wbportfolio 1.44.4__py2.py3-none-any.whl → 1.45.0__py2.py3-none-any.whl

wbportfolio/import_export/parsers/sg_lux/customer_trade_slk.py

@@ -3,9 +3,10 @@ from io import StringIO
 
 import numpy as np
 import pandas as pd
-from wbportfolio.models import Product, Trade
 from xlrd import xldate_as_datetime
 
+from wbportfolio.models import Product, Trade
+
 from .sylk import SYLK
 from .utils import get_portfolio_id
 

wbportfolio/import_export/parsers/sg_lux/customer_trade_without_pw.py

@@ -1,5 +1,6 @@
 import numpy as np
 import pandas as pd
+
 from wbportfolio.models import Product, Trade
 
 

wbportfolio/import_export/parsers/sg_lux/equity.py

@@ -4,6 +4,7 @@ from contextlib import suppress
 
 import numpy as np
 import pandas as pd
+
 from wbportfolio.models import ProductGroup
 
 
@@ -29,7 +30,7 @@ def get_exchange(row):
     return None
 
 
-def get_underlying_instrument(row):
+def get_underlying_quote(row):
     if str(row["Asset type code"]) == "VMOB":
         data = {
             "instrument_type": "equity",
@@ -58,7 +59,7 @@ def parse(import_source):
     df = df.replace([np.inf, -np.inf, np.nan], None)
     columns_map = {
         "Code": "portfolio",
-        "underlying_instrument": "underlying_instrument",
+        "underlying_quote": "underlying_quote",
         "exchange__bbg_exchange_codes": "exchange__bbg_exchange_codes",
         "NAV Date": "date",
         "Quantity / Amount": "initial_shares",
@@ -99,9 +100,7 @@ def parse(import_source):
         )
         .reset_index()
     ).copy()
-    cash["underlying_instrument"] = cash["currency__key"].apply(
-        lambda x: {"currency__key": x, "instrument_type": "cash"}
-    )
+    cash["underlying_quote"] = cash["currency__key"].apply(lambda x: {"currency__key": x, "instrument_type": "cash"})
 
     # cash_equivalents_mask, all asset type code that match TRES and which don't have accounting category T111
     cash_equivalents_mask = df["Asset type code"].str.match("TRES") & ~df["Accounting category"].str.match("T111")
@@ -127,14 +126,14 @@ def parse(import_source):
         )
         .reset_index()
     ).copy()
-    cash_equivalents["underlying_instrument"] = cash_equivalents["currency__key"].apply(
+    cash_equivalents["underlying_quote"] = cash_equivalents["currency__key"].apply(
         lambda x: {"currency__key": x, "instrument_type": "cash_equivalent"}
     )
 
     # equities = df.loc[df["Accounting category"].str.match("010"), :].copy() # Historically, we filter out equity base on the "accounting category" that matches "010", we had issue with equity having the code "020". We decided to use the column "Asset type code" and filter out with the code "VCOM"
     equities = df.loc[df["Asset type code"].str.match("VMOB"), :].copy()
     if not equities.empty:
-        equities["underlying_instrument"] = equities.apply(lambda x: get_underlying_instrument(x), axis=1)
+        equities["underlying_quote"] = equities.apply(lambda x: get_underlying_quote(x), axis=1)
         equities["exchange"] = equities.apply(lambda x: get_exchange(x), axis=1)
         del equities["Accounting category"]
         del equities["Asset type code"]
@@ -149,7 +148,7 @@ def parse(import_source):
 
     df["is_estimated"] = False
     df = df.replace([np.inf, -np.inf, np.nan], None)
-    df = df[df["underlying_instrument"].notnull()]
+    df = df[df["underlying_quote"].notnull()]
 
     df["weighting"] = df.initial_currency_fx_rate * df.initial_price * df.initial_shares
     portfolio_weights = df.groupby("portfolio")["weighting"].sum()

