New version 1.4.5 (#58)

* clean up ewma_vol_func()

* dev dep update

* simulation cleanup. removed Heston CIR & OU

* improved argument logic in ReturnSimulation

* fixed test coverage

* major remake of merton model

* fixed calculation result tests after changing merton model simulation

* added cast of NDArray[float64] in new simulation code

* doc string cleanup

* new version 1.4.5

.github/workflows/build.yml

@@ -3,7 +3,7 @@ name: build
 on: workflow_dispatch
 
 env:
-  POETRY_VER: 1.6.1
+  POETRY_VER: 1.7.0
 
 jobs:
   build:

.github/workflows/check.yml

@@ -9,7 +9,7 @@ on:
       - "**" # matches every branch
 
 env:
-  POETRY_VER: 1.6.1
+  POETRY_VER: 1.7.0
 
 jobs:
   run_checks:

.github/workflows/deploy.yml

@@ -3,7 +3,7 @@ name: deploy
 on: workflow_dispatch
 
 env:
-  POETRY_VER: 1.6.1
+  POETRY_VER: 1.7.0
 
 jobs:
   deploy:

.github/workflows/test.yml

@@ -9,7 +9,7 @@ on:
       - "**" # matches every branch
 
 env:
-  POETRY_VER: 1.6.1
+  POETRY_VER: 1.7.0
 
 jobs:
   run_tests:

.pre-commit-config.yaml

@@ -1,6 +1,6 @@
 repos:
   - repo: https://github.com/charliermarsh/ruff-pre-commit
-    rev: 'v0.1.3'
+    rev: 'v0.1.4'
     hooks:
       - id: ruff
         args: [ --fix, --exit-non-zero-on-fix ]
@@ -43,7 +43,7 @@ repos:
       - id: mixed-line-ending
         args: [--fix=auto]
   - repo: https://github.com/python-poetry/poetry
-    rev: 1.6.1
+    rev: 1.7.0
     hooks:
       - id: poetry-check
       - id: poetry-lock

CHANGELOG.md

@@ -3,6 +3,13 @@
 At some point we will start documenting changes in release documentation instead.
 For now this is the only place where we log summary descriptions.
 
+## Version [1.4.5] - 2023-11-06
+
+- Cleaned up function for exponentially weighted moving average "EWMA" volatility
+- Some dev dependency updates such as ruff and Poetry
+- Major cleanup of simulation module. Removed Heston CIR & OU models as I have never checked them. Also rewrote Merton JDM from scratch to make it consisten with GBM model.
+- Rewrite of simulation required update of many calculation result tests
+
 ## Version [1.4.4] - 2023-10-30
 
 - Fixed two pct_change() methods missing fill_method.

Makefile

@@ -2,7 +2,7 @@ venv:
 	python3 -m venv ./venv
 	venv/bin/python --version
 	venv/bin/python -m pip install --upgrade pip
-	venv/bin/pip install poetry==1.6.1
+	venv/bin/pip install poetry==1.7.0
 
 install:
 	rm -f poetry.lock

SECURITY.md

@@ -8,12 +8,12 @@ Without an x next to a version below you can assume that it works as intended.
 
 | Version | Supported          |
 |---------|--------------------|
+| 1.4.5   | :white_check_mark: |
 | 1.4.4   | :white_check_mark: |
 | 1.4.3   | :white_check_mark: |
 | 1.4.2   | :white_check_mark: |
 | 1.3.9   | :white_check_mark: |
-| 1.3.8   | :white_check_mark: |
-| < 1.3.8 | :x:                |
+| < 1.3.9 | :x:                |
 
 ## Reporting a Vulnerability
 

make.ps1

@@ -13,10 +13,10 @@ elseif ($task -eq "make") {
     $env:PYTHONPATH = "$env:PYTHONPATH;$pwd"
     .\venv\Scripts\activate
     python.exe -m pip install --upgrade pip
-    pip install poetry==1.6.1
+    pip install poetry==1.7.0
     Remove-Item -Path 'poetry.lock' -Force -ErrorAction SilentlyContinue
     poetry install --with dev
-    pre-commit install
+    poetry run pre-commit install
 }
 elseif ($task -eq "test") {
     # run tests and report coverage

openseries/common_model.py

@@ -866,6 +866,7 @@ def arithmetic_ret_func(
             return float(result.iloc[0])
         return Series(
             data=result,
+            index=self.tsdf.columns,
             name="Arithmetic return",
             dtype="float64",
         )

openseries/frame.py

@@ -1597,7 +1597,7 @@ def make_portfolio(
         portfolio = dframe.dot(self.weights)
         portfolio = portfolio.add(1.0).cumprod().to_frame()
         portfolio.columns = [[name], [ValueType.PRICE]]
-        return DataFrame(portfolio)
+        return DataFrame(data=portfolio, dtype="float64")
 
     def rolling_info_ratio(
         self: OpenFrame,

openseries/series.py

@@ -699,7 +699,7 @@ def ewma_vol_func(
         from_date: Optional[dt.date] = None,
         to_date: Optional[dt.date] = None,
         periods_in_a_year_fixed: Optional[DaysInYearType] = None,
-    ) -> DataFrame:
+    ) -> Series[float]:
         """
         Exponentially Weighted Moving Average Model for Volatility.
 
@@ -725,7 +725,7 @@ def ewma_vol_func(
 
         Returns
         -------
-        Pandas.DataFrame
+        Pandas.Series[float]
             Series EWMA volatility
         """
         earlier, later = self.calc_range(months_from_last, from_date, to_date)
@@ -765,9 +765,12 @@ def ewma_vol_func(
                 ),
             )
 
-        data.loc[:, (self.label, ValueType.EWMA)] = rawdata  # type: ignore[index]
-
-        return data.loc[:, (self.label, ValueType.EWMA)]  # type: ignore[index]
+        return Series(
+            data=rawdata,
+            index=data.index,
+            name=(self.label, ValueType.EWMA),
+            dtype="float64",
+        )
 
     def running_adjustment(
         self: OpenTimeSeries,