def __init__(self, scenario: str):
if scenario not in self.SCENARIOS:
raise NotImplementedError(
f'Unknown scenario {scenario}. Choose from: {sorted(self.SCENARIOS)}'
)
self.scenario = scenario
self.data_dir = os.path.join(settings.SIMULATION_DIR, scenario)
self.portfolio = Portfolio.read_from_file(
os.path.join(self.data_dir, 'start.csv'))
self.reference_portfolio = Portfolio.read_from_file(
os.path.join(self.data_dir, 'start.csv'))
def _calculate_ideal_portfolio(self, input_filename: str,
reference_filename: str):
input_file = os.path.join(settings.TEST_DIR, input_filename)
reference_file = os.path.join(settings.TEST_DIR, reference_filename)
generated_file = os.path.join(settings.TMP_DIR, reference_filename)
portfolio = Portfolio.read_from_file(input_file)
calculator = Calculator(portfolio)
calculator.calculate_ideal_portfolio()
portfolio.write_to_file(generated_file)
self.compare_file_with_file(generated_file,
reference_file,
write_first=True)
os.remove(generated_file)
position for position in self.portfolio.positions
if position.ideal_fraction < self.max_position
]
total_ideal_fraction_under_max = sum(
[position.ideal_fraction for position in positions_under_max])
# Make the redistribution
for position in positions_under_max:
position.ideal_fraction += position.ideal_fraction / total_ideal_fraction_under_max * total_ideal_fraction_to_redistribute
# Repeat the procedure until no position is above the maximum position
self._redistribute_over_max()
if __name__ == '__main__':
parser = argparse.ArgumentParser(description='Calculator')
parser.add_argument(
'--input',
help='name of input portfolio CSV file. Defaults to demo.csv',
default='demo.csv')
parser.add_argument(
'--output',
help='name of output portfolio CSV file. Defaults to ideal.csv',
default='ideal.csv')
args = parser.parse_args()
_portfolio = Portfolio.read_from_file(args.input)
calculator = Calculator(_portfolio)
calculator.calculate_ideal_portfolio()
_portfolio.write_to_file(args.output)
