Release 0.2.0

CHANGELOG.rst

@@ -3,6 +3,11 @@ ChangeLog
 
 PLEASE NOTE THAT THE API IS STILL UNSTABLE AS MORE USE CASES / FEATURES ARE ADDED REGULARLY
 
+v0.2.0 (21-02-2022)
+-------------------
+* Installation:
+ * PyPI release update
+
 v0.1.2 (26-03-2019)
 -------------------
 

README.md

@@ -21,8 +21,8 @@ Key Information
 * License: Apache 2.0
 * Mathematical Documentation: [Open Risk Manual](https://www.openriskmanual.org/wiki/Correlation_Matrix)
 * Development website: [Github](https://github.com/open-risk/correlationMatrix)
-* General Discussions: [Gitter](https://gitter.im/open-risk/Lobby)
-* Package Specific Chat: [Gitter](https://gitter.im/open-risk/correlationMatrix)
+* General Discussions: [Open Risk Commons](https://www.openriskcommons.org/c/open-source/correlationmatrix/26)
+
 
 **NB: correlationMatrix is still in active development. If you encounter issues please raise them in our
 github repository**
@@ -31,7 +31,7 @@ github repository**
 Examples
 ========
 
-The examples directory contains a large sample of examples illustrating the current functionality
+The examples directory contains examples illustrating the current functionality
 
 
 Display correlation matrix

correlationMatrix/__init__.py

@@ -1,6 +1,6 @@
 # encoding: utf-8
 
-# (c) 2019 Open Risk (https://www.openriskmanagement.com)
+# (c) 2019-2022 Open Risk (https://www.openriskmanagement.com)
 #
 # correlationMatrix is licensed under the Apache 2.0 license a copy of which is included
 # in the source distribution of correlationMatrix. This is notwithstanding any licenses of
@@ -20,7 +20,7 @@
 from .model import *
 from .utils import *
 
-__version__ = '0.1'
+__version__ = '0.2'
 
 package_name = 'correlationMatrix'
 module_path = os.path.dirname(__file__)

correlationMatrix/model.py

@@ -1,6 +1,6 @@
 # encoding: utf-8
 
-# (c) 2019 Open Risk (https://www.openriskmanagement.com)
+# (c) 2019-2022 Open Risk (https://www.openriskmanagement.com)
 #
 # correlationMatrix is licensed under the Apache 2.0 license a copy of which is included
 # in the source distribution of correlationMatrix. This is notwithstanding any licenses of
@@ -14,8 +14,8 @@
 
 """ This module provides the key correlation matrix classes
 
-* correlationMatrix_ implements the functionality of single period correlation matrix
-* TODO correlationMatrixSet_ provides a container for a multiperiod correlation matrix collection
+* correlationMatrix implements the functionality of single period correlation matrix
+* TODO correlationMatrixSet provides a container for a multiperiod correlation matrix collection
 * TODO PairwiseCorrelation implements functionality for pairwise data analysis of timeseries
 * EmpiricalCorrelationMatrix implements the functionality of a continuously observed correlation matrix
 
@@ -260,7 +260,9 @@ def validate(self, accuracy=1e-3):
 
  matrix = self.matrix
  # checking squareness of matrix
- if matrix.shape[0] != matrix.shape[1]:
+ if len(matrix.shape) != 2:
+ validation_messages.append(("Matrix Non Square: ", matrix.shape))
+ elif matrix.shape[0] != matrix.shape[1]:
  validation_messages.append(("Matrix Dimensions Differ: ", matrix.shape))
  else:
  matrix_size = matrix.shape[0]
@@ -278,7 +280,7 @@ def validate(self, accuracy=1e-3):
  for j in range(matrix_size):
  if matrix[i, j] != matrix[j, i]:
  validation_messages.append(("Symmetry violating value: ", (i, j, matrix[i, j])))
- # checking positive semi-definitess (non-negative eigenvalues)
+ # checking positive semi-definiteness (non-negative eigenvalues)
  Eigenvalues, Decomposition = eigh(matrix)
  if not np.all(Eigenvalues > - EIGENVALUE_TOLERANCE):
  validation_messages.append(("Matrix is not positive semi-definite"))

