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renamed module to PyFacts

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This commit is contained in:
Gourav Kumar 2022-06-05 23:06:12 +05:30
parent c605f71f10
commit 0bf1deac48
12 changed files with 44 additions and 44 deletions
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2
fincal/__init__.py → pyfacts/__init__.py
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@ -1,4 +1,4 @@
from .core import * from .core import *
from .fincal import * from .pyfacts import *
from .statistics import * from .statistics import *
from .utils import * from .utils import *

0
fincal/__main__.py → pyfacts/__main__.py
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8
fincal/core.py → pyfacts/core.py
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@ -20,7 +20,7 @@ from typing import (
from dateutil.relativedelta import relativedelta from dateutil.relativedelta import relativedelta
from .utils import FincalOptions, _parse_date, _preprocess_timeseries from .utils import PyfactsOptions, _parse_date, _preprocess_timeseries
@dataclass(frozen=True) @dataclass(frozen=True)
@ -908,7 +908,7 @@ class TimeSeriesCore:
""" """
if closest is None: if closest is None:
closest = FincalOptions.get_closest closest = PyfactsOptions.get_closest
time_delta_dict = {"exact": 0, "previous": -1, "next": 1} time_delta_dict = {"exact": 0, "previous": -1, "next": 1}
@ -983,7 +983,7 @@ class TimeSeriesCore:
return self.data return self.data
if string_date_format == "default": if string_date_format == "default":
string_date_format = FincalOptions.date_format string_date_format = PyfactsOptions.date_format
data = {datetime.datetime.strftime(dt, string_date_format): val for dt, val in self.data.items()} data = {datetime.datetime.strftime(dt, string_date_format): val for dt, val in self.data.items()}
return data return data
@ -1006,7 +1006,7 @@ class TimeSeriesCore:
return list(self.data.items()) return list(self.data.items())
if string_date_format == "default": if string_date_format == "default":
string_date_format = FincalOptions.date_format string_date_format = PyfactsOptions.date_format
data = [(datetime.datetime.strftime(dt, string_date_format), val) for dt, val in self.data.items()] data = [(datetime.datetime.strftime(dt, string_date_format), val) for dt, val in self.data.items()]
return data return data

0
fincal/exceptions.py → pyfacts/exceptions.py
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4
fincal/fincal.py → pyfacts/pyfacts.py
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@ -11,7 +11,7 @@ from dateutil.relativedelta import relativedelta
from .core import AllFrequencies, Frequency, Series, TimeSeriesCore, date_parser from .core import AllFrequencies, Frequency, Series, TimeSeriesCore, date_parser
from .utils import ( from .utils import (
FincalOptions, PyfactsOptions,
_find_closest_date, _find_closest_date,
_interval_to_years, _interval_to_years,
_is_eomonth, _is_eomonth,
@ -540,7 +540,7 @@ class TimeSeries(TimeSeriesCore):
sd = statistics.stdev(rolling_returns.values) sd = statistics.stdev(rolling_returns.values)
if annualize_volatility: if annualize_volatility:
if traded_days is None: if traded_days is None:
traded_days = FincalOptions.traded_days traded_days = PyfactsOptions.traded_days
if return_period_unit == "months": if return_period_unit == "months":
sd *= math.sqrt(12 / return_period_value) sd *= math.sqrt(12 / return_period_value)

4
fincal/statistics.py → pyfacts/statistics.py
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@ -2,9 +2,9 @@ import datetime
import statistics import statistics
from typing import Literal from typing import Literal
from fincal.core import date_parser from pyfacts.core import date_parser
from .fincal import TimeSeries from .pyfacts import TimeSeries
from .utils import _interval_to_years from .utils import _interval_to_years

4
fincal/utils.py → pyfacts/utils.py
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@ -8,7 +8,7 @@ from .exceptions import DateNotFoundError, DateOutOfRangeError
@dataclass @dataclass
class FincalOptions: class PyfactsOptions:
date_format: str = "%Y-%m-%d" date_format: str = "%Y-%m-%d"
closest: str = "previous" # next closest: str = "previous" # next
traded_days: int = 365 traded_days: int = 365
@ -42,7 +42,7 @@ def _parse_date(date: str, date_format: str = None) -> datetime.datetime:
return datetime.datetime.fromordinal(date.toordinal()) return datetime.datetime.fromordinal(date.toordinal())
if date_format is None: if date_format is None:
date_format = FincalOptions.date_format date_format = PyfactsOptions.date_format
try: try:
date = datetime.datetime.strptime(date, date_format) date = datetime.datetime.strptime(date, date_format)

