wbportfolio 1.47.1__py2.py3-none-any.whl → 1.49.0__py2.py3-none-any.whl

wbportfolio/risk_management/backends/exposure_portfolio.py

@@ -101,6 +101,24 @@ class RuleBackend(
             )
             _classifications = ClassificationRepresentationSerializer(many=True, source="parameters__classifications")
 
+            extra_filter_field = wb_serializers.ChoiceField(
+                choices=cls.Field.choices,
+                default=None,
+                allow_null=True,
+                label="Extra Filter Field",
+                help_text="Specify if we need to narrow done the position applying a filter on that field and the corresponding range",
+            )
+            extra_filter_field_lower_bound = wb_serializers.FloatField(
+                default=None,
+                allow_null=True,
+                label="Extra Filter Field Lower bound",
+            )
+            extra_filter_field_upper_bound = wb_serializers.FloatField(
+                default=None,
+                allow_null=True,
+                label="Extra Filter Field Lower bound",
+            )
+
             @classmethod
             def get_parameter_fields(cls):
                 return [
@@ -111,6 +129,9 @@ class RuleBackend(
                     "currencies",
                     "countries",
                     "classifications",
+                    "extra_filter_field",
+                    "extra_filter_field_lower_bound",
+                    "extra_filter_field_upper_bound",
                 ]
 
         return RuleBackendSerializer
@@ -131,17 +152,22 @@ class RuleBackend(
             repr["Only Countries"] = ", ".join(map(lambda o: o.code_2, self.countries))
         if self.classifications:
             repr["Only Classifications"] = ", ".join(map(lambda o: o.name, self.classifications))
+        if self.extra_filter_field:
+            repr["Extra Filter Field"] = (
+                f"{self.extra_filter_field}=[{self.extra_filter_field_lower_bound},{self.extra_filter_field_upper_bound}["
+            )
         return repr
 
     def _process_dto(self, portfolio: PortfolioDTO, **kwargs) -> Generator[backend.IncidentResult, None, None]:
         if not (df := self._filter_df(portfolio.to_df())).empty:
             df = df[[self.group_by.value, self.field.value]].groupby(self.group_by.value).sum().astype(float)
             for threshold in self.thresholds:
-                dff = df.copy()
                 numerical_range = threshold.numerical_range
-                dff = dff[(dff[self.field.value] > numerical_range[0]) & (dff[self.field.value] < numerical_range[1])]
-                if not dff.empty:
-                    for id, row in dff.to_dict("index").items():
+                incident_df = df[
+                    (df[self.field.value] >= numerical_range[0]) & (df[self.field.value] < numerical_range[1])
+                ]
+                if not incident_df.empty:
+                    for id, row in incident_df.to_dict("index").items():
                         obj, obj_repr = self._get_obj_repr(id)
                         severity: RiskIncidentType = threshold.severity
                         if self.field == self.Field.WEIGHTING:
@@ -165,9 +191,9 @@ class RuleBackend(
             return df
         if self.is_cash is True or self.is_cash is False:
             df = df[df["is_cash"] == self.is_cash]
-
         if self.asset_classes:
             df = df[df["instrument_type"].isin(list(map(lambda o: o.id, self.asset_classes)))]
+
         if self.countries:
             df = df[(~df["country"].isnull() & df["country"].isin(list(map(lambda o: o.id, self.countries))))]
         if self.currencies:
@@ -179,6 +205,11 @@ class RuleBackend(
                     & df["primary_classification"].isin(list(map(lambda o: o.id, self.classifications)))
                 )
             ]
+        if self.extra_filter_field:
+            if (lower_bound := self.extra_filter_field_lower_bound) is not None:
+                df = df[df[self.extra_filter_field] >= lower_bound]
+            if (upper_bound := self.extra_filter_field_upper_bound) is not None:
+                df = df[df[self.extra_filter_field] < upper_bound]
         return df
 
     def _get_obj_repr(self, pivot_object_id) -> tuple[models.Model | None, str]:

