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  • 1275e7c2c9 refactor: rename apply_blacklist_lazy to apply_blacklist and update documentation main Palash Tyagi 2025-04-21 01:35:40 +01:00
  • 0e4d58a9d8 fix: update .gitattributes to correctly mark all notebook files as linguist-vendored Palash Tyagi 2025-04-20 05:17:19 +01:00
  • d16764944b chore: add .gitattributes to mark notebooks as linguist-vendored Palash Tyagi 2025-04-20 02:53:12 +01:00
  • 80603aa951 Implement code changes to enhance functionality and improve performance Palash Tyagi 2025-04-17 00:02:04 +01:00
  • fb2efa99ac wip: apply blacklist Palash Tyagi 2025-04-17 00:01:58 +01:00
  • 178de83d1a testing... Palash Tyagi 2025-04-16 22:36:03 +01:00
  • ee531deb7a update create_blacklist_from_qdf function signature to accept metrics as a vector Palash Tyagi 2025-04-16 19:27:46 +01:00
  • 0443906cc9 feat: refactor create_blacklist_from_qdf to accept multiple metrics and improve null handling Palash Tyagi 2025-04-16 19:27:35 +01:00
  • f0a9242d10 rerean notebook Palash Tyagi 2025-04-16 01:37:52 +01:00
  • df22667d63 updated notebook Palash Tyagi 2025-04-16 01:37:24 +01:00
  • 7d4c198067 feat: update create_blacklist_from_qdf function signature to include group_by_cid and blacklist_name parameters Palash Tyagi 2025-04-16 01:36:56 +01:00
  • 25192e425d completed wdf.columns implementation Palash Tyagi 2025-04-16 01:36:48 +01:00
  • e602b8b2b4 fix: change code block syntax to ignore in documentation examples Palash Tyagi 2025-04-16 01:35:59 +01:00
  • 5d2ff3b88d fix: improve error messages in check_quantamental_dataframe function Palash Tyagi 2025-04-16 01:35:48 +01:00
  • 3d2afa01a8 feat: add build and install scripts for maturin integration Palash Tyagi 2025-04-15 21:28:09 +01:00
  • ed9d5d01a2 update notebook Palash Tyagi 2025-04-15 19:33:29 +01:00
  • dda6e3e12f wip: blacklist util Palash Tyagi 2025-04-15 19:31:15 +01:00
  • 5ef2c7e6c7 refactor: simplify type annotations in reduce_dataframe function Palash Tyagi 2025-04-15 00:00:45 +01:00
  • 5c3862c297 refactor: reorganize module exports for clarity Palash Tyagi 2025-04-14 00:25:23 +01:00
  • 3559a90ad2 adding blacklist ability Palash Tyagi 2025-04-14 00:25:09 +01:00
  • b7368a366e add weight_xcat capability Palash Tyagi 2025-04-14 00:24:26 +01:00
  • 24a4176e17 fix: correct import statement for reduce_dataframe in historic_vol.rs Palash Tyagi 2025-04-14 00:24:02 +01:00
  • 165e1c19e4 updating linear composite binding Palash Tyagi 2025-04-14 00:22:59 +01:00
  • fefe849394 updating notebook Palash Tyagi 2025-04-14 00:22:38 +01:00
  • 19e91cfe47 Merge branch 'main' into rawdf rawdf Palash Tyagi 2025-04-13 11:41:00 +01:00
  • 4e4d1c6625
         Merge pull request #2 from Magnus167/bdate_opt Palash Tyagi 2025-04-13 11:31:21 +01:00
  • cfbd54be7a add notebook with some benchmarks Palash Tyagi 2025-04-13 11:16:03 +01:00
  • a4645dbc93 Update utils module: add get_bdates_series_default_opt function and include it in __all__ exports Palash Tyagi 2025-04-13 11:15:53 +01:00
  • 658eb0d121 Rename and update functions in utils module for clarity: change get_bdates_series_default to get_bdates_series_default_pl Palash Tyagi 2025-04-13 11:10:14 +01:00
  • 93f88ab537 Refactor date utilities: remove BDateFreq and AggregationType enums, integrate frequency handling in get_bdates_series_default_opt Palash Tyagi 2025-04-13 11:10:07 +01:00
  • 39d1a1b632 Reorder module declarations in mod.rs for improved organization Palash Tyagi 2025-04-13 00:39:17 +01:00
  • 28ff5c95cf Add BDateFreq enum and frequency-based date retrieval functions Palash Tyagi 2025-04-13 00:39:08 +01:00