wbportfolio/import_export/parsers/sg_lux/portfolio_cash_flow.py

@@ -1,6 +1,7 @@
 from datetime import datetime
 
 import pandas as pd
+
 from wbportfolio.models import ProductGroup
 
 

wbportfolio/import_export/parsers/sg_lux/portfolio_future_cash_flow.py

@@ -2,6 +2,7 @@ from contextlib import suppress
 from datetime import datetime
 
 import pandas as pd
+
 from wbportfolio.models import Portfolio
 
 

wbportfolio/import_export/parsers/sg_lux/registers.py

@@ -4,9 +4,10 @@ from io import StringIO
 import numpy as np
 import pandas as pd
 from wbcore.contrib.geography.models import Geography
-from wbportfolio.models import Register
 from xlrd import xldate_as_datetime
 
+from wbportfolio.models import Register
+
 from .sylk import SYLK
 
 

wbportfolio/import_export/parsers/societe_generale/customer_trade.py

@@ -3,6 +3,7 @@ import re
 from io import BytesIO
 
 import pandas as pd
+
 from wbportfolio.models import Product, Trade
 
 

wbportfolio/import_export/parsers/societe_generale/strategy.py

@@ -5,6 +5,7 @@ from io import BytesIO
 
 import numpy as np
 import pandas as pd
+
 from wbportfolio.import_export.utils import extract_exchange_ticker
 
 logger = logging.getLogger("importers.parsers.jp_morgan.strategy")
@@ -44,24 +45,22 @@ def parse(import_source):
                     df_positions.columns[df_positions.columns.str.contains("Currency")][0]: "currency__key",
                     df_positions.columns[df_positions.columns.str.contains("Weight")][0]: "weighting",
                     df_positions.columns[df_positions.columns.str.contains("Level")][0]: "initial_price",
-                    df_positions.columns[df_positions.columns.str.contains("Ticker")][
-                        0
-                    ]: "underlying_instrument__ticker",
-                    df_positions.columns[df_positions.columns.str.contains("ISIN")][0]: "underlying_instrument__isin",
-                    df_positions.columns[df_positions.columns.str.contains("Name")][0]: "underlying_instrument__name",
+                    df_positions.columns[df_positions.columns.str.contains("Ticker")][0]: "underlying_quote__ticker",
+                    df_positions.columns[df_positions.columns.str.contains("ISIN")][0]: "underlying_quote__isin",
+                    df_positions.columns[df_positions.columns.str.contains("Name")][0]: "underlying_quote__name",
                 }
             )
             for position in df_positions.to_dict("records"):
-                ticker, exchange = extract_exchange_ticker(position["underlying_instrument__ticker"])
+                ticker, exchange = extract_exchange_ticker(position["underlying_quote__ticker"])
                 if exchange:
                     exchange = {"bbg_exchange_codes": exchange}
                 data.append(
                     {
-                        "underlying_instrument": {
+                        "underlying_quote": {
                             "instrument_type": "equity",
                             "ticker": ticker,
-                            "isin": position["underlying_instrument__isin"],
-                            "name": position["underlying_instrument__name"],
+                            "isin": position["underlying_quote__isin"],
+                            "name": position["underlying_quote__name"],
                             "currency__key": position["currency__key"],
                             "exchange": exchange,
                         },

wbportfolio/import_export/parsers/societe_generale/valuation.py

@@ -2,6 +2,7 @@ from io import BytesIO
 
 import numpy as np
 import pandas as pd
+
 from wbportfolio.import_export.utils import get_file_extension
 from wbportfolio.models import Product
 

wbportfolio/import_export/parsers/tellco/equity.py

@@ -4,6 +4,7 @@ import datetime
 
 import pandas as pd
 from wbcore.contrib.currency.models import Currency
+
 from wbportfolio.import_export.utils import convert_string_to_number
 from wbportfolio.models import ProductGroup
 
