def get_stdev_on_date(self,
relevant_date: datetime.datetime) -> stdevEstimates:
if relevant_date < self.index[0]:
stdev_as_dict = get_row_of_df_aligned_to_weights_as_dict(
df=self, relevant_date=self.index[0])
else:
stdev_as_dict = get_row_of_df_aligned_to_weights_as_dict(
df=self, relevant_date=relevant_date)
return stdevEstimates(stdev_as_dict)
def get_stdev_estimate(self, relevant_date: datetime.datetime = arg_not_supplied) -> stdevEstimates:
df_of_vol = self.get_df_of_perc_vol()
stdev_at_date = get_row_of_df_aligned_to_weights_as_dict(df_of_vol, relevant_date)
stdev_estimate = stdevEstimates(stdev_at_date)
return stdev_estimate
def get_portfolio_weights_for_relevant_date(self,
relevant_date: datetime.datetime = arg_not_supplied) \
-> portfolioWeights:
weights_as_df = self.get_original_portfolio_weight_df()
weights_at_date = get_row_of_df_aligned_to_weights_as_dict(weights_as_df, relevant_date)
portfolio_weights = portfolioWeights(weights_at_date)
return portfolio_weights
def get_per_contract_value(
self, relevant_date: datetime.datetime = arg_not_supplied
) -> portfolioWeights:
df_of_values = self.get_per_contract_value_as_proportion_of_capital_df()
values_at_date = get_row_of_df_aligned_to_weights_as_dict(
df_of_values, relevant_date
)
contract_values = portfolioWeights(values_at_date)
return contract_values
def get_maximum_portfolio_weight_at_date(
self,
relevant_date: datetime.datetime = arg_not_supplied
) -> portfolioWeights:
max_portfolio_weight = self.get_maximum_portfolio_weight_as_df()
max_weight_at_date = get_row_of_df_aligned_to_weights_as_dict(
max_portfolio_weight, relevant_date)
return portfolioWeights(max_weight_at_date)
def get_position_contracts_for_relevant_date(
self, relevant_date: datetime.datetime = arg_not_supplied
) -> portfolioWeights:
position_contracts_as_df = self.get_position_contracts_as_df()
position_contracts_at_date = get_row_of_df_aligned_to_weights_as_dict(
position_contracts_as_df, relevant_date
)
position_contracts = portfolioWeights(position_contracts_at_date)
return position_contracts
def _get_portfolio_risk_given_weights(self, portfolio_weights: pd.DataFrame) -> pd.Series:
risk_series = []
common_index = self.common_index()
p = progressBar(len(common_index), show_timings=True, show_each_time=False)
for relevant_date in common_index:
p.iterate()
weights_on_date = portfolioWeights(
get_row_of_df_aligned_to_weights_as_dict(portfolio_weights, relevant_date))
covariance = self.get_covariance_matrix(relevant_date)
risk_on_date = calculate_risk(weights = weights_on_date,
covariance = covariance)
risk_series.append(risk_on_date)
p.finished()
risk_series = pd.Series(risk_series, common_index)
return risk_series
def get_weights_on_date(self, relevant_date: datetime.datetime) \
-> portfolioWeights:
weights_as_dict = get_row_of_df_aligned_to_weights_as_dict(
df=self, relevant_date=relevant_date)
return portfolioWeights(weights_as_dict)
