from dataclasses import dataclass
from typing import List, Optional
import pandas as pd
from portfolio_toolkit.asset import OptimizationAsset
from portfolio_toolkit.data_provider.data_provider import DataProvider
from portfolio_toolkit.math.get_matrix_returns import get_matrix_returns
from portfolio_toolkit.math.get_var import get_covariance_matrix
[docs]
@dataclass
class Optimization:
"""
Class to represent and manage an asset optimization.
"""
name: str
currency: str
assets: List[OptimizationAsset]
data_provider: DataProvider
period: str = "1y"
returns: Optional[pd.DataFrame] = None
covariance_matrix: Optional[pd.DataFrame] = None
means: Optional[pd.Series] = None
weights: Optional[pd.Series] = None
expected_returns: Optional[pd.Series] = None
def __post_init__(self):
if not self.assets:
raise ValueError("Optimization must have at least one asset.")
self.weights = pd.Series(
[asset.quantity for asset in self.assets],
index=[asset.ticker for asset in self.assets],
)
self.means = pd.Series(
[asset.mean_return for asset in self.assets],
index=[asset.ticker for asset in self.assets],
)
self.expected_returns = pd.Series(
[asset.expected_return for asset in self.assets],
index=[asset.ticker for asset in self.assets],
)
self.returns = get_matrix_returns(self.assets)
self.covariance_matrix = get_covariance_matrix(self.returns)
[docs]
@classmethod
def from_dict(cls, data: dict, data_provider: DataProvider) -> "Optimization":
from .optimization_from_dict import create_optimization_from_json
"""
Alternate constructor that builds Optimization from a dictionary.
"""
return create_optimization_from_json(data, data_provider)
[docs]
def get_var(self) -> float:
from .compute_var import compute_var
return compute_var(self)
[docs]
def get_efficient_frontier(self, num_points: int):
from .efficient_frontier import compute_efficient_frontier
return compute_efficient_frontier(
expected_returns=self.expected_returns,
covariance_matrix=self.covariance_matrix,
num_points=num_points,
)
def __repr__(self):
return f"Optimization(name={self.name}, currency={self.currency}, assets_count={len(self.assets)})"