@@ -36,7 +37,7 @@ def parse(import_source):
             ticker = "CASH"
             title = currency.title
             initial_price = 1
-            underlying_instrument = {
+            underlying_quote = {
                 "instrument_type": "cash",
                 "ticker": ticker,
                 "name": title,
@@ -50,7 +51,7 @@ def parse(import_source):
             initial_price = basket["Wertpapierkurs"]
 
             exchange = f'X{basket["Bloomberg Code"]}' if basket["Bloomberg Code"] else None
-            underlying_instrument = {
+            underlying_quote = {
                 "instrument_type": instrument_type,
                 "isin": basket["ISIN"],
                 "exchange": {"mic_code": exchange},
@@ -62,8 +63,8 @@ def parse(import_source):
 
         data.append(
             {
-                "underlying_instrument": underlying_instrument,
-                "exchange": underlying_instrument.get("exchange", None),
+                "underlying_quote": underlying_quote,
+                "exchange": underlying_quote.get("exchange", None),
                 "portfolio": {
                     "instrument_type": "product_group",
                     "id": product_group.id,

wbportfolio/import_export/parsers/ubs/api/asset_position.py

@@ -3,16 +3,17 @@ import json
 import numpy as np
 import pandas as pd
 from wbcore.contrib.currency.models import CurrencyFXRates
+
 from wbportfolio.import_export.utils import extract_exchange_ticker
 
 BASE_MAPPING = {
-    "instrument": "underlying_instrument__name",
-    "ric": "underlying_instrument__refinitiv_identifier_code",
-    "bbTicker": "underlying_instrument__ticker",
-    "isin": "underlying_instrument__isin",
-    "sedol": "underlying_instrument__sedol",
-    "valoren": "underlying_instrument__valoren",
-    "assetClass": "underlying_instrument__instrument_type",
+    "instrument": "underlying_quote__name",
+    "ric": "underlying_quote__refinitiv_identifier_code",
+    "bbTicker": "underlying_quote__ticker",
+    "isin": "underlying_quote__isin",
+    "sedol": "underlying_quote__sedol",
+    "valoren": "underlying_quote__valoren",
+    "assetClass": "underlying_quote__instrument_type",
     "percentageWeight": "weighting",
     "shares": "initial_shares",
     "localClose": "initial_price",
@@ -77,8 +78,8 @@ def parse(import_source):
                 df["date"] = val_date
                 df["portfolio__instrument_type"] = "product"
                 df["portfolio__isin"] = amc["isin"]
-                df["underlying_instrument__currency__key"] = df["currency__key"]
-                df["underlying_instrument__instrument_type"] = df.underlying_instrument__instrument_type.apply(
+                df["underlying_quote__currency__key"] = df["currency__key"]
+                df["underlying_quote__instrument_type"] = df.underlying_quote__instrument_type.apply(
                     lambda x: INSTRUMENT_TYPE_MAP[x]
                 )
                 if asset_class == "CASH":
@@ -93,14 +94,14 @@ def parse(import_source):
                         .astype(float)
                     )
                 df["is_estimated"] = False
-                if "underlying_instrument__ticker" in df.columns:
-                    df["underlying_instrument__exchange"] = df["underlying_instrument__ticker"].apply(
+                if "underlying_quote__ticker" in df.columns:
+                    df["underlying_quote__exchange"] = df["underlying_quote__ticker"].apply(
                         lambda x: {"bbg_exchange_codes": extract_exchange_ticker(x)[1]}
                     )
-                    df["underlying_instrument__ticker"] = df["underlying_instrument__ticker"].apply(
+                    df["underlying_quote__ticker"] = df["underlying_quote__ticker"].apply(
                         lambda x: extract_exchange_ticker(x)[0]
                     )
-                if "underlying_instrument__exchange" in df.columns:
-                    df["exchange"] = df["underlying_instrument__exchange"]
+                if "underlying_quote__exchange" in df.columns:
+                    df["exchange"] = df["underlying_quote__exchange"]
                 data.extend(df.to_dict("records"))
     return {"data": data}

