wbportfolio 1.49.11__py2.py3-none-any.whl → 1.50.0__py2.py3-none-any.whl

wbportfolio/risk_management/backends/liquidity_risk.py

@@ -60,7 +60,7 @@ class RuleBackend(backend.AbstractRuleBackend):
             @classmethod
             def get_parameter_fields(cls):
                 return [
-                    "below_x_days",
+                    "liquidation_factor",
                     "redemption_pct",
                 ]
 

wbportfolio/risk_management/backends/mixins.py

@@ -1,9 +1,11 @@
+from contextlib import suppress
 from datetime import date, timedelta
 from typing import Generator
 
 import pandas as pd
 from django.contrib.contenttypes.models import ContentType
 from django.db import models
+from django.db.models import Sum
 from pandas.tseries.offsets import BDay
 from wbcompliance.models.risk_management import backend
 from wbcore import serializers as wb_serializers
@@ -14,7 +16,7 @@ from wbfdm.serializers import (
     SecurityRepresentationSerializer,
 )
 
-from wbportfolio.models import InstrumentPortfolioThroughModel, Portfolio
+from wbportfolio.models import AssetPosition, InstrumentPortfolioThroughModel, Portfolio
 
 
 class ActivePortfolioRelationshipMixin(backend.AbstractRuleBackend):
@@ -173,10 +175,16 @@ class StopLossMixin(backend.AbstractRuleBackend):
         for threshold in self.thresholds:
             if threshold.is_inrange(total_perf):
                 instrument = Instrument.objects.get(id=tested_instrument_id)
-                report_details = {
-                    "Absolute Percentage": f"{perf_instrument:,.3%}",
-                    "Field": field_label,
-                }
+                report_details = {}
+                with suppress(AssetPosition.DoesNotExist):
+                    previous_portfolio_date = (
+                        self.product.portfolio.assets.filter(date__lt=self.evaluation_date).latest("date").date
+                    )
+                    weighting = self.product.portfolio.assets.filter(
+                        underlying_quote=instrument, date=previous_portfolio_date
+                    ).aggregate(s=Sum("weighting"))["s"]
+                    report_details["Portfolio Impact"] = f"{float(weighting) * total_perf:+,.2%}"
+                report_details["Field"] = field_label
                 if self.benchmark:
                     report_details[f"Relative Percentage VS {str(self.benchmark)}"] = f"{total_perf:,.3%}"
                 if total_perf < 0:

wbportfolio/risk_management/tests/test_stop_loss_portfolio.py

@@ -3,11 +3,12 @@ from decimal import Decimal
 
 import pytest
 from faker import Faker
+from pandas._libs.tslibs.offsets import BDay
 from psycopg.types.range import NumericRange
 from wbcompliance.factories.risk_management import RuleThresholdFactory
 
-from wbportfolio.risk_management.backends.stop_loss_instrument import (
-    RuleBackend as StopLossInstrumentRuleBackend,
+from wbportfolio.risk_management.backends.stop_loss_portfolio import (
+    RuleBackend as StopLossPortfolioRuleBackend,
 )
 from wbportfolio.tests.models.utils import PortfolioTestMixin
 
@@ -21,7 +22,7 @@ class TestStopLossPortfolioRuleModel(PortfolioTestMixin):
         parameters = {"freq": freq, "date_interval_option": date_interval_option}
         lower = random.random()
         upper = random.uniform(lower, 1)
-        return StopLossInstrumentRuleBackend(
+        return StopLossPortfolioRuleBackend(
             weekday,
             product,
             parameters,
@@ -31,8 +32,8 @@ class TestStopLossPortfolioRuleModel(PortfolioTestMixin):
     @pytest.mark.parametrize(
         "date_interval_option, freq",
         [
-            ("ROLLING_WINDOWS", StopLossInstrumentRuleBackend.FreqChoices.BUSINESS_DAY),
-            *[("FREQUENCY", option) for option in StopLossInstrumentRuleBackend.FreqChoices.values],
+            ("ROLLING_WINDOWS", StopLossPortfolioRuleBackend.FreqChoices.BUSINESS_DAY),
+            *[("FREQUENCY", option) for option in StopLossPortfolioRuleBackend.FreqChoices.values],
         ],
     )
     def test_check_rule_frequency(
@@ -41,40 +42,49 @@ class TestStopLossPortfolioRuleModel(PortfolioTestMixin):
         date_interval_option,
         freq,
         product,
-        portfolio,
+        instrument,
         instrument_price_factory,
         asset_position_factory,
         stop_loss_portfolio_backend,
-        instrument_portfolio_through_model_factory,
     ):
-        instrument_portfolio_through_model_factory.create(
-            instrument=product,
-            portfolio=portfolio,
-            primary_portfolio=True,
-        )
+        previous_date = (weekday - BDay(1)).date()
 
