wbportfolio 1.55.4__tar.gz → 1.55.6__tar.gz

{wbportfolio-1.55.4 → wbportfolio-1.55.6}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: wbportfolio
-Version: 1.55.4
+Version: 1.55.6
 Author-email: Christopher Wittlinger <c.wittlinger@stainly.com>
 License-File: LICENSE
 Requires-Dist: cryptography==3.4.*

{wbportfolio-1.55.4 → wbportfolio-1.55.6}/wbportfolio/analysis/claims.py

@@ -58,13 +58,12 @@ class ConsolidatedTradeSummary:
         self.pivot_label = pivot_label
         self.queryset = self.queryset.annotate(
             internal_trade=F("trade__marked_as_internal"),
-            date_considered=ExpressionWrapper(
-                Greatest("trade__transaction_date", "date") + 1, output_field=DateField()
-            ),
+            valid_date=Greatest("trade__transaction_date", "date"),
+            date_considered=ExpressionWrapper(F("valid_date") + 1, output_field=DateField()),
             net_value=InstrumentPrice.subquery_closest_value(
-                "net_value", date_name="date_considered", instrument_pk_name="product__pk", date_lookup="exact"
+                "net_value", date_name="valid_date", instrument_pk_name="product__pk", date_lookup="exact"
             ),
-            fx_rate=CurrencyFXRates.get_fx_rates_subquery("date_considered", lookup_expr="exact"),
+            fx_rate=CurrencyFXRates.get_fx_rates_subquery("valid_date", lookup_expr="exact"),
             aum=ExpressionWrapper(F("fx_rate") * F("net_value") * F("shares"), output_field=DecimalField()),
         )
         self.queryset = Account.annotate_root_account_info(self.queryset)
@@ -158,8 +157,8 @@ class ConsolidatedTradeSummary:
         df = df.fillna(0)
         # Prepare dataframe
         df["sum_aum_start"] = df.sum_shares_start * df.price_start
-        df["sum_aum_end"] = df.sum_shares_end * df.price_end
 
+        df["sum_aum_end"] = df.sum_shares_end * df.price_end
         # Sanitize dataframe
         df = df.drop(
             columns=df.columns.difference(["id", "sum_shares_start", "sum_shares_end", "sum_aum_start", "sum_aum_end"])

{wbportfolio-1.55.4 → wbportfolio-1.55.6}/wbportfolio/filters/assets.py

@@ -127,7 +127,7 @@ class AssetPositionFilter(wb_filters.FilterSet):
     )
 
     underlying_instrument__is_cash = wb_filters.BooleanFilter(
-        label="With Cash", exclude=True, lookup_expr="exact", field_name="underlying_instrument__is_cash"
+        label="Cash", lookup_expr="exact", method="filter_is_cash"
     )
     underlying_instrument__instrument_type = wb_filters.ModelChoiceFilter(
         label="Instrument Type",
@@ -230,6 +230,13 @@ class AssetPositionFilter(wb_filters.FilterSet):
             return queryset.filter(underlying_instrument__in=value.get_classified_instruments())
         return queryset
 
+    def filter_is_cash(self, queryset, name, value):
+        if value is True:
+            return queryset.filter(Q(underlying_quote__is_cash=True) | Q(underlying_quote__is_cash_equivalent=True))
+        if value is False:
+            return queryset.filter(Q(underlying_quote__is_cash=False) & Q(underlying_quote__is_cash_equivalent=False))
+        return queryset
+
     def filter_portfolio_instrument(self, queryset, name, value):
         if value:
             return queryset.filter(

{wbportfolio-1.55.4 → wbportfolio-1.55.6}/wbportfolio/import_export/handlers/asset_position.py