  • 8343e93b46 Add from_string method to BDateFreq enum for easier conversion from String Palash Tyagi 2025-04-13 00:04:54 +01:00
  • b4d42c1dda add BSeries struct and conversion implementations for FSeries and ISeries Palash Tyagi 2025-04-12 22:06:44 +01:00
  • 2b969f4eaf change example usage code blocks to ignore in JPMaQSDownload documentation Palash Tyagi 2025-04-12 11:04:28 +01:00
  • 1d301b45b7 uncomment README.md documentation line and add core module declaration Palash Tyagi 2025-04-12 11:04:24 +01:00
  • 4f60e31d55 add core module with df, xseries, and dateseries Palash Tyagi 2025-04-12 11:04:12 +01:00
  • d938d9adc3 added placeholder df module Palash Tyagi 2025-04-11 23:55:42 +01:00
  • 5a5bd4777d add first draft for dateseries Palash Tyagi 2025-04-11 23:55:29 +01:00
  • cf2779c5a1 adding first draft for xseries Palash Tyagi 2025-04-11 23:55:15 +01:00
  • 328fb24509 adding dockerfile for builds Palash Tyagi 2025-04-11 01:23:47 +01:00
  • 3f8a2b7c0c Update README to include Cargo installation instructions Palash Tyagi 2025-04-11 01:23:38 +01:00
  • c70dc11abd Update Python version requirement to 3.8 in pyproject.toml Palash Tyagi 2025-04-11 01:23:31 +01:00
  • c0f7299643 Add Python wrapper for utils module and update msyrs.pyi to include utils functions Palash Tyagi 2025-04-10 23:26:49 +01:00
  • 4df2d4147d Enhance dateutils with BDateFreq and AggregationType enums for improved date grouping and aggregation functionality Palash Tyagi 2025-04-10 23:26:24 +01:00
  • 5ae4d30560 Refactor historic_vol.rs to use dateutils for date retrieval functions Palash Tyagi 2025-04-10 20:51:36 +01:00
  • cf5177d36a Add dateutils module to utils Palash Tyagi 2025-04-10 20:51:28 +01:00
  • 6c72a6ef0a Remove date utility functions from misc.rs and move them to dateutils.rs Palash Tyagi 2025-04-10 20:51:24 +01:00
  • b4bc443f64 updating notebook Palash Tyagi 2025-04-10 12:53:17 +01:00
  • 42f3b4022a Add installation instructions for Git-based package installation Palash Tyagi 2025-04-10 00:43:08 +01:00
  • f84879119b updating linear composites notebook Palash Tyagi 2025-04-10 00:33:28 +01:00
  • f63eedb50a updating hvol notebook Palash Tyagi 2025-04-10 00:33:12 +01:00
  • 3ca7221965 Refactor normalization logic to apply NaN mask in a separate function Palash Tyagi 2025-04-10 00:24:30 +01:00
  • de62daaf8b Refactor check_weights_signs_lengths to enforce f64 types and validate non-zero weights and signs Palash Tyagi 2025-04-10 00:24:00 +01:00
  • 1a7d3c1491 added basic-utils notebook Palash Tyagi 2025-04-09 20:45:34 +01:00
  • 973fb07601 updating notebook Palash Tyagi 2025-04-09 00:22:01 +01:00
  • e780f34188 wip: normalization not wroking Palash Tyagi 2025-04-09 00:21:08 +01:00
  • 0b97e2d0be Add linear_composite method to panel class Palash Tyagi 2025-04-08 22:39:08 +01:00
  • 8a9b6bc88f Add linear_composite function to panel module with appropriate signature Palash Tyagi 2025-04-08 22:37:53 +01:00
  • e37b4c19cb working except normalization Palash Tyagi 2025-04-08 22:37:20 +01:00
  • 9fad1fbae5 updating python notebook Palash Tyagi 2025-04-08 19:10:59 +01:00
  • b249c45979 added hist vol notebook Palash Tyagi 2025-04-08 19:03:58 +01:00
  • 7c2ed3b818 adding linear_composite initial cut Palash Tyagi 2025-04-07 00:22:34 +01:00
  • acbe621704 Enhance documentation by adding argument descriptions to functions in historic_vol, pivots, reduce_df, and update_df modules Palash Tyagi 2025-04-07 00:22:23 +01:00
  • c10b6adfcd
         Merge pull request #1 from Magnus167/qdf Palash Tyagi 2025-04-06 05:16:25 +01:00
  • c723b751fc Implement code changes to enhance functionality and improve performance Palash Tyagi 2025-04-06 05:14:58 +01:00