         d1 = stop_loss_portfolio_backend._get_start_interval()
 
         threshold = stop_loss_portfolio_backend.thresholds[0]
         breach_perf = random.uniform(threshold.range.lower, threshold.range.upper)
 
-        i1 = instrument_price_factory.create(date=d1, net_value=100, calculated=False, instrument=product)
-        instrument_price_factory.create(
-            date=weekday, net_value=Decimal(breach_perf + 1) * i1.net_value, calculated=False, instrument=product
+        instrument_price_factory.create(date=d1, net_value=100, calculated=False, instrument=product)
+        instrument_price_factory.create(date=previous_date, net_value=100, calculated=False, instrument=product)
+        instrument_price_factory.create(date=weekday, net_value=100, calculated=False, instrument=product)
+
+        i1 = instrument_price_factory.create(date=d1, net_value=100, calculated=False, instrument=instrument)
+        instrument_price_factory.create(date=previous_date, calculated=False, instrument=instrument)
+        i2 = instrument_price_factory.create(
+            date=weekday, net_value=Decimal(breach_perf + 1) * i1.net_value, calculated=False, instrument=instrument
         )
 
-        asset_position_factory.create(date=weekday, underlying_instrument=product, portfolio=portfolio)
-        asset_position_factory.create(date=weekday, underlying_instrument=product, portfolio=portfolio)
+        previous_position = asset_position_factory.create(
+            date=previous_date, underlying_instrument=instrument, portfolio=product.portfolio
+        )
+        asset_position_factory.create(date=weekday, underlying_instrument=instrument, portfolio=product.portfolio)
 
+        expected_performance = i2.net_value / i1.net_value - Decimal(1.0)
         res = list(stop_loss_portfolio_backend.check_rule())
         assert len(res) == 1
-        assert res[0].breached_object.id == product.id
+        incident = res[0]
+        assert incident.breached_object.id == instrument.id
+        assert incident.breached_value == f'<span style="color:green">{expected_performance:+,.2%}</span>'
+        assert incident.report_details == {
+            "Field": "Net Value",
+            "Portfolio Impact": f"{previous_position.weighting * expected_performance:+,.2%}",
+        }
 
     @pytest.mark.parametrize(
         "date_interval_option, freq",
         [
-            ("ROLLING_WINDOWS", StopLossInstrumentRuleBackend.FreqChoices.BUSINESS_DAY),
-            *[("FREQUENCY", option) for option in StopLossInstrumentRuleBackend.FreqChoices.values],
+            ("ROLLING_WINDOWS", StopLossPortfolioRuleBackend.FreqChoices.BUSINESS_DAY),
+            *[("FREQUENCY", option) for option in StopLossPortfolioRuleBackend.FreqChoices.values],
         ],
     )
     def test_check_rule_frequency_2(
@@ -83,33 +93,28 @@ class TestStopLossPortfolioRuleModel(PortfolioTestMixin):
         date_interval_option,
         freq,
         product,
-        portfolio,
         instrument_price_factory,
         asset_position_factory,
         instrument_factory,
         stop_loss_portfolio_backend,
-        instrument_portfolio_through_model_factory,
     ):
-        instrument_portfolio_through_model_factory.create(
-            instrument=product,
-            portfolio=portfolio,
-            primary_portfolio=True,
-        )
         d1 = stop_loss_portfolio_backend._get_start_interval()
         benchmark = instrument_factory.create()
+        instrument = instrument_factory.create()
 
         threshold = stop_loss_portfolio_backend.thresholds[0]
         threshold.range = NumericRange(upper=-0.5, lower=None)  # type: ignore
         threshold.save()
 
