delay(portfolio.id, val_date, recompute_weighting=True)
 
-        portfolios = set([(obj.portfolio, obj.date) for obj in chain(created_objs, modified_objs)])
-
-        for portfolio, val_date in portfolios:
-            custodian = portfolio.dependency_through.filter(type="CUSTODIAN")
-            if custodian.exists():
-                differences = portfolio.check_related_portfolio_at_date(
-                    val_date, custodian.first().dependency_portfolio
-                )
-                if differences.exists():
-                    for user in User.objects.filter(
-                        profile_id__in=PortfolioRole.portfolio_managers().values_list("person", flat=True)
-                    ):
-                        send_notification(
-                            code="wbportfolio.portfolio.check_custodian_portfolio",
-                            title="There is a discrepency between two portfolios",
-                            body=f"There has been a discrepency between two portfolios: {portfolio} and {custodian.first().dependency_portfolio}.",
-                            user=user,
-                            reverse_name="wbportfolio:portfolio-modelcompositionpandas-list",
-                            reverse_args=[portfolio.id],
-                        )
+            # check if portfolio as custodian
+            latest_date = max(dates)
+            with suppress(ObjectDoesNotExist):
+                if (custodian_rel := portfolio.dependency_through.get(type="CUSTODIAN")) and portfolio.assets.latest(
+                    "date"
+                ).date >= latest_date:
+                    custodian_portfolio = custodian_rel.first().dependency_portfolio
+                    differences = portfolio.check_related_portfolio_at_date(latest_date, custodian_portfolio)
+                    if differences.exists():
+                        for user in User.objects.filter(
+                            profile_id__in=PortfolioRole.portfolio_managers().values_list("person", flat=True)
+                        ):
+                            send_notification(
+                                code="wbportfolio.portfolio.check_custodian_portfolio",
+                                title="There is a discrepency between two portfolios",
+                                body=f"There has been a discrepency between two portfolios: {portfolio} and {custodian_portfolio}.",
+                                user=user,
+                                reverse_name="wbportfolio:portfolio-modelcompositionpandas-list",
+                                reverse_args=[portfolio.id],
+                            )

{wbportfolio-1.43.1 → wbportfolio-1.44.0}/wbportfolio/risk_management/backends/product_integrity.py

@@ -51,7 +51,7 @@ class RuleBackend(backend.AbstractRuleBackend):
         return RuleBackendSerializer
 
     def _process_dto(self, product: Product, **kwargs) -> Generator[backend.IncidentResult, None, None]:
-        for lag_threshold in self.thresholds:
+        for lag_threshold in reversed(self.thresholds):
             numerical_range = lag_threshold.numerical_range
 
             last_asset_position_date = (
@@ -77,35 +77,33 @@ class RuleBackend(backend.AbstractRuleBackend):
                 )
                 - 1
             )
-
+            breached_data_type = []
             if (
                 self.DataTypeChoices.ASSET_POSITION.value in self.data_type
                 and asset_position_lag >= numerical_range[0]
                 and asset_position_lag < numerical_range[1]
             ):
-                yield backend.IncidentResult(
-                    breached_object=product,
-                    breached_object_repr=str(product),
-                    breached_value=str(asset_position_lag),
-                    report_details={
-                        "Last Datapoint": f"{last_asset_position_date:%d.%m.%Y}",
-                        "Data Type": "Asset Position",
-                    },
-                    severity=lag_threshold.severity,
-                )
+                breached_data_type.append("Asset Position")
             if (
                 self.DataTypeChoices.INSTRUMENT_PRICE.value in self.data_type
                 and instrument_price_lag >= numerical_range[0]
                 and instrument_price_lag < numerical_range[1]
             ):
+                breached_data_type.append("Valuation")
+
+            if len(breached_data_type) > 0:
+                max_lag = max([asset_position_lag, instrument_price_lag])
                 yield backend.IncidentResult(
                     breached_object=product,
                     breached_object_repr=str(product),
-                    breached_value=str(instrument_price_lag),
+                    breached_value=str(max_lag),
                     report_details={
-                        "Lag": instrument_price_lag,
-                        "Last Datapoint": f"{last_instrument_price_date:%d.%m.%Y}",
-                        "Data Type": "Valuation",
+                        "Lag": max_lag,
+                        "Last Valuation Datapoint": f"{last_instrument_price_date:%d.%m.%Y}",
+                        "Last Asset Position Datapoint": f"{last_asset_position_date:%d.%m.%Y}",
+                        "Valuation Lag": instrument_price_lag,
+                        "Asset Position Lag": asset_position_lag,
                     },
                     severity=lag_threshold.severity,
                 )
+                break

{wbportfolio-1.43.1 → wbportfolio-1.44.0}/wbportfolio/risk_management/tests/test_product_integrity.py

@@ -33,23 +33,16 @@ class TestProductRuleModel:
         asset_position_factory.create(date=weekday - BDay(2), portfolio=product.portfolio, is_estimated=False)
         instrument_price_factory.create(date=weekday - BDay(1), instrument=product, calculated=False)
 