  • 72e10626fc Update README.md to enhance installation instructions for the Python package Palash Tyagi 2025-04-06 05:14:52 +01:00
  • 977a94086f Add dependencies section to pyproject.toml for required packages Palash Tyagi 2025-04-06 05:14:46 +01:00
  • 8ce7c7b6e4 Add type hints for get_bdates_from_col_hv and get_period_indices_hv methods Palash Tyagi 2025-04-06 05:14:09 +01:00
  • 48fe8db61e Add Python wrappers for get_bdates_from_col_hv and get_period_indices_hv functions Palash Tyagi 2025-04-06 05:14:00 +01:00
  • d897965dd2 Refactor frequency calculation functions to use estimated frequency and improve date handling Palash Tyagi 2025-04-06 05:13:41 +01:00
  • 3bca3a931f Refactor get_bdates_from_col to enhance business day identification and bucket dates by period Palash Tyagi 2025-04-06 05:13:27 +01:00
  • 46d705a5f6 Add function to retrieve business dates from a date column in a DataFrame Palash Tyagi 2025-04-06 00:57:51 +01:00
  • ed9b0c2e0f Add documentation comments for ticker-related functions Palash Tyagi 2025-04-06 00:41:58 +01:00
  • 1dd82e0b23 Fix typo in function name from create_interesecting_tickers to create_intersecting_tickers Palash Tyagi 2025-04-06 00:39:44 +01:00
  • 0f0b7b7259 updating notebook Palash Tyagi 2025-04-05 16:35:22 +01:00
  • 879aa2ebe3 Update pyo3-polars dependency to version 0.18.0 and adjust polars features Palash Tyagi 2025-04-05 16:31:13 +01:00
  • 19ff090508 Refactor historic volatility calculations to improve data handling and add postfix renaming for result columns Palash Tyagi 2025-04-05 16:31:04 +01:00
  • e4412c638b Remove unused import of NaiveDate from polars::export and retain chrono::NaiveDate Palash Tyagi 2025-04-05 16:30:55 +01:00
  • bbdbc3d8e6 Add pivot_wide_dataframe_to_qdf function for transforming ticker dataframes Palash Tyagi 2025-04-05 15:06:41 +01:00
  • b20659e04d Update polars dependency version and clean up unused features in Cargo.toml Palash Tyagi 2025-04-05 03:03:23 +01:00
  • 6822f9a5a0 Update .gitignore to include data/ and Cargo.lock Palash Tyagi 2025-04-05 03:03:07 +01:00
  • 5830bc6e1a removed file Palash Tyagi 2025-04-05 03:01:01 +01:00
  • 6d285ebb8f Add polars as a dependency in pyproject.toml Palash Tyagi 2025-04-05 00:20:33 +01:00
  • 34e5f6feb7 wip Palash Tyagi 2025-04-05 00:01:34 +01:00
  • 71f9f4a674 Add logging for historic volatility calculations and implement utility to get min/max real dates Palash Tyagi 2025-03-15 00:03:09 +00:00
  • 421178a5bb wip: hist vol Palash Tyagi 2024-11-29 00:49:11 +00:00
  • 6fb9b0f076 wip: hist vol Palash Tyagi 2024-11-26 23:59:45 +00:00
  • 82fed27116 fixing deps Palash Tyagi 2024-11-26 23:59:37 +00:00
  • d692476d05 add annualization factor and implement frequency calculation for historic volatility Palash Tyagi 2024-11-26 00:31:59 +00:00
  • 26a220cc4c moving stuff around Palash Tyagi 2024-11-22 23:39:56 +00:00
  • f9ccad855f add comparisions to macrosynergy package Palash Tyagi 2024-11-22 17:17:37 +00:00
  • a9056ef308 added historic_vol method to panel class in msyrs.pyi Palash Tyagi 2024-11-22 17:17:27 +00:00
  • 70f135da61 mplementation stubs for panel Palash Tyagi 2024-11-22 17:17:20 +00:00
  • 6599f265b6 added py-bindings for panel/hist_vol Palash Tyagi 2024-11-22 17:16:36 +00:00
  • 8f3ffa6298 added ndarray to cargo.toml Palash Tyagi 2024-11-22 17:15:58 +00:00
  • f9d2513202 added place holder for historic vol Palash Tyagi 2024-11-22 17:15:37 +00:00
  • cc08a3da59 adding scripts Palash Tyagi 2024-11-22 14:42:46 +00:00
  • 89f20299b5 updating notebook Palash Tyagi 2024-11-22 14:42:40 +00:00
  • ac769b31a0 updating PYIs Palash Tyagi 2024-11-22 13:38:36 +00:00