wbportfolio/import_export/parsers/ubs/api/fees.py

@@ -1,6 +1,7 @@
 import json
 
 import pandas as pd
+
 from wbportfolio.models import Fees, Product
 
 BASE_MAPPING = {"managementFee": "total_value", "performanceFee": "total_value", "date": "transaction_date"}

wbportfolio/import_export/parsers/ubs/customer_trade.py

@@ -4,6 +4,7 @@ from typing import Dict
 import numpy as np
 import pandas as pd
 from wbcore.contrib.io.models import ImportSource
+
 from wbportfolio.models import Product, Trade
 
 

wbportfolio/import_export/parsers/ubs/equity.py

@@ -2,6 +2,7 @@ import datetime
 import re
 
 import xlrd
+
 from wbportfolio.models import Product
 
 
@@ -53,7 +54,7 @@ def parse(import_source):
         exchange_data = {"bbg_exchange_codes": exchange}
         data.append(
             {
-                "underlying_instrument": {
+                "underlying_quote": {
                     "instrument_type": "equity",
                     "ticker": ticker,
                     "exchange": exchange_data,
@@ -77,7 +78,7 @@ def parse(import_source):
         if "Currency" == row[1].value:
             data.append(
                 {
-                    "underlying_instrument": {
+                    "underlying_quote": {
                         "instrument_type": "cash",
                         "currency__key": cash_sheet.cell_value(row_index + 1, 1),
                     },

wbportfolio/import_export/parsers/ubs/historical_customer_trade.py

@@ -3,6 +3,7 @@ from typing import Dict
 
 import pandas as pd
 from wbcore.contrib.io.models import ImportSource
+
 from wbportfolio.models import Product, Trade
 
 

wbportfolio/import_export/parsers/ubs/valuation.py

@@ -4,6 +4,7 @@ from io import BytesIO
 
 import numpy as np
 import pandas as pd
+
 from wbportfolio.import_export.utils import get_file_extension
 from wbportfolio.models import Product
 

wbportfolio/import_export/parsers/vontobel/asset_position.py

@@ -10,14 +10,14 @@ FIELD_MAP = {
     "Quantity": "initial_shares",
     "TradingCurrency": "currency__key",
     "FxRate": "initial_currency_fx_rate",
-    "ISIN": "underlying_instrument__isin",
-    "InstrumentName": "underlying_instrument__name",
+    "ISIN": "underlying_quote__isin",
+    "InstrumentName": "underlying_quote__name",
     "BuCurrency": "portfolio__currency__key",
-    "Ticker": "underlying_instrument__ticker",
+    "Ticker": "underlying_quote__ticker",
     # "TradingPlace": "exchange",
     "Booking_comment": "comment",
-    "AssetGroup": "underlying_instrument__instrument_type",
-    "InstrumentIdentifier": "underlying_instrument__identifier",
+    "AssetGroup": "underlying_quote__instrument_type",
+    "InstrumentIdentifier": "underlying_quote__identifier",
     "#ClientName": "portfolio__identifier",
 }
 
@@ -46,25 +46,25 @@ def parse(import_source):
     df = df.rename(columns=FIELD_MAP).replace([np.inf, -np.inf, np.nan], None)
     df = df.drop(columns=df.columns.difference(FIELD_MAP.values()))
     if import_source.source.import_parameters.get("import_perf_fees_as_cash", False):
-        fees_idx = df["underlying_instrument__isin"] == perf_fee_isin
-        df.loc[fees_idx, "underlying_instrument__isin"] = None
-        df.loc[fees_idx, "underlying_instrument__instrument_type"] = "cash_equivalent"
+        fees_idx = df["underlying_quote__isin"] == perf_fee_isin
+        df.loc[fees_idx, "underlying_quote__isin"] = None
+        df.loc[fees_idx, "underlying_quote__instrument_type"] = "cash_equivalent"
         df.loc[fees_idx, "initial_shares"] = df.loc[fees_idx, "initial_price"]  # inverse price and share
     else:
-        df = df.loc[df["underlying_instrument__isin"] != perf_fee_isin, :]
+        df = df.loc[df["underlying_quote__isin"] != perf_fee_isin, :]
 