wbportfolio/risk_management/tests/test_exposure_portfolio.py

@@ -93,3 +93,50 @@ class TestExposurePortfolioRuleModel(PortfolioTestMixin):
             ExposurePortfolioRuleBackend.GroupbyChoices.FAVORITE_CLASSIFICATION,
         ]:
             assert incidents[0].breached_object == classification
+
+    def test_exposure_rule_with_extra_filter_field(
+        self, weekday, portfolio, asset_position_factory, instrument_price_factory, instrument_factory
+    ):
+        parameters = {
+            "group_by": "instrument_type",
+            "field": ExposurePortfolioRuleBackend.Field.WEIGHTING.value,
+            "extra_filter_field": "market_capitalization_usd",
+            "extra_filter_field_lower_bound": 1000.0,
+            "extra_filter_field_upper_bound": 10000.0,
+        }
+        exposure_portfolio_backend = ExposurePortfolioRuleBackend(
+            weekday,
+            portfolio,
+            parameters,
+            [RuleThresholdFactory.create(range=NumericRange(lower=0.05, upper=None))],  # type: ignore
+        )
+        i1 = instrument_factory.create()
+        i2 = instrument_factory.create(instrument_type=i1.instrument_type)
+        i3 = instrument_factory.create(instrument_type=i1.instrument_type)
+        instrument_price_factory.create(instrument=i1, date=weekday, market_capitalization=1000)
+        instrument_price_factory.create(instrument=i2, date=weekday, market_capitalization=9999)
+        instrument_price_factory.create(instrument=i3, date=weekday, market_capitalization=10001)
+        asset_position_factory.create(
+            date=weekday,
+            weighting=0.025,
+            underlying_instrument=i1,
+            portfolio=portfolio,
+        )
+        asset_position_factory.create(
+            date=weekday,
+            weighting=0.025,
+            underlying_instrument=i2,
+            portfolio=portfolio,
+        )
+
+        asset_position_factory.create(
+            date=weekday,
+            weighting=0.95,
+            underlying_instrument=i3,
+            portfolio=portfolio,
+        )
+        incidents = list(exposure_portfolio_backend.check_rule())
+        assert len(incidents) == 1
+        incident = incidents[0]
+        assert incident.breached_object_repr == i1.instrument_type
+        assert incident.breached_value == '<span style="color:green">+5.00%</span>'

wbportfolio/serializers/portfolios.py

@@ -1,7 +1,10 @@
+from datetime import date
+
 from rest_framework.reverse import reverse
 from wbcore import serializers as wb_serializers
 from wbcore.contrib.currency.serializers import CurrencyRepresentationSerializer
 from wbcore.contrib.directory.models import BankingContact
+from wbfdm.serializers import InstrumentRepresentationSerializer
 
 from wbportfolio.models import Portfolio, PortfolioPortfolioThroughModel
 from wbportfolio.serializers.rebalancing import RebalancerRepresentationSerializer
@@ -21,12 +24,25 @@ class PortfolioRepresentationSerializer(wb_serializers.RepresentationSerializer)
 
 class PortfolioModelSerializer(wb_serializers.ModelSerializer):
     _currency = CurrencyRepresentationSerializer(source="currency")
+    _hedged_currency = CurrencyRepresentationSerializer(source="hedged_currency")
     _depends_on = PortfolioRepresentationSerializer(source="depends_on", many=True)
     automatic_rebalancer = wb_serializers.PrimaryKeyRelatedField(read_only=True)
     _automatic_rebalancer = RebalancerRepresentationSerializer(source="automatic_rebalancer")
+    _instruments = InstrumentRepresentationSerializer(source="instruments", many=True)
 
     create_index = wb_serializers.BooleanField(write_only=True, default=False)
 