correlationMatrix/utils/__init__.py

@@ -1,6 +1,6 @@
 # encoding: utf-8
 
-# (c) 2019 Open Risk, all rights reserved
+# (c) 2019-2022 Open Risk, all rights reserved
 #
 # correlationMatrix is licensed under the Apache 2.0 license a copy of which is included
 # in the source distribution of correlationMatrix. This is notwithstanding any licenses of

correlationMatrix/utils/converters.py

@@ -1,4 +1,4 @@
-# encoding: utf-8
+ # encoding: utf-8
 
 # (c) 2017-2019 Open Risk (https://www.openriskmanagement.com)
 #
@@ -49,10 +49,10 @@ def matrix_print(A, format_type='Standard', accuracy=2):
  """
  for s_in in range(A.shape[0]):
  for s_out in range(A.shape[1]):
- if format_type is 'Standard':
+ if format_type == 'Standard':
  format_string = "{0:." + str(accuracy) + "f}"
  print(format_string.format(A[s_in, s_out]) + ' ', end='')
- elif format_type is 'Percent':
+ elif format_type == 'Percent':
  print("{0:.2f}%".format(100 * A[s_in, s_out]) + ' ', end='')
  print('')
  print('')

correlationMatrix/utils/dataset_generators.py

@@ -1,6 +1,6 @@
 # encoding: utf-8
 
-# (c) 2019 Open Risk, all rights reserved
+# (c) 2019-2022 Open Risk, all rights reserved
 #
 # correlationMatrix is licensed under the Apache 2.0 license a copy of which is included
 # in the source distribution of correlationMatrix. This is notwithstanding any licenses of

correlationMatrix/utils/fetch_equity_data.py

@@ -1,6 +1,6 @@
 # encoding: utf-8
 
-# (c) 2019 Open Risk, all rights reserved
+# (c) 2019-2022 Open Risk, all rights reserved
 #
 # correlationMatrix is licensed under the Apache 2.0 license a copy of which is included
 # in the source distribution of correlationMatrix. This is notwithstanding any licenses of

correlationMatrix/utils/preprocessing.py

@@ -1,6 +1,6 @@
 # encoding: utf-8
 
-# (c) 2019 Open Risk, all rights reserved
+# (c) 2019-2022 Open Risk, all rights reserved
 #
 # correlationMatrix is licensed under the Apache 2.0 license a copy of which is included
 # in the source distribution of correlationMatrix. This is notwithstanding any licenses of
@@ -12,19 +12,19 @@
 # either express or implied. See the License for the specific language governing permissions and
 # limitations under the License.
 
-'''
+"""
 module correlationMatrix.utils - helper classes and functions
 
-'''
+"""
 
 import numpy as np
 import pandas as pd
 
 
 def csv_files_to_frame(list, directory, filename):
- """
- Given a list of symbols with timeseries data
- - iterate through a directory for *.csv files
+ """ Given a list of symbols with timeseries data
+
+ - iterate through a directory for csv files
  - load and merge file data into a single dataframe
 
  """
@@ -45,24 +45,22 @@ def csv_files_to_frame(list, directory, filename):
 
 
 def json_file_to_frame(input_filename, output_filename):
- """
- Given a file name with json data in the format
- {
- "Entity1" : [Values],
- "Entity2" : [Values],
- ...
- "EntityN" : [Values]
- }
- Convert the data to a pandas dataframe for further processing
+ """ Given a file name with json data in the format
+
+ .. code:: python
+
+ {
+ "Entity1" : [Values],
+ "Entity2" : [Values],
+ ...
+ "EntityN" : [Values]
+ }
+
+ Convert the data to a pandas dataframe for further processing
 
  """
 
- entity_data = pd.read_json(input_filename)
- # select_data = entity_data.drop(columns=['High', 'Low', 'Open', 'Close', 'Volume'])
- # index_data = select_data.set_index('Date')
- # rename_data = index_data.rename(columns={"Adj Close": entry_name})
- # df = pd.concat([df, rename_data], axis=1, sort=False)
- #
+ entity_data = pd.read_json(open(input_filename, mode='r'))
  entity_data.to_csv(output_filename, index=False)
 
  return entity_data

datasets/__init__.py

@@ -1,6 +1,6 @@
 # encoding: utf-8
 
-# (c) 2019 Open Risk, all rights reserved
+# (c) 2019-2022 Open Risk, all rights reserved
 #
 # correlationMatrix is licensed under the Apache 2.0 license a copy of which is included
 # in the source distribution of correlationMatrix. This is notwithstanding any licenses of