-        instrument_price_factory.create(date=d1, net_value=100, calculated=False, instrument=product)
         instrument_price_factory.create(date=weekday, net_value=100, calculated=False, instrument=product)
 
+        instrument_price_factory.create(date=d1, net_value=100, calculated=False, instrument=instrument)
+        instrument_price_factory.create(date=weekday, net_value=100, calculated=False, instrument=instrument)
+
         instrument_price_factory.create(date=d1, net_value=100, calculated=False, instrument=benchmark)
         instrument_price_factory.create(date=weekday, net_value=300, calculated=False, instrument=benchmark)
 
-        asset_position_factory.create(date=weekday, underlying_instrument=product, portfolio=portfolio)
-        asset_position_factory.create(date=weekday, underlying_instrument=product, portfolio=portfolio)
+        asset_position_factory.create(date=weekday, underlying_instrument=instrument, portfolio=product.portfolio)
 
         res = list(stop_loss_portfolio_backend.check_rule())
         assert len(res) == 0
@@ -117,4 +122,4 @@ class TestStopLossPortfolioRuleModel(PortfolioTestMixin):
         setattr(stop_loss_portfolio_backend, "static_benchmark", benchmark)
         res = list(stop_loss_portfolio_backend.check_rule())
         assert len(res) == 1
-        assert res[0].breached_object.id == product.id
+        assert res[0].breached_object.id == instrument.id

{wbportfolio-1.49.11.dist-info → wbportfolio-1.50.0.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: wbportfolio
-Version: 1.49.11
+Version: 1.50.0
 Author-email: Christopher Wittlinger <c.wittlinger@stainly.com>
 License-File: LICENSE
 Requires-Dist: cryptography==3.4.*

