Merge pull request #164 from ultima-ib/total_deltasens_to_total_sens

Returning pyarrow as a required dep

Cargo.toml

@@ -1,5 +1,5 @@
 [workspace.package]
-version = "0.4.1"
+version = "0.4.2"
 authors = ["Anatoly Bugakov"]
 description = "Ultibi is a BI tool for no code data analysis"
 documentation = "https://ultimabi.uk/ultibi-frtb-book/"

frtb_engine/src/measures.rs

@@ -50,7 +50,7 @@ use crate::rrao::rrao_measures;
 
 use crate::totals::sa_total_measures;
 
-use crate::prelude::total_delta_sens;
+use crate::prelude::total_sensis_sum;
 use ultibi::CPM;
 
 /// Exporting Measures
@@ -64,8 +64,8 @@ pub(crate) fn frtb_measure_vec() -> Vec<Measure> {
  calc_params: vec![],
  }),
  Measure::Base(BaseMeasure {
- name: "Total DeltaSens".to_string(),
- calculator: std::sync::Arc::new(|_: &CPM| Ok(total_delta_sens())),
+ name: "Total Sens".to_string(),
+ calculator: std::sync::Arc::new(|_: &CPM| Ok(total_sensis_sum())),
  aggregation: None,
  precomputefilter: None,
  calc_params: vec![],

frtb_engine/src/sbm/commodity/delta.rs

@@ -10,7 +10,7 @@ use ultibi::{
 use ndarray::Array2;
 
 pub fn total_commodity_delta_sens(_: &CPM) -> PolarsResult<Expr> {
- Ok(rc_rcat_sens("Delta", "Commodity", total_delta_sens()))
+ Ok(rc_rcat_sens("Delta", "Commodity", total_sensis_sum()))
 }
 
 /// Total Commodity Delta

frtb_engine/src/sbm/common.rs

@@ -19,10 +19,10 @@ use std::sync::{Arc, Mutex};
 
 use crate::prelude::{RhoOverwrite, RhoType};
 
-/// Sum of all delta sensis, from spot to 30Y tenor
+/// Sum of all sensis, across all tenors, from spot to 30Y tenor
 /// In practice should be used only with filter on RiskClass
 /// as combining FX and IR sensis is meaningless
-pub fn total_delta_sens() -> Expr {
+pub fn total_sensis_sum() -> Expr {
  // When adding Exprs NULLs have to be filled Otherwise returns NULL
  col("SensitivitySpot").fill_null(0.)
  + col("Sensitivity_025Y").fill_null(0.)

frtb_engine/src/sbm/common_curv.rs

@@ -42,7 +42,7 @@ fn curv_delta(rc: &'static str, risk: Expr) -> Expr {
 }
 
 pub(crate) fn total_sens_curv_weighted() -> Expr {
- total_delta_sens() * col("CurvatureRiskWeight")
+ total_sensis_sum() * col("CurvatureRiskWeight")
 }
 
 /// CSR
@@ -102,7 +102,7 @@ pub(crate) fn rc_cvr_5(rc: &'static str, dir: Cvr) -> Expr {
 }
 
 pub(crate) fn curv_delta_total(rc: &'static str) -> Expr {
- curv_delta(rc, total_delta_sens())
+ curv_delta(rc, total_sensis_sum())
 }
 
 pub(crate) fn curv_delta_spot(rc: &'static str) -> Expr {

frtb_engine/src/sbm/csr_sec_ctp/delta.rs

@@ -7,7 +7,7 @@ use ultibi::{polars::prelude::max_horizontal, BaseMeasure, CPM};
 use crate::prelude::*;
 
 pub fn total_csr_sec_ctp_delta_sens(_: &CPM) -> PolarsResult<Expr> {
- Ok(rc_rcat_sens("Delta", "CSR_Sec_CTP", total_delta_sens()))
+ Ok(rc_rcat_sens("Delta", "CSR_Sec_CTP", total_sensis_sum()))
 }
 /// Helper functions
 

