wbportfolio 1.54.11__py2.py3-none-any.whl → 1.54.13__py2.py3-none-any.whl

wbportfolio/models/portfolio.py

@@ -11,15 +11,7 @@ from celery import shared_task
 from django.contrib.contenttypes.models import ContentType
 from django.contrib.postgres.fields import DateRangeField
 from django.db import models
-from django.db.models import (
-    Exists,
-    F,
-    OuterRef,
-    Q,
-    QuerySet,
-    Sum,
-    Value,
-)
+from django.db.models import Case, Exists, F, OuterRef, Q, QuerySet, Sum, Value, When
 from django.db.models.functions import Coalesce
 from django.db.models.signals import post_save
 from django.dispatch import receiver
@@ -64,7 +56,6 @@ def get_returns(
     from_date: date,
     to_date: date,
     to_currency: Currency | None = None,
-    ffill_returns: bool = True,
     use_dl: bool = False,
 ) -> tuple[dict[date, dict[int, float]], pd.DataFrame]:
     """
@@ -74,7 +65,6 @@ def get_returns(
         from_date: date range lower bound
         to_date: date range upper bound
         to_currency: currency to use for returns
-        ffill_returns: whether to ffill returns and prices
         use_dl: whether to get data straight from the dataloader or use the internal table
 
     Returns:
@@ -96,14 +86,14 @@ def get_returns(
             )
         else:
             fx_rate = Value(Decimal("1"))
+        # annotate fx rate only if the price is not calculated, in that case we assume the instrument is not tradable and we set a forex of None (to be fast forward filled)
         prices = InstrumentPrice.objects.filter(
             instrument__in=instrument_ids, date__gte=from_date, date__lte=to_date
-        ).annotate(fx_rate=fx_rate)
+        ).annotate(fx_rate=Case(When(calculated=False, then=fx_rate), default=None))
         df = pd.DataFrame(
             prices.filter_only_valid_prices().values_list("instrument", "fx_rate", "net_value", "date"),
             columns=["instrument_id", "fx_rate", "close", "valuation_date"],
         )
-
     if df.empty:
         raise InvalidAnalyticPortfolio()
     df = (
@@ -113,12 +103,15 @@ def get_returns(
     )
     ts = pd.bdate_range(df.index.min(), df.index.max(), freq="B")
     df = df.reindex(ts)
-    if ffill_returns:
-        df = df.ffill()
+    df = df.ffill()
     df.index = pd.to_datetime(df.index)
     prices_df = df["close"]
-    fx_rate_df = df["fx_rate"]
-    returns = prices_to_returns(fx_rate_df * prices_df, drop_inceptions_nan=False, fill_nan=ffill_returns)
+    if "fx_rate" in df.columns:
+        fx_rate_df = df["fx_rate"].fillna(1.0)
+    else:
+        fx_rate_df = pd.DataFrame(np.ones(prices_df.shape), index=prices_df.index, columns=prices_df.columns)
+
+    returns = prices_to_returns(fx_rate_df * prices_df, drop_inceptions_nan=False, fill_nan=True)
     return {ts.date(): row for ts, row in prices_df.to_dict("index").items()}, returns.replace(
         [np.inf, -np.inf, np.nan], 0
     )
@@ -358,11 +351,11 @@ class Portfolio(DeleteToDisableMixin, WBModel):
                     instrument.delisted_date = date.today() - timedelta(days=1)
                     instrument.save()
 