+    last_asset_under_management_usd = wb_serializers.FloatField(read_only=True)
+    last_positions = wb_serializers.FloatField(read_only=True)
+    last_trade_proposal_date = wb_serializers.DateField(read_only=True)
+    next_expected_trade_proposal_date = wb_serializers.SerializerMethodField(read_only=True)
+
+    def get_next_expected_trade_proposal_date(self, obj):
+        if (automatic_rebalancer := getattr(obj, "automatic_rebalancer", None)) and (
+            _d := automatic_rebalancer.get_next_rebalancing_date(date.today())
+        ):
+            return _d.strftime("%Y-%m-%d")
+
     def create(self, validated_data):
         create_index = validated_data.pop("create_index", False)
         obj = super().create(validated_data)
@@ -133,8 +149,12 @@ class PortfolioModelSerializer(wb_serializers.ModelSerializer):
             "updated_at",
             "_depends_on",
             "depends_on",
+            "_instruments",
+            "instruments",
             "_currency",
             "currency",
+            "_hedged_currency",
+            "hedged_currency",
             "automatic_rebalancer",
             "_automatic_rebalancer",
             "invested_timespan",
@@ -145,6 +165,12 @@ class PortfolioModelSerializer(wb_serializers.ModelSerializer):
             "is_composition",
             "_additional_resources",
             "create_index",
+            "initial_position_date",
+            "last_position_date",
+            "last_asset_under_management_usd",
+            "last_positions",
+            "last_trade_proposal_date",
+            "next_expected_trade_proposal_date",
         )
 
 

wbportfolio/serializers/transactions/trade_proposals.py

@@ -10,10 +10,7 @@ from .. import PortfolioRepresentationSerializer, RebalancingModelRepresentation
 
 
 class TradeProposalModelSerializer(wb_serializers.ModelSerializer):
-    rebalancing_model = wb_serializers.PrimaryKeyRelatedField(
-        queryset=RebalancingModel.objects.all(),
-        default=DefaultFromView("portfolio.automatic_rebalancer.rebalancing_model"),
-    )
+    rebalancing_model = wb_serializers.PrimaryKeyRelatedField(queryset=RebalancingModel.objects.all(), required=False)
     _rebalancing_model = RebalancingModelRepresentationSerializer(source="rebalancing_model")
     target_portfolio = wb_serializers.PrimaryKeyRelatedField(
         queryset=Portfolio.objects.all(), write_only=True, required=False, default=DefaultFromView("portfolio")
@@ -32,15 +29,7 @@ class TradeProposalModelSerializer(wb_serializers.ModelSerializer):
         obj = super().create(validated_data)
 
         target_portfolio_dto = None
-        if (
-            target_portfolio
-            and not rebalancing_model
-            and (
-                last_effective_date := target_portfolio.get_latest_asset_position_date(
-                    obj.trade_date, with_estimated=True
-                )
-            )
-        ):
+        if target_portfolio and not rebalancing_model and (last_effective_date := obj.last_effective_date):
             target_portfolio_dto = target_portfolio._build_dto(last_effective_date)
         try:
             obj.reset_trades(target_portfolio=target_portfolio_dto)

wbportfolio/serializers/transactions/trades.py

@@ -4,6 +4,7 @@ from decimal import Decimal
 from rest_framework import serializers
 from rest_framework.reverse import reverse
 from wbcore import serializers as wb_serializers
+from wbfdm.serializers import InvestableInstrumentRepresentationSerializer
 
 from wbportfolio.models import PortfolioRole, Trade, TradeProposal
 from wbportfolio.models.transactions.claim import Claim
@@ -212,6 +213,14 @@ class TradeModelSerializer(TransactionModelSerializer):
 