frtb_engine/src/sbm/csr_sec_nonctp/delta.rs

@@ -9,7 +9,7 @@ use ultibi::{
 use ndarray::Array2;
 
 pub fn total_csr_sec_nonctp_delta_sens(_: &CPM) -> PolarsResult<Expr> {
- Ok(rc_rcat_sens("Delta", "CSR_Sec_nonCTP", total_delta_sens()))
+ Ok(rc_rcat_sens("Delta", "CSR_Sec_nonCTP", total_sensis_sum()))
 }
 /// Helper functions
 

frtb_engine/src/sbm/girr/delta.rs

@@ -13,7 +13,7 @@ use crate::risk_weights::REDUCED_IR_WEIGHT;
 use ndarray::{parallel::prelude::ParallelIterator, Array1, Array2};
 
 pub fn total_ir_delta_sens(_: &CPM) -> PolarsResult<Expr> {
- Ok(rc_rcat_sens("Delta", "GIRR", total_delta_sens()))
+ Ok(rc_rcat_sens("Delta", "GIRR", total_sensis_sum()))
 }
 /// Helper functions
 fn girr_delta_sens_weighted_spot() -> Expr {

pyultima/Makefile

@@ -11,8 +11,8 @@ else
  VENV_BIN=$(VENV)/bin
 endif
 
-venv: ## Set up virtual environment
- python3 -m venv $(VENV)
+venv: ## Set up virtual environment - local use
+ $(PY311) -m venv $(VENV)
  $(VENV_BIN)/python -m pip install --upgrade pip
  $(VENV_BIN)/pip install -r requirements.txt
  $(VENV_BIN)/pip install -r requirements-lint.txt

pyultima/pyproject.toml

@@ -11,7 +11,8 @@ authors = [
 ]
 license = { file = "LICENSE" }
 dependencies = [
- "polars >= 0.18.7",
+ "polars >= 0.18.7",
+ "pyarrow >= 7.0.0"
 ]
 keywords = ["dataframe", "visualization", "aggregation", "calculation", 
  "chart", "data", "dataviz", "pivot-table", "frtb", "risk"]

pyultima/requirements.txt

@@ -6,7 +6,6 @@
 
 # Dependencies
 polars
-pyarrow
 
 # Tooling
 maturin

pyultima/ultibi/__init__.py

@@ -3,7 +3,6 @@
 """
 
 import polars # reexport
-import pyarrow
 
 from .internals import (
  AggRequest,
@@ -26,6 +25,9 @@
  aggregation_ops,
 )
 
+# import pyarrow - not needed
+
+
 __all__ = [
  "AggRequest",
  "ComputeRequest",

pyultima/ultibi/internals/dataset.py

@@ -74,29 +74,30 @@ def __init__(self, ds: DataSetWrapper) -> None:
  Class constructor - not to br called directly.
  call .from_frame() or .from_config()
  """
+
  self.inner = ds
 
+ self.fields: list[str] = self.inner.fields()
  """All column which you can group by. Currently those are string 
  and bool columns
  """
- self.fields: list[str] = self.inner.fields()
 
+ self.measures: "dict[str, str | None]" = self.inner.measures()
  """{measureName: "aggtype restriction(if any, otherwise
  None)"}. If none, then you can use any of the availiable agg operations.
  Check :func:`~ultima.internals.aggregation_ops` for supported aggregation
  operations
  """
- self.measures: "dict[str, str | None]" = self.inner.measures()
 
+ self.calc_params: "list[tuple[str, str|None, str|None]]" = (
+ self.inner.calc_params()
+ )
  """parameters which you can pass to the Request for the given DataSet
 
  Returns:
  list[dict[str, str|None]]: List of {"name": parameter name to be
  passed to the request, "hint": type hint of the param}
  """
- self.calc_params: "list[tuple[str, str|None, str|None]]" = (
- self.inner.calc_params()
- )
 
  @classmethod
  def from_config_path(cls: Type[DS], path: str) -> DS: