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Portfolio controller fixes #2610

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merged 7 commits into from
Sep 23, 2022
Merged

Portfolio controller fixes #2610

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8bb8e37
fix some bugs
montezdesousa Sep 23, 2022
5207355
fix rf bug
montezdesousa Sep 23, 2022
f957f04
fix rf units
montezdesousa Sep 23, 2022
9287ba2
black
montezdesousa Sep 23, 2022
2e359ba
fix tagency not showing
montezdesousa Sep 23, 2022
167d392
Merge branch 'main' into portfolio_fixes
montezdesousa Sep 23, 2022
b4afc6c
Merge branch 'main' into portfolio_fixes
minhhoang1023 Sep 23, 2022
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24 changes: 13 additions & 11 deletions openbb_terminal/portfolio/portfolio_controller.py
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Original file line number Diff line number Diff line change
Expand Up @@ -341,7 +341,8 @@ def call_load(self, other_args: List[str]):
self.portfolio.generate_portfolio_data()

# Add in the Risk-free rate
self.portfolio.set_risk_free_rate(ns_parser.risk_free_rate)
self.portfolio.set_risk_free_rate(ns_parser.risk_free_rate / 100)
self.risk_free_rate = ns_parser.risk_free_rate / 100

# Load benchmark
self.call_bench(["-b", "SPDR S&P 500 ETF Trust (SPY)"])
Expand All @@ -350,7 +351,7 @@ def call_load(self, other_args: List[str]):
f"\n[bold][param]Portfolio:[/param][/bold] {self.portfolio_name}"
)
console.print(
f"[bold][param]Risk Free Rate:[/param][/bold] {self.portfolio.risk_free_rate}"
f"[bold][param]Risk Free Rate:[/param][/bold] {self.risk_free_rate:.2%}"
)
console.print(
f"[bold][param]Benchmark:[/param][/bold] {self.benchmark_name}\n"
Expand All @@ -371,12 +372,13 @@ def call_show(self, other_args: List[str]):
export_allowed=EXPORT_BOTH_RAW_DATA_AND_FIGURES,
limit=10,
)
portfolio_view.display_orderbook(
self.portfolio,
show_index=False,
limit=ns_parser.limit,
export=ns_parser.export,
)
if ns_parser and self.portfolio is not None:
portfolio_view.display_orderbook(
self.portfolio,
show_index=False,
limit=ns_parser.limit,
export=ns_parser.export,
)

@log_start_end(log=logger)
def call_bench(self, other_args: List[str]):
Expand Down Expand Up @@ -1025,7 +1027,7 @@ def call_rsharpe(self, other_args: List[str]):
portfolio_view.display_rolling_sharpe(
self.portfolio,
window=ns_parser.period,
risk_free_rate=ns_parser.risk_free_rate,
risk_free_rate=ns_parser.risk_free_rate / 100,
export=ns_parser.export,
)

Expand Down Expand Up @@ -1065,9 +1067,9 @@ def call_rsort(self, other_args: List[str]):
self.portfolio_name, self.benchmark_name
):
portfolio_view.display_rolling_sortino(
portfolio=self.portfolio.benchmark_returns,
portfolio=self.portfolio,
window=ns_parser.period,
risk_free_rate=ns_parser.risk_free_rate,
risk_free_rate=ns_parser.risk_free_rate / 100,
export=ns_parser.export,
)

Expand Down
2 changes: 0 additions & 2 deletions openbb_terminal/portfolio/portfolio_optimization/optimizer_model.py
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Original file line number Diff line number Diff line change
Expand Up @@ -1620,8 +1620,6 @@ def get_ef(
method=method,
)

risk_free_rate = risk_free_rate / time_factor[freq.upper()]

# Building the portfolio object
port = rp.Portfolio(returns=stock_returns, alpha=alpha)

Expand Down
2 changes: 2 additions & 0 deletions openbb_terminal/portfolio/portfolio_optimization/optimizer_view.py
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Original file line number Diff line number Diff line change
Expand Up @@ -2204,6 +2204,8 @@ def display_ef(
Whether to plot the tickers for the assets
"""

risk_free_rate = risk_free_rate / time_factor[freq.upper()]

frontier, mu, cov, stock_returns, weights, X1, Y1, port = optimizer_model.get_ef(
symbols,
interval,
Expand Down