-    def _build_dto(self, val_date: date, include_drift_factor: bool = False, **extra_kwargs) -> PortfolioDTO:
+    def _build_dto(self, val_date: date, **extra_kwargs) -> PortfolioDTO:
         "returns the dto representation of this portfolio at the specified date"
         assets = self.assets.filter(date=val_date, **extra_kwargs)
         try:
-            drifted_weights = self.get_analytic_portfolio(val_date).get_next_weights()
+            drifted_weights = self.get_analytic_portfolio(val_date, use_dl=True).get_next_weights()
         except InvalidAnalyticPortfolio:
             drifted_weights = {}
         positions = []
@@ -397,7 +390,7 @@ class Portfolio(DeleteToDisableMixin, WBModel):
         )
 
     def get_analytic_portfolio(
-        self, val_date: date, weights: dict[int, float] | None = None, **kwargs
+        self, val_date: date, weights: dict[int, float] | None = None, use_dl: bool = False, **kwargs
     ) -> AnalyticPortfolio:
         """
         Return the analytic portfolio associated with this portfolio at the given date
@@ -417,6 +410,7 @@ class Portfolio(DeleteToDisableMixin, WBModel):
             (val_date - BDay(MARKET_HOLIDAY_MAX_DURATION)).date(),
             return_date,
             to_currency=self.currency,
+            use_dl=use_dl,
             **kwargs,
         )
         if pd.Timestamp(return_date) not in returns.index:
@@ -842,7 +836,6 @@ class Portfolio(DeleteToDisableMixin, WBModel):
             (start_date - BDay(MARKET_HOLIDAY_MAX_DURATION)).date(),
             end_date,
             to_currency=self.currency,
-            ffill_returns=True,
             use_dl=True,
         )
         # Get raw prices to speed up asset position creation

wbportfolio/models/transactions/trade_proposals.py

@@ -196,7 +196,7 @@ class TradeProposal(CloneMixin, RiskCheckMixin, WBModel):
         previous_weights = dict(map(lambda r: (r[0].id, float(r[1]["weighting"])), portfolio.items()))
         try:
             drifted_weights = self.portfolio.get_analytic_portfolio(
-                self.value_date, weights=previous_weights
+                self.value_date, weights=previous_weights, use_dl=True
             ).get_next_weights()
         except InvalidAnalyticPortfolio:
             drifted_weights = {}

wbportfolio/tests/models/test_portfolios.py

@@ -1169,6 +1169,47 @@ class TestPortfolioModel(PortfolioTestMixin):
         assert prices[v3][i2.id] == float(i21.net_value)
         assert prices[v4][i2.id] == float(i21.net_value)
 
+    def test_get_returns_fix_forex_on_holiday(
+        self, instrument, instrument_price_factory, currency_fx_rates_factory, currency_factory
+    ):
+        v1 = date(2024, 12, 31)
+        v2 = date(2025, 1, 1)
+        v3 = date(2025, 1, 2)
+
+        target_currency = currency_factory.create()
+        fx_target1 = currency_fx_rates_factory.create(currency=target_currency, date=v1)
+        fx_target2 = currency_fx_rates_factory.create(currency=target_currency, date=v2)  # noqa
+        fx_target3 = currency_fx_rates_factory.create(currency=target_currency, date=v3)
+
+        fx1 = currency_fx_rates_factory.create(currency=instrument.currency, date=v1)
+        fx2 = currency_fx_rates_factory.create(currency=instrument.currency, date=v2)  # noqa
+        fx3 = currency_fx_rates_factory.create(currency=instrument.currency, date=v3)
+
+        i1 = instrument_price_factory.create(net_value=Decimal("100"), date=v1, instrument=instrument)
+        i2 = instrument_price_factory.create(net_value=Decimal("100"), date=v2, instrument=instrument, calculated=True)
+        i3 = instrument_price_factory.create(net_value=Decimal("200"), date=v3, instrument=instrument)
+
+        prices, returns = get_returns([instrument.id], from_date=v1, to_date=v3, to_currency=target_currency)
+        returns.index = pd.to_datetime(returns.index)
+        assert prices[v1][instrument.id] == float(i1.net_value)
+        assert prices[v2][instrument.id] == float(i2.net_value)
+        assert prices[v3][instrument.id] == float(i3.net_value)
+
+        assert returns.loc[pd.Timestamp(v2), instrument.id] == pytest.approx(
+            float(
+                (i2.net_value * fx_target1.value / fx1.value) / (i1.net_value * fx_target1.value / fx1.value)
+                - Decimal("1")
+            ),
+            abs=10e-8,
+        )  # as v2 as a calculated price, the forex won't apply to it
+        assert returns.loc[pd.Timestamp(v3), instrument.id] == pytest.approx(
+            float(
+                (i3.net_value * fx_target3.value / fx3.value) / (i2.net_value * fx_target1.value / fx1.value)
+                - Decimal("1")
+            ),
+            abs=10e-8,
+        )
+
     @patch.object(Portfolio, "compute_lookthrough", autospec=True)
     def test_handle_controlling_portfolio_change_at_date(self, mock_compute_lookthrough, weekday, portfolio_factory):
         primary_portfolio = portfolio_factory.create(only_weighting=True)