4
setup.py
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@ -3,8 +3,8 @@ from setuptools import find_packages, setup
license = open("LICENSE").read().strip() license = open("LICENSE").read().strip()
setup( setup(
name="Fincal", name="PyFacts",
version='0.0.1', version="0.0.1",
license=license, license=license,
author="Gourav Kumar", author="Gourav Kumar",
author_email="gouravkr@outlook.in", author_email="gouravkr@outlook.in",

8
tests/conftest.py
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@ -3,7 +3,7 @@ import math
import random import random
from typing import List from typing import List
import fincal as fc import pyfacts as pft
import pytest import pytest
from dateutil.relativedelta import relativedelta from dateutil.relativedelta import relativedelta
@ -55,7 +55,7 @@ def create_prices(s0: float, mu: float, sigma: float, num_prices: int) -> list:
def sample_data_generator( def sample_data_generator(
frequency: fc.Frequency, frequency: pft.Frequency,
start_date: datetime.date = datetime.date(2017, 1, 1), start_date: datetime.date = datetime.date(2017, 1, 1),
num: int = 1000, num: int = 1000,
skip_weekends: bool = False, skip_weekends: bool = False,
@ -90,11 +90,11 @@ def sample_data_generator(
timedelta_dict = { timedelta_dict = {
frequency.freq_type: int( frequency.freq_type: int(
frequency.value * num * (7 / 5 if frequency == fc.AllFrequencies.D and skip_weekends else 1) frequency.value * num * (7 / 5 if frequency == pft.AllFrequencies.D and skip_weekends else 1)
) )
} }
end_date = start_date + relativedelta(**timedelta_dict) end_date = start_date + relativedelta(**timedelta_dict)
dates = fc.create_date_series(start_date, end_date, frequency.symbol, skip_weekends=skip_weekends, eomonth=eomonth) dates = pft.create_date_series(start_date, end_date, frequency.symbol, skip_weekends=skip_weekends, eomonth=eomonth)
values = create_prices(1000, mu, sigma, num) values = create_prices(1000, mu, sigma, num)
ts = list(zip(dates, values)) ts = list(zip(dates, values))
return ts return ts

10
tests/test_core.py
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@ -3,9 +3,9 @@ import random
from typing import Literal, Mapping, Sequence from typing import Literal, Mapping, Sequence
import pytest import pytest
from fincal.core import AllFrequencies, Frequency, Series, TimeSeriesCore from pyfacts.core import AllFrequencies, Frequency, Series, TimeSeriesCore
from fincal.fincal import create_date_series from pyfacts.pyfacts import create_date_series
from fincal.utils import FincalOptions from pyfacts.utils import PyfactsOptions
class TestFrequency: class TestFrequency:
@ -141,9 +141,9 @@ class TestSlicing:
assert ts.get("2021-02-23", -1) == -1 assert ts.get("2021-02-23", -1) == -1
assert ts.get("2021-02-10", closest="previous")[1] == 230 assert ts.get("2021-02-10", closest="previous")[1] == 230
assert ts.get("2021-02-10", closest="next")[1] == 240 assert ts.get("2021-02-10", closest="next")[1] == 240
FincalOptions.get_closest = "previous" PyfactsOptions.get_closest = "previous"
assert ts.get("2021-02-10")[1] == 230 assert ts.get("2021-02-10")[1] == 230
FincalOptions.get_closest = "next" PyfactsOptions.get_closest = "next"
assert ts.get("2021-02-10")[1] == 240 assert ts.get("2021-02-10")[1] == 240
def test_contains(self): def test_contains(self):