{wbportfolio-1.49.11.dist-info → wbportfolio-1.50.0.dist-info}/RECORD

@@ -302,9 +302,9 @@ wbportfolio/risk_management/backends/accounts.py,sha256=VMHwhzeFV2bzobb1RlEJadTV
 wbportfolio/risk_management/backends/controversy_portfolio.py,sha256=ncEHyJMVomv0ehx7LoWcux1YHLV6KYYmiOkIBzJ0P1M,2852
 wbportfolio/risk_management/backends/exposure_portfolio.py,sha256=8T97J0pbnGdme_Ji9ntA5FV9MCouSxDz5grMvRvpl70,10760
 wbportfolio/risk_management/backends/instrument_list_portfolio.py,sha256=Sh8PZHHKFAl4Aw8fOlu17fUSiEFYYemb-B0iltAXc10,4186
-wbportfolio/risk_management/backends/liquidity_risk.py,sha256=cRL7ZXvrC286yXCauNatuvSYikMNB-nmAt5ELmpDg0c,3688
+wbportfolio/risk_management/backends/liquidity_risk.py,sha256=OnuUypmN86RDnch1JOb8UJo5j1z1_X7sjazqAo7cbwM,3694
 wbportfolio/risk_management/backends/liquidity_stress_instrument.py,sha256=oitzsaZu-HhYn9Avku3322GtDmf6QGsfyRzGPGZoM1Y,3612
-wbportfolio/risk_management/backends/mixins.py,sha256=anuOlop9gc9X8tywx7_wbH7fAJSBeQNhriZwXzw6rWk,9453
+wbportfolio/risk_management/backends/mixins.py,sha256=C7D8MXInl3m05GiLxQP4K5uomq4mpvi81zqsCiXq6g0,10006
 wbportfolio/risk_management/backends/product_integrity.py,sha256=3BbQBYYzLdj2iuQb9QOIgPjWMz1FaPkvEJoNgxWVfz0,4598
 wbportfolio/risk_management/backends/stop_loss_instrument.py,sha256=qIzeV26TRdbgG8-Nsh5O0NPMrPmIXeaRdPR-EF_uaLo,1128
 wbportfolio/risk_management/backends/stop_loss_portfolio.py,sha256=yiDa3FkZKdrmHSf8p1XmT8RhJW6KyiMuypYpY39SiO8,1674
@@ -318,7 +318,7 @@ wbportfolio/risk_management/tests/test_instrument_list_portfolio.py,sha256=1pAsu
 wbportfolio/risk_management/tests/test_liquidity_risk.py,sha256=UtzBrW7LeY0Z0ARX9pg4CUjgdw8u5Hfrdkddro5EEZ8,1713
 wbportfolio/risk_management/tests/test_product_integrity.py,sha256=wqJ4b5DO2BrEVQF4eVX2B9AvfrRMAyC_lppGrgKc_ug,1959
 wbportfolio/risk_management/tests/test_stop_loss_instrument.py,sha256=ZueuA9qQOv6JdKuRiPLGV3auOLRnoUCZzfqcQzGJGig,4197
-wbportfolio/risk_management/tests/test_stop_loss_portfolio.py,sha256=bFQqIUs1FZVn1SwiNkzt7hVrvT-qs3EcxOfI20xAjOM,4595
+wbportfolio/risk_management/tests/test_stop_loss_portfolio.py,sha256=_CLyC4mWPCP92LuERk6gnrr-JG78WCB83ezl5fPugLo,5195
 wbportfolio/risk_management/tests/test_ucits_portfolio.py,sha256=UcZLhatl8iU9AhNNYv6OBs_cjILZKaws2nvUen6orkc,1807
 wbportfolio/serializers/__init__.py,sha256=w1nPxkapcnGngYwiU7BGSLfyhJ67_PQWVjuya7YSxX0,1795
 wbportfolio/serializers/adjustments.py,sha256=0yTPgDjGRyzSa-ecCklENKtLJXZhq1dryMI3nTRsQRo,783
@@ -521,7 +521,7 @@ wbportfolio/viewsets/transactions/rebalancing.py,sha256=6rIrdK0rtKL1afJ-tYfAGdQV
 wbportfolio/viewsets/transactions/trade_proposals.py,sha256=iQpC_Thbj56SmM05vPRsF1JZguGBDaTUH3I-_iCHCV0,5958
 wbportfolio/viewsets/transactions/trades.py,sha256=-yJ4j8NJTu2VWyhCq5BXGNND_925Ietoxx9k07SLVh0,21634
 wbportfolio/viewsets/transactions/transactions.py,sha256=ixDp-nsNA8t_A06rBCT19hOMJHy0iRmdz1XKdV1OwAs,4450
-wbportfolio-1.49.11.dist-info/METADATA,sha256=vbQQ5UCTEyqLH-YcOOF6BVCDXb3ujdegBOUX6k_iQ-8,735
-wbportfolio-1.49.11.dist-info/WHEEL,sha256=tkmg4JIqwd9H8mL30xA7crRmoStyCtGp0VWshokd1Jc,105
-wbportfolio-1.49.11.dist-info/licenses/LICENSE,sha256=jvfVH0SY8_YMHlsJHKe_OajiscQDz4lpTlqT6x24sVw,172
-wbportfolio-1.49.11.dist-info/RECORD,,
+wbportfolio-1.50.0.dist-info/METADATA,sha256=NdlRGICQMfP56DoEYZOoiqLUhXqMOOjg1Rnrxl2KzVQ,734
+wbportfolio-1.50.0.dist-info/WHEEL,sha256=tkmg4JIqwd9H8mL30xA7crRmoStyCtGp0VWshokd1Jc,105
+wbportfolio-1.50.0.dist-info/licenses/LICENSE,sha256=jvfVH0SY8_YMHlsJHKe_OajiscQDz4lpTlqT6x24sVw,172
+wbportfolio-1.50.0.dist-info/RECORD,,