{wbportfolio-1.54.11.dist-info → wbportfolio-1.54.13.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: wbportfolio
-Version: 1.54.11
+Version: 1.54.13
 Author-email: Christopher Wittlinger <c.wittlinger@stainly.com>
 License-File: LICENSE
 Requires-Dist: cryptography==3.4.*

{wbportfolio-1.54.11.dist-info → wbportfolio-1.54.13.dist-info}/RECORD

@@ -258,7 +258,7 @@ wbportfolio/models/asset.py,sha256=b0vPt4LwNrxcMiK7UmBKViYnbNNlZzPTagvU5vFuyrc,4
 wbportfolio/models/custodians.py,sha256=owTiS2Vm5CRKzh9M_P9GOVg-s-ndQ9UvRmw3yZP7cw0,3815
 wbportfolio/models/exceptions.py,sha256=3ix0tWUO-O6jpz8f07XIwycw2x3JFRoWzjwil8FVA2Q,52
 wbportfolio/models/indexes.py,sha256=gvW4K9U9Bj8BmVCqFYdWiXvDWhjHINRON8XhNsZUiQY,639
-wbportfolio/models/portfolio.py,sha256=5gOPWWv-_ke-p-B14S9ZNKRvvGQVHNBzR2r5xL-AKm0,58341
+wbportfolio/models/portfolio.py,sha256=5CddquPvVp-ImPlteNMqwDeY_mCFwdWMy7ynMRDDxak,58578
 wbportfolio/models/portfolio_cash_flow.py,sha256=uElG7IJUBY8qvtrXftOoskX6EA-dKgEG1JJdvHeWV7g,7336
 wbportfolio/models/portfolio_cash_targets.py,sha256=WmgG-etPisZsh2yaFQpz7EkpvAudKBEzqPsO715w52U,1498
 wbportfolio/models/portfolio_relationship.py,sha256=ZGECiPZiLdlk4uSamOrEfuzO0hduK6OMKJLUSnh5_kc,5190
@@ -285,7 +285,7 @@ wbportfolio/models/transactions/claim.py,sha256=SF2FlwG6SRVmA_hT0NbXah5-fYejccWK
 wbportfolio/models/transactions/dividends.py,sha256=mmOdGWR35yndUMoCuG24Y6BdtxDhSk2gMQ-8LVguqzg,1890
 wbportfolio/models/transactions/fees.py,sha256=wJtlzbBCAq1UHvv0wqWTE2BEjCF5RMtoaSDS3kODFRo,7112
 wbportfolio/models/transactions/rebalancing.py,sha256=rwePcmTZOYgfSWnBQcBrZ3DQHRJ3w17hdO_hgrRbbhI,7696
-wbportfolio/models/transactions/trade_proposals.py,sha256=Iilb67WdUh4XuBhxMqnnxTj_43NxTloGNNtJQh1izD8,38327
+wbportfolio/models/transactions/trade_proposals.py,sha256=1xOxHVOUwgTKCcY7mN4u5SoFtdJrQkNg6xA3O2-f4Yw,38340
 wbportfolio/models/transactions/trades.py,sha256=1gmAdavuWu1Iko90s9prMxsK_NuDKIUBIKMDuHiKzow,34176
 wbportfolio/models/transactions/transactions.py,sha256=XTcUeMUfkf5XTSZaR2UAyGqCVkOhQYk03_vzHLIgf8Q,3807