-        res = list(product_backend.check_rule())
-        low_severity = list(filter(lambda x: x.severity.name == "LOW", res))[0]
-        high_severity = list(filter(lambda x: x.severity.name == "HIGH", res))[0]
-
-        assert high_severity.report_details["Data Type"] == "Asset Position"
-        assert low_severity.report_details["Data Type"] == "Valuation"
-        assert high_severity.report_details["Last Datapoint"] == f"{(weekday - BDay(2)).date():%d.%m.%Y}"
-        assert low_severity.report_details["Last Datapoint"] == f"{(weekday - BDay(1)).date():%d.%m.%Y}"
-
-        instrument_price_factory.create(date=weekday, instrument=product, calculated=False)
-        asset_position_factory.create(date=weekday - BDay(1), portfolio=product.portfolio, is_estimated=False)
-
         res = list(product_backend.check_rule())
         assert len(res) == 1
-        assert res[0].report_details["Data Type"] == "Asset Position"
-        assert res[0].report_details["Last Datapoint"] == f"{(weekday - BDay(1)).date():%d.%m.%Y}"
+        incident = res[0]
+        assert incident.severity.name == "HIGH"
+        assert incident.breached_value == str(2)
+        assert incident.report_details["Lag"] == 2
+        assert incident.report_details["Last Asset Position Datapoint"] == f"{(weekday - BDay(2)).date():%d.%m.%Y}"
+        assert incident.report_details["Last Valuation Datapoint"] == f"{(weekday - BDay(1)).date():%d.%m.%Y}"
 
+        instrument_price_factory.create(date=weekday, instrument=product, calculated=False)
         asset_position_factory.create(date=weekday, portfolio=product.portfolio, is_estimated=False)
         res = list(product_backend.check_rule())
         assert len(res) == 0

{wbportfolio-1.43.1 → wbportfolio-1.44.0}/wbportfolio/viewsets/configs/display/esg.py

@@ -14,12 +14,12 @@ class ESGMetricAggregationPortfolioPandasDisplayConfig(DisplayViewConfig):
                 label="Portfolio Data",
                 children=[
                     dp.Field(
-                        key="underlying_instrument_repr", label="Name", width=Unit.PIXEL(300), lock_position=True
-                    ),
-                    dp.Field(key="weighting", label="Weight", width=Unit.PIXEL(100), lock_position=True),
-                    dp.Field(
-                        key="total_value_fx_usd", label="Total Asset (USD)", width=Unit.PIXEL(150), lock_position=True
+                        key="underlying_instrument_repr",
+                        label="Name",
+                        width=Unit.PIXEL(300),
                     ),
+                    dp.Field(key="weighting", label="Weight", width=Unit.PIXEL(100)),
+                    dp.Field(key="total_value_fx_usd", label="Total Asset (USD)", width=Unit.PIXEL(150)),
                 ],
             )
         ]
@@ -28,15 +28,12 @@ class ESGMetricAggregationPortfolioPandasDisplayConfig(DisplayViewConfig):
                 key="esg_data",
                 label=self.view.esg_aggregation.get_esg_code().name,
                 width=Unit.PIXEL(150),
-                lock_position=True,
             )
         ]
         for extra in self.view.dataloader.extra_esg_data_logs:
-            esg_data_fields.append(
-                dp.Field(key=extra.series.name, label=extra.label, width=Unit.PIXEL(150), lock_position=True)
-            )
+            esg_data_fields.append(dp.Field(key=extra.series.name, label=extra.label, width=Unit.PIXEL(150)))
         fields.append(
-            dp.Field(key=None, label="ESG Data", children=esg_data_fields, lock_position=True),
+            dp.Field(key=None, label="ESG Data", children=esg_data_fields),
         )
         if self.view.dataloader.intermediary_logs:
             intermediary_fields = []
@@ -47,7 +44,6 @@ class ESGMetricAggregationPortfolioPandasDisplayConfig(DisplayViewConfig):
                     key=intermediary.series.name,
                     label=intermediary.label,
                     width=Unit.PIXEL(100),
-                    lock_position=True,
                 )
                 if intermediary.group:
                     intermediary_groups[intermediary.group].append(field)
@@ -58,29 +54,23 @@ class ESGMetricAggregationPortfolioPandasDisplayConfig(DisplayViewConfig):
                             key=intermediary.series.name,
                             label=intermediary.label,
                             width=Unit.PIXEL(150),
-                            lock_position=True,
                         )
                     )
             for group_name, intermediary_groups_fields in intermediary_groups.items():
-                intermediary_fields.append(
-                    dp.Field(key=None, label=group_name, children=intermediary_groups_fields, lock_position=True)
-                )
+                intermediary_fields.append(dp.Field(key=None, label=group_name, children=intermediary_groups_fields))
             fields.append(
-                dp.Field(key=None, label="Intermediary", children=intermediary_fields, lock_position=True),
+                dp.Field(key=None, label="Intermediary", children=intermediary_fields),
             )
         fields.append(
             dp.Field(
                 key=None,
                 label="Metric",
                 children=[
-                    dp.Field(
-                        key="metric", label=self.view.esg_aggregation.value, width=Unit.PIXEL(150), lock_position=True
-                    ),
+                    dp.Field(key="metric", label=self.view.esg_aggregation.value, width=Unit.PIXEL(150)),
                     dp.Field(
                         key="weights_in_coverage",
                         label="Weight in Coverage",
                         width=Unit.PIXEL(100),
-                        lock_position=True,
                     ),
                 ],
             )