1. added new constraints implementation;

2. bump version to 0.1.1

alphamind/__init__.py

@@ -6,4 +6,4 @@ Created on 2017-4-25
 """
 
 
-__version__ = "0.1.0"
+__version__ = "0.1.1"

alphamind/portfolio/constraints.py

@@ -5,17 +5,133 @@ Created on 2017-7-21
 @author: cheng.li
 """
 
+from deprecated import deprecated
 from math import inf
 import numpy as np
+import pandas as pd
+from enum import IntEnum
 from typing import Tuple
 from typing import Optional
+from typing import Dict
+from typing import List
+from typing import Union
+from typing import Iterable
+from PyFin.api import pyFinAssert
 
 
+class BoundaryDirection(IntEnum):
+    LOWER = -1
+    UPPER = 1
+
+
+class BoundaryType(IntEnum):
+    ABSOLUTE = 0
+    RELATIVE = 1
+
+
+class BoundaryImpl(object):
+
+    def __init__(self,
+                 direction: BoundaryDirection,
+                 b_type: BoundaryType,
+                 val: float):
+        self.direction = direction
+        self.b_type = b_type
+        self.val = val
+        self._validation()
+
+    def _validation(self):
+        pyFinAssert(self.b_type == BoundaryType.ABSOLUTE or self.b_type == BoundaryType.RELATIVE,
+                    ValueError,
+                    "Boundary Type {0} is not recognized".format(self.b_type))
+
+        pyFinAssert(self.direction == BoundaryDirection.LOWER or self.direction == BoundaryDirection.UPPER,
+                    ValueError,
+                    "Boundary direction {0} is not recognized".format(self.direction))
+
+    def __call__(self, center: float):
+        if self.b_type == BoundaryType.ABSOLUTE:
+            return self.val + center
+        else:
+            pyFinAssert(center > 0., ValueError, "relative bounds only support positive back bone value")
+            return self.val * center
+
+
+class BoxBoundary(object):
+
+    def __init__(self,
+                 lower_bound: BoundaryImpl,
+                 upper_bound: BoundaryImpl):
+        self.lower = lower_bound
+        self.upper = upper_bound
+
+    def bounds(self, center):
+        l_b, u_b = self.lower(center), self.upper(center)
+        pyFinAssert(l_b <= u_b, ValueError, "lower bound should be lower then upper bound")
+        return l_b, u_b
+
+
+def create_box_bounds(names: List[str],
+                      b_type: BoundaryType,
+                      l_val: Union[Iterable[float], float],
+                      u_val: Union[Iterable[float], float]) -> Dict[str, BoxBoundary]:
+    """
+    helper function to quickly create a series of bounds
+    """
+    bounds = dict()
+
+    if not hasattr(l_val, '__iter__'):
+        l_val = np.array([l_val] * len(names))
+
+    if not hasattr(u_val, '__iter__'):
+        u_val = np.array([u_val] * len(names))
+
+    for i, name in enumerate(names):
+        lower = BoundaryImpl(BoundaryDirection.LOWER,
+                             b_type,
+                             l_val[i])
+        upper = BoundaryImpl(BoundaryDirection.UPPER,
+                             b_type,
+                             u_val[i])
+        bounds[name] = BoxBoundary(lower, upper)
+    return bounds
+
+
+class LinearConstraints(object):
+
+    def __init__(self,
+                 bounds: Dict[str, BoxBoundary],
+                 cons_mat: pd.DataFrame,
+                 backbone: np.ndarray):
+        pyFinAssert(len(bounds) == cons_mat.shape[1], "Number of bounds should be same as number of col of cons_mat")
+        pyFinAssert(cons_mat.shape[0] == len(backbone),
+                    "length of back bond should be same as number of rows of cons_mat")
+        self.names = list(bounds.keys())
+        self.bounds = bounds
+        self.cons_mat = cons_mat
+        self.backbone = backbone
+
+    def risk_targets(self) -> Tuple[np.ndarray, np.ndarray]:
+        lower_bounds = []
+        upper_bounds = []
+
+        for name in self.names:
+            center = self.backbone @ self.cons_mat[name].values
+            l, u = self.bounds[name].bounds(center)
+            lower_bounds.append(l)
+            upper_bounds.append(u)
+        return np.array(lower_bounds), np.array(upper_bounds)
+
+    def risk_exp(self) -> np.ndarray:
+        return self.cons_mat[self.names].values
+
+
+@deprecated(reason="Constraints is deprecated in alpha-mind 0.1.1. Please use LinearConstraints instead.")
 class Constraints(object):
 
