144 Commits

Author SHA1 Message Date
Palash Tyagi
fefe849394 updating notebook 2025-04-14 00:22:38 +01:00
4e4d1c6625
Merge pull request #2 from Magnus167/bdate_opt
Optimizing `bdates` utils
2025-04-13 11:31:21 +01:00
Palash Tyagi
cfbd54be7a add notebook with some benchmarks 2025-04-13 11:16:03 +01:00
Palash Tyagi
a4645dbc93 Update utils module: add get_bdates_series_default_opt function and include it in __all__ exports 2025-04-13 11:15:53 +01:00
Palash Tyagi
658eb0d121 Rename and update functions in utils module for clarity: change get_bdates_series_default to get_bdates_series_default_pl 2025-04-13 11:10:14 +01:00
Palash Tyagi
93f88ab537 Refactor date utilities: remove BDateFreq and AggregationType enums, integrate frequency handling in get_bdates_series_default_opt 2025-04-13 11:10:07 +01:00
Palash Tyagi
39d1a1b632 Reorder module declarations in mod.rs for improved organization 2025-04-13 02:01:38 +01:00
Palash Tyagi
28ff5c95cf Add BDateFreq enum and frequency-based date retrieval functions 2025-04-13 00:39:08 +01:00
Palash Tyagi
8343e93b46 Add from_string method to BDateFreq enum for easier conversion from String 2025-04-13 00:04:54 +01:00
Palash Tyagi
328fb24509 adding dockerfile for builds 2025-04-11 01:23:47 +01:00
Palash Tyagi
3f8a2b7c0c Update README to include Cargo installation instructions 2025-04-11 01:23:38 +01:00
Palash Tyagi
c70dc11abd Update Python version requirement to 3.8 in pyproject.toml 2025-04-11 01:23:31 +01:00
Palash Tyagi
c0f7299643 Add Python wrapper for utils module and update msyrs.pyi to include utils functions 2025-04-10 23:26:49 +01:00
Palash Tyagi
4df2d4147d Enhance dateutils with BDateFreq and AggregationType enums for improved date grouping and aggregation functionality 2025-04-10 23:26:24 +01:00
Palash Tyagi
5ae4d30560 Refactor historic_vol.rs to use dateutils for date retrieval functions 2025-04-10 20:51:36 +01:00
Palash Tyagi
cf5177d36a Add dateutils module to utils 2025-04-10 20:51:28 +01:00
Palash Tyagi
6c72a6ef0a Remove date utility functions from misc.rs and move them to dateutils.rs 2025-04-10 20:51:24 +01:00
Palash Tyagi
b4bc443f64 updating notebook 2025-04-10 12:53:17 +01:00
Palash Tyagi
42f3b4022a Add installation instructions for Git-based package installation 2025-04-10 00:43:08 +01:00
Palash Tyagi
f84879119b updating linear composites notebook 2025-04-10 00:33:28 +01:00
Palash Tyagi
f63eedb50a updating hvol notebook 2025-04-10 00:33:12 +01:00
Palash Tyagi
3ca7221965 Refactor normalization logic to apply NaN mask in a separate function 2025-04-10 00:24:30 +01:00
Palash Tyagi
de62daaf8b Refactor check_weights_signs_lengths to enforce f64 types and validate non-zero weights and signs 2025-04-10 00:24:00 +01:00
Palash Tyagi
1a7d3c1491 added basic-utils notebook 2025-04-09 20:45:34 +01:00
Palash Tyagi
973fb07601 updating notebook 2025-04-09 00:22:01 +01:00
Palash Tyagi
e780f34188 wip: normalization not wroking 2025-04-09 00:21:08 +01:00
Palash Tyagi
0b97e2d0be Add linear_composite method to panel class 2025-04-08 22:39:08 +01:00
Palash Tyagi
8a9b6bc88f Add linear_composite function to panel module with appropriate signature 2025-04-08 22:37:53 +01:00
Palash Tyagi
e37b4c19cb working except normalization 2025-04-08 22:37:20 +01:00
Palash Tyagi
9fad1fbae5 updating python notebook 2025-04-08 19:10:59 +01:00
Palash Tyagi
b249c45979 added hist vol notebook 2025-04-08 19:03:58 +01:00
Palash Tyagi
7c2ed3b818 adding linear_composite initial cut 2025-04-07 00:22:34 +01:00
Palash Tyagi
acbe621704 Enhance documentation by adding argument descriptions to functions in historic_vol, pivots, reduce_df, and update_df modules 2025-04-07 00:22:23 +01:00
Palash Tyagi
c10b6adfcd
Merge pull request #1 from Magnus167/qdf
Adding QDF related functionality and exemplar implementation of HistoricVol
2025-04-06 05:16:25 +01:00
Palash Tyagi
c723b751fc Implement code changes to enhance functionality and improve performance 2025-04-06 05:14:58 +01:00
Palash Tyagi
72e10626fc Update README.md to enhance installation instructions for the Python package 2025-04-06 05:14:52 +01:00
Palash Tyagi
977a94086f Add dependencies section to pyproject.toml for required packages 2025-04-06 05:14:46 +01:00
Palash Tyagi
8ce7c7b6e4 Add type hints for get_bdates_from_col_hv and get_period_indices_hv methods 2025-04-06 05:14:09 +01:00
Palash Tyagi
48fe8db61e Add Python wrappers for get_bdates_from_col_hv and get_period_indices_hv functions 2025-04-06 05:14:00 +01:00
Palash Tyagi
d897965dd2 Refactor frequency calculation functions to use estimated frequency and improve date handling 2025-04-06 05:13:41 +01:00
Palash Tyagi
3bca3a931f Refactor get_bdates_from_col to enhance business day identification and bucket dates by period 2025-04-06 05:13:27 +01:00
Palash Tyagi
46d705a5f6 Add function to retrieve business dates from a date column in a DataFrame 2025-04-06 00:57:51 +01:00
Palash Tyagi
ed9b0c2e0f Add documentation comments for ticker-related functions 2025-04-06 00:41:58 +01:00
Palash Tyagi
1dd82e0b23 Fix typo in function name from create_interesecting_tickers to create_intersecting_tickers 2025-04-06 00:39:44 +01:00
Palash Tyagi
0f0b7b7259 updating notebook 2025-04-05 16:35:22 +01:00
Palash Tyagi
879aa2ebe3 Update pyo3-polars dependency to version 0.18.0 and adjust polars features 2025-04-05 16:31:13 +01:00
Palash Tyagi
19ff090508 Refactor historic volatility calculations to improve data handling and add postfix renaming for result columns 2025-04-05 16:31:04 +01:00
Palash Tyagi
e4412c638b Remove unused import of NaiveDate from polars::export and retain chrono::NaiveDate 2025-04-05 16:30:55 +01:00
Palash Tyagi
bbdbc3d8e6 Add pivot_wide_dataframe_to_qdf function for transforming ticker dataframes 2025-04-05 15:06:41 +01:00
Palash Tyagi
b20659e04d Update polars dependency version and clean up unused features in Cargo.toml 2025-04-05 03:03:23 +01:00