 wbportfolio/pms/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
@@ -381,7 +381,7 @@ wbportfolio/tests/models/test_merge.py,sha256=sdsjiZsmR6vsUKwTa5kkvL6QTeAZqtd_EP
 wbportfolio/tests/models/test_portfolio_cash_flow.py,sha256=X8dsXexsb1b0lBiuGzu40ps_Az_1UmmKT0eo1vbXH94,5792
 wbportfolio/tests/models/test_portfolio_cash_targets.py,sha256=q8QWAwt-kKRkLC0E05GyRhF_TTQXIi8bdHjXVU0fCV0,965
 wbportfolio/tests/models/test_portfolio_swing_pricings.py,sha256=kr2AOcQkyg2pX3ULjU-o9ye-NVpjMrrfoe-DVbYCbjs,1656
-wbportfolio/tests/models/test_portfolios.py,sha256=sWbt9NE8Cludu7hUhxxnIJwOSQ_U_yC6UPFPkbpV8Qk,54010
+wbportfolio/tests/models/test_portfolios.py,sha256=H3mgrQLdTkrljFZgJLRTXuN6J8fasRtlYoaRCnirdwU,56165
 wbportfolio/tests/models/test_product_groups.py,sha256=AcdxhurV-n_bBuUsfD1GqVtwLFcs7VI2CRrwzsIUWbU,3337
 wbportfolio/tests/models/test_products.py,sha256=IcBzw9hrGiWFMRwPBTMukCMWrhqnjOVA2hhb90xYOW8,9580
 wbportfolio/tests/models/test_roles.py,sha256=4Cn7WyrA2ztJNeWLk5cy9kYo5XLWMbFSvo1O-9JYxeA,3323
@@ -523,7 +523,7 @@ wbportfolio/viewsets/transactions/mixins.py,sha256=WipvJoi5hylkpD0y9VATe30WAcwIH
 wbportfolio/viewsets/transactions/rebalancing.py,sha256=6rIrdK0rtKL1afJ-tYfAGdQVTN2MH1kG_yCeVkmyK8k,1263
 wbportfolio/viewsets/transactions/trade_proposals.py,sha256=kQCojTNKBEyn2NcenL3a9auzBH4sIgLEx8rLAYCGLGg,6161
 wbportfolio/viewsets/transactions/trades.py,sha256=Y8v2cM0vpspHysaAvu8qqhzt86dNtb2Q3puo4HCJsTI,22629
-wbportfolio-1.54.11.dist-info/METADATA,sha256=PhblDUHcEGHQmY_KCEcvlc3oIl98hhageKfJGRshiPg,703
-wbportfolio-1.54.11.dist-info/WHEEL,sha256=tkmg4JIqwd9H8mL30xA7crRmoStyCtGp0VWshokd1Jc,105
-wbportfolio-1.54.11.dist-info/licenses/LICENSE,sha256=jvfVH0SY8_YMHlsJHKe_OajiscQDz4lpTlqT6x24sVw,172
-wbportfolio-1.54.11.dist-info/RECORD,,
+wbportfolio-1.54.13.dist-info/METADATA,sha256=_ndN0PmfKx6Ro3nobejfixoQ24CM1gUlhn8OkG_vsX4,703
+wbportfolio-1.54.13.dist-info/WHEEL,sha256=tkmg4JIqwd9H8mL30xA7crRmoStyCtGp0VWshokd1Jc,105
+wbportfolio-1.54.13.dist-info/licenses/LICENSE,sha256=jvfVH0SY8_YMHlsJHKe_OajiscQDz4lpTlqT6x24sVw,172
+wbportfolio-1.54.13.dist-info/RECORD,,