@@ -9,7 +9,8 @@ from django.core.exceptions import ObjectDoesNotExist
 from django.db import models
 from wbcore.contrib.authentication.authentication import User
 from wbcore.contrib.currency.import_export.handlers import CurrencyImportHandler
-from wbcore.contrib.io.exceptions import DeserializationError
+from wbcore.contrib.currency.models import Currency
+from wbcore.contrib.io.exceptions import DeserializationError, SkipImportError
 from wbcore.contrib.io.imports import ImportExportHandler
 from wbcore.contrib.notifications.dispatch import send_notification
 from wbfdm.import_export.handlers.instrument import InstrumentImportHandler
@@ -36,9 +37,13 @@ class AssetPositionImportHandler(ImportExportHandler):
         portfolio_data = data.pop("portfolio", None)
         underlying_quote_data = data.pop("underlying_quote", data.pop("underlying_instrument", None))
         if "currency" in data:
-            data["currency"] = self.currency_handler.process_object(
-                data["currency"], read_only=True, raise_exception=False
-            )[0]
+            currency = self.currency_handler.process_object(data["currency"], read_only=True, raise_exception=False)[0]
+            # we do not support GBX in our instrument table
+            if currency.key == "GBX":
+                currency = Currency.objects.get(key="GBP")
+                if "initial_price" in data:
+                    data["initial_price"] /= 1000
+            data["currency"] = currency
         data["date"] = datetime.strptime(data["date"], "%Y-%m-%d").date()
         if data.get("asset_valuation_date", None):
             data["asset_valuation_date"] = datetime.strptime(data["asset_valuation_date"], "%Y-%m-%d").date()
@@ -83,6 +88,9 @@ class AssetPositionImportHandler(ImportExportHandler):
             if not (value := data.get(field, None)) is None:
                 data[field] = Decimal(value)
 
+        if data["weighting"] == 0:
+            raise SkipImportError("exclude position whose weight is 0")
+
     def _process_raw_data(self, data: Dict[str, Any]):
         if prices := data.get("prices", None):
             self.import_source.log += "Instrument Prices found: Importing"

{wbportfolio-1.55.4 → wbportfolio-1.55.6}/wbportfolio/import_export/parsers/sg_lux/equity.py

@@ -82,7 +82,7 @@ def parse(import_source):
     cash = (
         df.loc[
             cash_mask,
-            ["currency__key", "initial_currency_fx_rate", "portfolio", "date", "initial_price", "initial_shares"],
+            ["currency__key", "initial_currency_fx_rate", "portfolio", "date", "initial_shares"],
         ]
         .groupby(
             [
@@ -94,21 +94,20 @@ def parse(import_source):
         .agg(
             {
                 "initial_currency_fx_rate": "mean",
-                "initial_price": "mean",
                 "initial_shares": "sum",
             }
         )
         .reset_index()
     ).copy()
     cash["underlying_quote"] = cash["currency__key"].apply(lambda x: {"currency__key": x, "instrument_type": "cash"})
-
+    cash["initial_price"] = 1.0
     # 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")
 
     cash_equivalents = (
         df.loc[
             cash_equivalents_mask,
-            ["currency__key", "initial_currency_fx_rate", "portfolio", "date", "initial_price", "initial_shares"],
+            ["currency__key", "initial_currency_fx_rate", "portfolio", "date", "initial_shares"],
         ]
         .groupby(
             [
@@ -120,7 +119,6 @@ def parse(import_source):
         .agg(
             {
                 "initial_currency_fx_rate": "mean",
-                "initial_price": "mean",
                 "initial_shares": "sum",
             }
         )
@@ -129,9 +127,11 @@ def parse(import_source):
     cash_equivalents["underlying_quote"] = cash_equivalents["currency__key"].apply(
         lambda x: {"currency__key": x, "instrument_type": "cash_equivalent"}
     )
+    cash_equivalents["initial_price"] = 1.0
 
     # 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_quote"] = equities.apply(lambda x: get_underlying_quote(x), axis=1)
         equities["exchange"] = equities.apply(lambda x: get_exchange(x), axis=1)
@@ -140,7 +140,6 @@ def parse(import_source):
         del equities["Bloom Ticker"]
         del equities["Asset description"]
     df = pd.concat([cash, equities, cash_equivalents])
-
     df["asset_valuation_date"] = df["date"]
     # Rename the columns
 