20
tests/test_fincal.py
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@ -1,14 +1,14 @@
import datetime import datetime
import pytest import pytest
from fincal import ( from pyfacts import (
AllFrequencies, AllFrequencies,
FincalOptions, PyfactsOptions,
Frequency, Frequency,
TimeSeries, TimeSeries,
create_date_series, create_date_series,
) )
from fincal.exceptions import DateNotFoundError from pyfacts.exceptions import DateNotFoundError
class TestDateSeries: class TestDateSeries:
@ -120,7 +120,7 @@ class TestTimeSeriesCreation:
class TestTimeSeriesBasics: class TestTimeSeriesBasics:
def test_fill(self, create_test_data): def test_fill(self, create_test_data):
FincalOptions.get_closest = "exact" PyfactsOptions.get_closest = "exact"
ts_data = create_test_data(frequency=AllFrequencies.D, num=50, skip_weekends=True) ts_data = create_test_data(frequency=AllFrequencies.D, num=50, skip_weekends=True)
ts = TimeSeries(ts_data, frequency="D") ts = TimeSeries(ts_data, frequency="D")
ffill_data = ts.ffill() ffill_data = ts.ffill()
@ -253,7 +253,7 @@ class TestReturns:
def test_date_formats(self, create_test_data): def test_date_formats(self, create_test_data):
ts_data = create_test_data(AllFrequencies.D, skip_weekends=True) ts_data = create_test_data(AllFrequencies.D, skip_weekends=True)
ts = TimeSeries(ts_data, "D") ts = TimeSeries(ts_data, "D")
FincalOptions.date_format = "%d-%m-%Y" PyfactsOptions.date_format = "%d-%m-%Y"
with pytest.raises(ValueError): with pytest.raises(ValueError):
ts.calculate_returns( ts.calculate_returns(
"2020-04-10", annual_compounded_returns=True, return_period_unit="days", return_period_value=90 "2020-04-10", annual_compounded_returns=True, return_period_unit="days", return_period_value=90
@ -265,7 +265,7 @@ class TestReturns:
returns2 = ts.calculate_returns("01-04-2020", return_period_unit="days", return_period_value=90) returns2 = ts.calculate_returns("01-04-2020", return_period_unit="days", return_period_value=90)
assert round(returns1[1], 6) == round(returns2[1], 6) == 0.073632 assert round(returns1[1], 6) == round(returns2[1], 6) == 0.073632
FincalOptions.date_format = "%m-%d-%Y" PyfactsOptions.date_format = "%m-%d-%Y"
with pytest.raises(ValueError): with pytest.raises(ValueError):
ts.calculate_returns( ts.calculate_returns(
"2020-04-01", annual_compounded_returns=True, return_period_unit="days", return_period_value=90 "2020-04-01", annual_compounded_returns=True, return_period_unit="days", return_period_value=90
@ -278,7 +278,7 @@ class TestReturns:
assert round(returns1[1], 6) == round(returns2[1], 6) == 0.073632 assert round(returns1[1], 6) == round(returns2[1], 6) == 0.073632
def test_limits(self, create_test_data): def test_limits(self, create_test_data):
FincalOptions.date_format = "%Y-%m-%d" PyfactsOptions.date_format = "%Y-%m-%d"
ts_data = create_test_data(AllFrequencies.D) ts_data = create_test_data(AllFrequencies.D)
ts = TimeSeries(ts_data, "D") ts = TimeSeries(ts_data, "D")
with pytest.raises(DateNotFoundError): with pytest.raises(DateNotFoundError):
@ -468,7 +468,7 @@ class TestReturnsAgain:
def test_date_formats(self): def test_date_formats(self):
ts = TimeSeries(self.data, frequency="M") ts = TimeSeries(self.data, frequency="M")
FincalOptions.date_format = "%d-%m-%Y" PyfactsOptions.date_format = "%d-%m-%Y"
with pytest.raises(ValueError): with pytest.raises(ValueError):
ts.calculate_returns( ts.calculate_returns(
"2020-04-10", annual_compounded_returns=True, return_period_unit="days", return_period_value=90 "2020-04-10", annual_compounded_returns=True, return_period_unit="days", return_period_value=90
@ -480,7 +480,7 @@ class TestReturnsAgain:
returns2 = ts.calculate_returns("10-04-2020", return_period_unit="days", return_period_value=90) returns2 = ts.calculate_returns("10-04-2020", return_period_unit="days", return_period_value=90)
assert round(returns1[1], 4) == round(returns2[1], 4) == 5.727 assert round(returns1[1], 4) == round(returns2[1], 4) == 5.727
FincalOptions.date_format = "%m-%d-%Y" PyfactsOptions.date_format = "%m-%d-%Y"
with pytest.raises(ValueError): with pytest.raises(ValueError):
ts.calculate_returns( ts.calculate_returns(
"2020-04-10", annual_compounded_returns=True, return_period_unit="days", return_period_value=90 "2020-04-10", annual_compounded_returns=True, return_period_unit="days", return_period_value=90
@ -494,7 +494,7 @@ class TestReturnsAgain:
def test_limits(self): def test_limits(self):
ts = TimeSeries(self.data, frequency="M") ts = TimeSeries(self.data, frequency="M")
FincalOptions.date_format = "%Y-%m-%d" PyfactsOptions.date_format = "%Y-%m-%d"
with pytest.raises(DateNotFoundError): with pytest.raises(DateNotFoundError):
ts.calculate_returns("2020-04-25", return_period_unit="days", return_period_value=90, closest_max_days=10) ts.calculate_returns("2020-04-25", return_period_unit="days", return_period_value=90, closest_max_days=10)

