wbportfolio 1.54.7__py2.py3-none-any.whl → 1.54.9__py2.py3-none-any.whl

wbportfolio/import_export/handlers/trade.py

@@ -158,9 +158,13 @@ class TradeImportHandler(ImportExportHandler):
         self.import_source.log += "\nNo trade was successfully matched."
 
     def _get_history(self, history: Dict[str, Any]) -> models.QuerySet:
+        from wbportfolio.models.transactions.trade_proposals import TradeProposal
+
         if trade_proposal_id := history.get("trade_proposal_id"):
             # if a trade proposal is provided, we delete the existing history first as otherwise, it would mess with the target weight computation
-            self.model.objects.filter(trade_proposal_id=trade_proposal_id).delete()
+            trade_proposal = TradeProposal.objects.get(id=trade_proposal_id)
+            trade_proposal.trades.all().delete()
+            trade_proposal.reset_trades()
             trades = self.model.objects.none()
         else:
             trades = self.model.objects.filter(

wbportfolio/models/portfolio.py

@@ -94,22 +94,19 @@ def get_returns(
     df = pd.DataFrame(Instrument.objects.filter(id__in=instrument_ids).dl.market_data(**kwargs))
     if df.empty:
         raise InvalidAnalyticPortfolio()
-    fx_rate_df = df[["instrument_id", "fx_rate", "valuation_date"]].pivot(
-        index="valuation_date", columns="instrument_id", values="fx_rate"
+    df = df[["instrument_id", "fx_rate", "close", "valuation_date"]].pivot(
+        index="valuation_date", columns="instrument_id", values=["fx_rate", "close"]
     )
-
-    prices_df = df[["instrument_id", "close", "valuation_date"]].pivot(
-        index="valuation_date", columns="instrument_id", values="close"
-    )
-    price_fx_portfolio_df = fx_rate_df * prices_df
-
-    ts = pd.bdate_range(price_fx_portfolio_df.index.min(), price_fx_portfolio_df.index.max(), freq="B")
-    price_fx_portfolio_df = price_fx_portfolio_df.reindex(ts)
+    ts = pd.bdate_range(df.index.min(), df.index.max(), freq="B")
+    df = df.reindex(ts)
     if ffill_returns:
-        price_fx_portfolio_df = price_fx_portfolio_df.ffill()
-    price_fx_portfolio_df.index = pd.to_datetime(price_fx_portfolio_df.index)
-    returns = prices_to_returns(price_fx_portfolio_df, drop_inceptions_nan=False, fill_nan=ffill_returns)
-    return {dt: row for dt, row in prices_df.replace(np.nan, None).to_dict("index").items()}, returns.replace(
+        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)
+    return {ts.date(): row for ts, row in prices_df.replace(np.nan, None).to_dict("index").items()}, returns.replace(
         [np.inf, -np.inf, np.nan], 0
     )
 
@@ -1095,6 +1092,7 @@ class Portfolio(DeleteToDisableMixin, WBModel):
                     )
             if broadcast_changes_at_date:
                 for update_date, changed_weights in positions.get_weights().items():
+                    kwargs.pop("changed_weights", None)
                     self.change_at_date(update_date, changed_weights=changed_weights, **kwargs)
 
     @classmethod

wbportfolio/tests/models/test_portfolios.py

@@ -1134,31 +1134,40 @@ class TestPortfolioModel(PortfolioTestMixin):
         assert res == [index_portfolio, dependency_portfolio, dependant_portfolio, undependant_portfolio]
 
     def test_get_returns(self, instrument_factory, instrument_price_factory, asset_position_factory, portfolio):
-        v1 = date(2025, 1, 1)
-        v2 = date(2025, 1, 2)
-        v3 = date(2025, 1, 3)
+        v1 = date(2024, 12, 31)
+        v2 = date(2025, 1, 1)
+        v3 = date(2025, 1, 2)
+        v4 = date(2025, 1, 3)
 
         i1 = instrument_factory.create()
         i2 = instrument_factory.create()
 
         i11 = instrument_price_factory.create(date=v1, instrument=i1)
         i12 = instrument_price_factory.create(date=v2, instrument=i1)
-        i13 = instrument_price_factory.create(date=v3, instrument=i1)
-        asset_position_factory.create(date=v1, portfolio=portfolio, underlying_instrument=i1)
-        asset_position_factory.create(date=v3, portfolio=portfolio, underlying_instrument=i2)
+        i14 = instrument_price_factory.create(date=v4, instrument=i1)
+        i21 = instrument_price_factory.create(date=v1, instrument=i2)
         i11.refresh_from_db()
         i12.refresh_from_db()
-        i13.refresh_from_db()
-        _, returns = get_returns([i1.id, i2.id], from_date=v1, to_date=v3)
+        i14.refresh_from_db()
+        prices, returns = get_returns([i1.id, i2.id], from_date=v1, to_date=v4)
 