 
 class TradeTradeProposalModelSerializer(TradeModelSerializer):
+    underlying_instrument_isin = wb_serializers.CharField(read_only=True)
+    underlying_instrument_ticker = wb_serializers.CharField(read_only=True)
+    underlying_instrument_refinitiv_identifier_code = wb_serializers.CharField(read_only=True)
+    underlying_instrument_instrument_type = wb_serializers.CharField(read_only=True)
+    _underlying_instrument = InvestableInstrumentRepresentationSerializer(
+        source="underlying_instrument", label_key="name"
+    )
+
     status = wb_serializers.ChoiceField(default=Trade.Status.DRAFT, choices=Trade.Status.choices)
     target_weight = wb_serializers.DecimalField(max_digits=16, decimal_places=6, required=False, default=0)
     effective_weight = wb_serializers.DecimalField(read_only=True, max_digits=16, decimal_places=6, default=0)
@@ -249,6 +258,10 @@ class TradeTradeProposalModelSerializer(TradeModelSerializer):
         fields = (
             "id",
             "shares",
+            "underlying_instrument_isin",
+            "underlying_instrument_ticker",
+            "underlying_instrument_refinitiv_identifier_code",
+            "underlying_instrument_instrument_type",
             "underlying_instrument",
             "_underlying_instrument",
             "transaction_subtype",

wbportfolio/tasks.py

@@ -10,10 +10,13 @@ from .fdm.tasks import *  # noqa
 
 
 @shared_task(queue="portfolio")
-def periodically_update_outstanding_shares_for_active_products():
+def daily_active_product_task(today: date | None = None):
+    if not today:
+        today = date.today()
     qs = Product.active_objects.all()
     for product in tqdm(qs, total=qs.count()):
         update_outstanding_shares_as_task(product.id)
+        product.check_and_notify_product_termination_on_date(today)
 
 
 @shared_task(queue="portfolio")

wbportfolio/tests/conftest.py

@@ -117,7 +117,7 @@ register(ContinentFactory)
 
 register(CompanyFactory)
 register(PersonFactory)
-register(InternalUserFactory)
+register(InternalUserFactory, "internal_user")
 register(EntryFactory)
 register(CustomerStatusFactory)
 register(CompanyTypeFactory)

wbportfolio/tests/models/test_portfolios.py

@@ -1062,7 +1062,7 @@ class TestPortfolioModel(PortfolioTestMixin):
 
         # we approve the rebalancing trade proposal
         assert rebalancing_trade_proposal.status == "SUBMIT"
-        rebalancing_trade_proposal.approve()
+        rebalancing_trade_proposal.approve(no_replay=True)
         rebalancing_trade_proposal.save()
 
         # check that the rebalancing was applied and position reflect that

wbportfolio/tests/models/test_products.py

@@ -1,5 +1,7 @@
 import datetime
+from datetime import timedelta
 from decimal import Decimal
+from unittest.mock import patch
 
 import pytest
 from faker import Faker
@@ -7,6 +9,7 @@ from wbfdm.models import Instrument
 
 from wbportfolio.models import Product, Trade
 
+from ...preferences import get_product_termination_notice_period
 from .utils import PortfolioTestMixin
 
 fake = Faker()
@@ -188,3 +191,26 @@ class TestProductModel(PortfolioTestMixin):
         product.initial_high_water_mark = 400
         product.save()
         assert product.get_high_water_mark(p4.date) == 400
+
+    @patch("wbportfolio.models.products.send_notification")
+    def test_check_and_notify_product_termination_on_date(
+        self, mock_fct, weekday, product, manager_portfolio_role_factory, internal_user
+    ):
+        assert not product.check_and_notify_product_termination_on_date(weekday)
+
+        product.delisted_date = weekday + datetime.timedelta(days=get_product_termination_notice_period())
+        product.save()
+        assert product.check_and_notify_product_termination_on_date(weekday)
+        mock_fct.assert_not_called()
+        assert not product.check_and_notify_product_termination_on_date(
+            weekday + timedelta(days=1)
+        )  # one day later is not valid anymore
+
+        manager_portfolio_role_factory.create(person=internal_user.profile)
+        product.check_and_notify_product_termination_on_date(weekday)
+        mock_fct.assert_called_with(
+            code="wbportfolio.product.termination_notice",
+            title="Product Termination Notice",
+            body=f"The product {product} will be terminated on the {product.delisted_date:%Y-%m-%d}",
+            user=internal_user,
+        )