24
tests/test_stats.py
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@ -1,4 +1,4 @@
import fincal as fc import pyfacts as pft
def test_conf(conf_fun): def test_conf(conf_fun):
@ -8,9 +8,9 @@ def test_conf(conf_fun):
class TestSharpe: class TestSharpe:
def test_sharpe_daily_freq(self, create_test_data): def test_sharpe_daily_freq(self, create_test_data):
data = create_test_data(num=1305, frequency=fc.AllFrequencies.D, skip_weekends=True) data = create_test_data(num=1305, frequency=pft.AllFrequencies.D, skip_weekends=True)
ts = fc.TimeSeries(data, "D") ts = pft.TimeSeries(data, "D")
sharpe_ratio = fc.sharpe_ratio( sharpe_ratio = pft.sharpe_ratio(
ts, ts,
risk_free_rate=0.06, risk_free_rate=0.06,
from_date="2017-02-04", from_date="2017-02-04",
@ -20,7 +20,7 @@ class TestSharpe:
) )
assert round(sharpe_ratio, 4) == 1.0502 assert round(sharpe_ratio, 4) == 1.0502
sharpe_ratio = fc.sharpe_ratio( sharpe_ratio = pft.sharpe_ratio(
ts, ts,
risk_free_rate=0.06, risk_free_rate=0.06,
from_date="2017-01-09", from_date="2017-01-09",
@ -30,7 +30,7 @@ class TestSharpe:
) )
assert round(sharpe_ratio, 4) == 1.0701 assert round(sharpe_ratio, 4) == 1.0701
sharpe_ratio = fc.sharpe_ratio( sharpe_ratio = pft.sharpe_ratio(
ts, ts,
risk_free_rate=0.06, risk_free_rate=0.06,
from_date="2018-01-02", from_date="2018-01-02",
@ -40,7 +40,7 @@ class TestSharpe:
) )
assert round(sharpe_ratio, 4) == 1.4374 assert round(sharpe_ratio, 4) == 1.4374
sharpe_ratio = fc.sharpe_ratio( sharpe_ratio = pft.sharpe_ratio(
ts, ts,
risk_free_rate=0.06, risk_free_rate=0.06,
from_date="2017-07-03", from_date="2017-07-03",
@ -51,9 +51,9 @@ class TestSharpe:
assert round(sharpe_ratio, 4) == 0.8401 assert round(sharpe_ratio, 4) == 0.8401
def test_sharpe_weekly_freq(self, create_test_data): def test_sharpe_weekly_freq(self, create_test_data):
data = create_test_data(num=261, frequency=fc.AllFrequencies.W, mu=0.6, sigma=0.7) data = create_test_data(num=261, frequency=pft.AllFrequencies.W, mu=0.6, sigma=0.7)
ts = fc.TimeSeries(data, "W") ts = pft.TimeSeries(data, "W")
sharpe_ratio = fc.sharpe_ratio( sharpe_ratio = pft.sharpe_ratio(
ts, ts,
risk_free_rate=0.052, risk_free_rate=0.052,
from_date="2017-01-08", from_date="2017-01-08",
@ -63,7 +63,7 @@ class TestSharpe:
) )
assert round(sharpe_ratio, 4) == 0.4533 assert round(sharpe_ratio, 4) == 0.4533
sharpe_ratio = fc.sharpe_ratio( sharpe_ratio = pft.sharpe_ratio(
ts, ts,
risk_free_rate=0.052, risk_free_rate=0.052,
from_date="2017-02-05", from_date="2017-02-05",
@ -73,7 +73,7 @@ class TestSharpe:
) )
assert round(sharpe_ratio, 4) == 0.4898 assert round(sharpe_ratio, 4) == 0.4898
sharpe_ratio = fc.sharpe_ratio( sharpe_ratio = pft.sharpe_ratio(
ts, ts,
risk_free_rate=0.052, risk_free_rate=0.052,
from_date="2018-01-01", from_date="2018-01-01",