-    df["underlying_instrument__instrument_type"] = df["underlying_instrument__instrument_type"].apply(
+    df["underlying_quote__instrument_type"] = df["underlying_quote__instrument_type"].apply(
         lambda x: ASSET_GROUP_MAP[x] if x else None
     )
     # we remove instrument without isin or not of type cash because we don't support these (e.g, Dividend)
     df = df[
-        ~df["underlying_instrument__isin"].isnull()
-        | df["underlying_instrument__instrument_type"].isin(["cash", "cash_equivalent"])
+        ~df["underlying_quote__isin"].isnull()
+        | df["underlying_quote__instrument_type"].isin(["cash", "cash_equivalent"])
     ]
 
     # we group by instrument identifier to be sure we don't introduce duplicated position
     df = (
-        df.groupby("underlying_instrument__identifier", dropna=False)
+        df.groupby("underlying_quote__identifier", dropna=False)
         .agg(
             {
                 "initial_currency_fx_rate": "first",
@@ -73,21 +73,21 @@ def parse(import_source):
                 "date": "first",
                 "asset_valuation_date": "first",
                 "currency__key": "first",
-                "underlying_instrument__isin": "first",
-                "underlying_instrument__name": "first",
+                "underlying_quote__isin": "first",
+                "underlying_quote__name": "first",
                 "portfolio__currency__key": "first",
-                "underlying_instrument__ticker": "first",
-                "underlying_instrument__instrument_type": "first",
+                "underlying_quote__ticker": "first",
+                "underlying_quote__instrument_type": "first",
                 "portfolio__identifier": "first",
             }
         )
         .reset_index(drop=True)
     )
-    df.loc[df["underlying_instrument__instrument_type"].isin(["cash", "cash_equivalent"]), "initial_price"] = 1.0
+    df.loc[df["underlying_quote__instrument_type"].isin(["cash", "cash_equivalent"]), "initial_price"] = 1.0
     df["date"] = pd.to_datetime(df["date"], dayfirst=True).dt.strftime("%Y-%m-%d")
     df["asset_valuation_date"] = pd.to_datetime(df["asset_valuation_date"], dayfirst=True).dt.strftime("%Y-%m-%d")
     df["is_estimated"] = False
-    df["underlying_instrument__currency__key"] = df["currency__key"]
+    df["underlying_quote__currency__key"] = df["currency__key"]
     df["weighting"] = df.initial_currency_fx_rate * df.initial_price * df.initial_shares
     df["weighting"] = df.weighting / df.weighting.sum()
     df["portfolio__currency__key"] = (

wbportfolio/import_export/parsers/vontobel/customer_trade.py

@@ -3,6 +3,7 @@ from functools import reduce
 
 import numpy as np
 import pandas as pd
+
 from wbportfolio.models import Trade
 
 FIELD_MAP = {

wbportfolio/import_export/parsers/vontobel/historical_customer_trade.py

@@ -3,6 +3,7 @@ from io import BytesIO
 
 import pandas as pd
 from wbfdm.models import Instrument
+
 from wbportfolio.models import Trade
 