         expected_returns = pd.DataFrame(
-            [[i12.net_value / i11.net_value - 1, 0.0], [i13.net_value / i12.net_value - 1, 0.0]],
-            index=[v2, v3],
+            [[i12.net_value / i11.net_value - 1, 0.0], [0.0, 0.0], [i14.net_value / i12.net_value - 1, 0.0]],
+            index=[v2, v3, v4],
             columns=[i1.id, i2.id],
             dtype="float64",
         )
         expected_returns.index = pd.to_datetime(expected_returns.index)
         pd.testing.assert_frame_equal(returns, expected_returns, check_names=False, check_freq=False, atol=1e-6)
+        assert prices[v1][i1.id] == float(i11.net_value)
+        assert prices[v2][i1.id] == float(i12.net_value)
+        assert prices[v3][i1.id] == float(i12.net_value)
+        assert prices[v4][i1.id] == float(i14.net_value)
+        # test that the returned price are ffill
+        assert prices[v1][i2.id] == float(i21.net_value)
+        assert prices[v2][i2.id] == float(i21.net_value)
+        assert prices[v3][i2.id] == float(i21.net_value)
+        assert prices[v4][i2.id] == float(i21.net_value)
 
     @patch.object(Portfolio, "compute_lookthrough", autospec=True)
     def test_handle_controlling_portfolio_change_at_date(self, mock_compute_lookthrough, weekday, portfolio_factory):

{wbportfolio-1.54.7.dist-info → wbportfolio-1.54.9.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: wbportfolio
-Version: 1.54.7
+Version: 1.54.9
 Author-email: Christopher Wittlinger <c.wittlinger@stainly.com>
 License-File: LICENSE
 Requires-Dist: cryptography==3.4.*

{wbportfolio-1.54.7.dist-info → wbportfolio-1.54.9.dist-info}/RECORD

@@ -113,7 +113,7 @@ wbportfolio/import_export/handlers/dividend.py,sha256=F0oLfNt2B_QQAjHBCRpxa5HSkf
 wbportfolio/import_export/handlers/fees.py,sha256=BOFHAvSTlvVLaxnm6KD_fcza1TlPc02HOR9J0_jjswI,2495
 wbportfolio/import_export/handlers/portfolio_cash_flow.py,sha256=W7QPNqEvvsq0RS016EAFBp1ezvc6G9Rk-hviRZh8o6Y,2737
 wbportfolio/import_export/handlers/register.py,sha256=sYyXkE8b1DPZ5monxylZn0kjxLVdNYYZR-p61dwEoDM,2271
-wbportfolio/import_export/handlers/trade.py,sha256=t-iezNZN6s834EsszGh_5sHnFGgLb3MZpcHrF2pWMG8,12533
+wbportfolio/import_export/handlers/trade.py,sha256=oLYNEAFyDeInvHjuAbB4pe60q6VmHX0wGcyuEGofbKM,12700
 wbportfolio/import_export/parsers/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 wbportfolio/import_export/parsers/default_mapping.py,sha256=KrO-X5CvQCeQoBYzFDxavoQGriyUSeI2QDx5ar_zo7A,1405
 wbportfolio/import_export/parsers/jpmorgan/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
@@ -257,7 +257,7 @@ 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=8cnnvIWKsBIp1WSfhFHaSB4OLCuFZ3lwJ9koZxIY40s,58080
+wbportfolio/models/portfolio.py,sha256=9gbT3tuo73SfhBn4_HIes71feyjTXnZnn9lX2KL_1pQ,57861
 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
@@ -380,7 +380,7 @@ 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=oSlB1KdSHdR5lXm6G7wpjMjRgM79OrHM2FY_PHhna58,53570
+wbportfolio/tests/models/test_portfolios.py,sha256=sWbt9NE8Cludu7hUhxxnIJwOSQ_U_yC6UPFPkbpV8Qk,54010
 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
@@ -522,7 +522,7 @@ 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=GHOw5jtcqoaHiRrxxxL29c9405QiPisEn4coGELKDrE,22146
-wbportfolio-1.54.7.dist-info/METADATA,sha256=3cBCW9p4yeH2L3_e9ruCBUDkvWkzcOnj4-SQeK6fUi0,702
-wbportfolio-1.54.7.dist-info/WHEEL,sha256=tkmg4JIqwd9H8mL30xA7crRmoStyCtGp0VWshokd1Jc,105
-wbportfolio-1.54.7.dist-info/licenses/LICENSE,sha256=jvfVH0SY8_YMHlsJHKe_OajiscQDz4lpTlqT6x24sVw,172
-wbportfolio-1.54.7.dist-info/RECORD,,
+wbportfolio-1.54.9.dist-info/METADATA,sha256=SL5iDKkrof3J3-X4ykL9jJslbUo8ltmEwJzni_emoXY,702
+wbportfolio-1.54.9.dist-info/WHEEL,sha256=tkmg4JIqwd9H8mL30xA7crRmoStyCtGp0VWshokd1Jc,105
+wbportfolio-1.54.9.dist-info/licenses/LICENSE,sha256=jvfVH0SY8_YMHlsJHKe_OajiscQDz4lpTlqT6x24sVw,172
+wbportfolio-1.54.9.dist-info/RECORD,,