wbportfolio-1.55.6/wbportfolio/tests/analysis/test_claims.py

@@ -0,0 +1,85 @@
+from datetime import date, timedelta
+
+import pytest
+from pandas._libs.tslibs.offsets import BDay
+
+from wbportfolio.analysis.claims import ConsolidatedTradeSummary
+from wbportfolio.models import Claim
+
+
+@pytest.mark.django_db
+class TestConsolidatedTradeSummary:
+    def test_base(self, claim_factory, customer_trade_factory, product, instrument_price_factory):
+        d1 = date(2024, 1, 1)
+        d2 = date(2025, 1, 1)
+        p1 = instrument_price_factory.create(date=d1, instrument=product)  # noqa
+        p2 = instrument_price_factory.create(date=d2, instrument=product)
+        t1 = customer_trade_factory.create(
+            shares=1000, transaction_date=d1, underlying_instrument=product, portfolio=product.primary_portfolio
+        )
+        t2 = customer_trade_factory.create(
+            shares=500, transaction_date=d2, underlying_instrument=product, portfolio=product.primary_portfolio
+        )
+
+        c0 = claim_factory.create()  # noqa
+        c1 = claim_factory.create(shares=1000, status="APPROVED", trade=t1, date=d2, product=product)
+        c2 = claim_factory.create(shares=500, status="APPROVED", trade=t2, date=d1, product=product)
+        cts = ConsolidatedTradeSummary(Claim.objects.all(), d1, d2, "account", "account__title")
+
+        valid_date = dict(cts.queryset.values_list("id", "valid_date"))
+        assert valid_date == {c1.id: d2, c2.id: d2}
+
+        date_considered = dict(cts.queryset.values_list("id", "date_considered"))
+        assert date_considered == {c1.id: d2 + timedelta(days=1), c2.id: d2 + timedelta(days=1)}
+
+        aum = dict(cts.queryset.values_list("id", "aum"))
+        assert aum == {c1.id: p2.net_value * c1.shares, c2.id: p2.net_value * c2.shares}
+
+    def test_get_aum_df(self, claim_factory, product, instrument_price_factory, customer_trade_factory):
+        t1 = customer_trade_factory.create(
+            shares=10,
+            transaction_date=date(2024, 12, 31),
+            underlying_instrument=product,
+            portfolio=product.primary_portfolio,
+        )
+        t2 = customer_trade_factory.create(
+            shares=100,
+            transaction_date=date(2025, 2, 3),
+            underlying_instrument=product,
+            portfolio=product.primary_portfolio,
+        )
+        c1 = claim_factory.create(trade=t1, status="APPROVED")
+        c2 = claim_factory.create(trade=t2, status="APPROVED", account=c1.account)
+        d1 = date(2025, 1, 1)
+        d2 = date(2025, 3, 3)
+        product.prices.all().delete()
+        p1 = instrument_price_factory.create(
+            date=(d1 - BDay(7)).date(), instrument=product
+        )  # we test that the CTS uses the earliest date
+        p2 = instrument_price_factory.create(date=c2.date, instrument=product)  # noqa
+        p3 = instrument_price_factory.create(date=d2, instrument=product)
+
+        cts = ConsolidatedTradeSummary(Claim.objects.all(), d1, d2, "account", "account__title")
+        aum_start = float(round(p1.net_value * c1.shares))
+        aum_end = float(round(p3.net_value * (c1.shares + c2.shares)))
+        assert cts.get_aum_df().to_dict(orient="index") == {
+            c1.account.id: {
+                "sum_shares_start": c1.shares,
+                "sum_shares_end": c1.shares + c2.shares,
+                "sum_aum_start": aum_start,
+                "sum_aum_end": aum_end,
+                "sum_shares_diff": c2.shares,
+                "sum_shares_perf": (c1.shares + c2.shares) / c1.shares - 1,
+                "sum_aum_diff": aum_end - aum_start,
+                "sum_aum_perf": aum_end / aum_start - 1,
+            }
+        }
+
+        p0 = instrument_price_factory.create(date=c1.date, instrument=product)  # noqa
+
+        assert cts.get_nnm_df().to_dict(orient="index") == {
+            c1.account.id: {
+                "sum_nnm_2025-02": float(round(c2.shares * p2.net_value)),
+                "sum_nnm_total": float(round(c2.shares * p2.net_value)),
+            }
+        }, "Ensure the first claim that is considered in t+1 (on the CTS lower bound range) is excluded from the NNM"