 FIELD_MAP = {

wbportfolio/import_export/parsers/vontobel/management_fees.py

@@ -2,6 +2,7 @@ import re
 from datetime import datetime
 
 import pandas as pd
+
 from wbportfolio.models import FeeProductPercentage, Fees
 
 from .utils import get_portfolio_id, get_product

wbportfolio/import_export/parsers/vontobel/performance_fees.py

@@ -1,4 +1,5 @@
 import pandas as pd
+
 from wbportfolio.models import Fees
 
 from .utils import get_perf_fee_isin, get_portfolio_id, get_product

wbportfolio/import_export/parsers/vontobel/trade.py

@@ -1,4 +1,5 @@
 import pandas as pd
+
 from wbportfolio.models import Trade
 
 from .utils import get_portfolio_id

wbportfolio/import_export/parsers/vontobel/valuation_api.py

@@ -0,0 +1,20 @@
+import json
+from contextlib import suppress
+from datetime import datetime
+
+
+def parse(import_source):
+    data = []
+    with suppress(KeyError):
+        series_data = json.loads(import_source.file.read())["payload"]["series"]
+        for series in series_data:
+            isin = series["item"]["priceIdentifier"]
+            for point in series["points"]:
+                data.append(
+                    {
+                        "instrument": {"isin": isin},
+                        "date": datetime.fromtimestamp(int(point["timestamp"]) / 1000).strftime("%Y-%m-%d"),
+                        "net_value": point["close"],
+                    }
+                )
+    return {"data": data}

wbportfolio/import_export/resources/assets.py

@@ -3,6 +3,7 @@ from import_export.widgets import DecimalWidget, ForeignKeyWidget
 from wbcore.contrib.currency.models import Currency
 from wbcore.contrib.io.resources import ViewResource
 from wbfdm.models import Exchange
+
 from wbportfolio.models import AssetPosition
 
 
@@ -52,9 +53,9 @@ class AssetPositionResource(ViewResource):
         )
         export_order = (
             "date",
-            "underlying_instrument_name",
-            "underlying_instrument_ticker",
-            "underlying_instrument_isin",
+            "underlying_quote_name",
+            "underlying_quote_ticker",
+            "underlying_quote_isin",
             "exchange",
             "price",
             "shares",

wbportfolio/import_export/resources/trades.py

@@ -4,6 +4,7 @@ from import_export import fields
 from import_export.widgets import ForeignKeyWidget
 from wbcore.contrib.io.resources import FilterModelResource
 from wbfdm.models import Instrument
+
 from wbportfolio.models import Trade
 
 fake = Faker()

wbportfolio/metric/backends/base.py

@@ -6,6 +6,7 @@ from django.db.models import Exists, OuterRef, QuerySet
 from wbfdm.contrib.metric.backends.base import AbstractBackend, Metric
 from wbfdm.contrib.metric.exceptions import MetricInvalidParameterException
 from wbfdm.models import InstrumentType
+
 from wbportfolio.models import AssetPosition, InstrumentPortfolioThroughModel, Portfolio
 
 

wbportfolio/metric/backends/portfolio_base.py

@@ -9,6 +9,7 @@ from wbfdm.contrib.metric.backends.base import Metric
 from wbfdm.contrib.metric.decorators import register
 from wbfdm.enums import Financial, MarketData
 from wbfdm.models import Instrument
+
 from wbportfolio.models import Portfolio
 
 from .base import PortfolioMetricBaseBackend

wbportfolio/metric/backends/portfolio_esg.py

@@ -5,6 +5,7 @@ from wbfdm.analysis.esg.enums import ESGAggregation
 from wbfdm.analysis.esg.esg_analysis import DataLoader, get_esg_df
 from wbfdm.contrib.metric.decorators import register
 from wbfdm.contrib.metric.dto import Metric, MetricField, MetricKey
+
 from wbportfolio.models import Portfolio
 
 from .base import PortfolioMetricBaseBackend

wbportfolio/metric/tests/test_portfolio_base.py

@@ -7,6 +7,7 @@ from django.db.models import Sum
 from faker import Faker
 from wbfdm.dataloaders.proxies import InstrumentDataloaderProxy
 from wbfdm.enums import Financial
+
 from wbportfolio.factories import AssetPositionFactory, PortfolioFactory
 from wbportfolio.models import AssetPosition