     def __init__(self,
-                 risk_exp: Optional[np.ndarray]=None,
-                 risk_names: Optional[np.ndarray]=None):
+                 risk_exp: Optional[np.ndarray] = None,
+                 risk_names: Optional[np.ndarray] = None):
         self.risk_exp = risk_exp
 
         if risk_names is not None:

alphamind/tests/portfolio/test_constraints.py

@@ -7,7 +7,14 @@ Created on 2017-7-20
 
 import unittest
 import numpy as np
+import pandas as pd
 from alphamind.portfolio.constraints import Constraints
+from alphamind.portfolio.constraints import BoxBoundary
+from alphamind.portfolio.constraints import BoundaryImpl
+from alphamind.portfolio.constraints import BoundaryDirection
+from alphamind.portfolio.constraints import BoundaryType
+from alphamind.portfolio.constraints import create_box_bounds
+from alphamind.portfolio.constraints import LinearConstraints
 
 
 class TestConstraints(unittest.TestCase):
@@ -43,6 +50,100 @@ class TestConstraints(unittest.TestCase):
         np.testing.assert_array_almost_equal(risk_targets[0], np.array([-0.1, -np.inf, -0.1]))
         np.testing.assert_array_almost_equal(risk_targets[1], np.array([0.1, np.inf, 0.1]))
 
+    def test_absolute_box_boundary(self):
+        lower = BoundaryImpl(BoundaryDirection.LOWER,
+                             BoundaryType.ABSOLUTE,
+                             -0.8)
+        upper = BoundaryImpl(BoundaryDirection.UPPER,
+                             BoundaryType.ABSOLUTE,
+                             1.1)
+        bound = BoxBoundary(lower, upper)
+
+        center = 2.2
+        l, u = bound.bounds(center)
+        self.assertAlmostEqual(l, 1.4)
+        self.assertAlmostEqual(u, 3.3)
+
+    def test_relative_box_boundary(self):
+        lower = BoundaryImpl(BoundaryDirection.LOWER,
+                             BoundaryType.RELATIVE,
+                             0.8)
+        upper = BoundaryImpl(BoundaryDirection.UPPER,
+                             BoundaryType.RELATIVE,
+                             1.1)
+        bound = BoxBoundary(lower, upper)
+
+        center = 2.2
+        l, u = bound.bounds(center)
+        self.assertAlmostEqual(l, 1.76)
+        self.assertAlmostEqual(u, 2.42)
+
+    def test_create_box_bounds_single_value(self):
+        names = ['a', 'b', 'c']
+        b_type = BoundaryType.RELATIVE
+        l_val = 0.8
+        u_val = 1.1
+
+        bounds = create_box_bounds(names,
+                                   b_type,
+                                   l_val,
+                                   u_val)
+
+        for key, bound in bounds.items():
+            l_bound = bound.lower
+            u_bound = bound.upper
+            self.assertEqual(l_bound.b_type, b_type)
+            self.assertEqual(u_bound.b_type, b_type)
+            self.assertAlmostEqual(l_bound.val, l_val)
+            self.assertAlmostEqual(u_bound.val, u_val)
+
+    def test_create_box_bounds_multiple_values(self):
+        names = ['a', 'b', 'c']
+        b_type = BoundaryType.RELATIVE
+        l_val = [0.9, 0.8, 1.1]
+        u_val = [1.1, 1.2, 1.3]
+
+        bounds = create_box_bounds(names,
+                                   b_type,
+                                   l_val,
+                                   u_val)
+
+        for i, name in enumerate(names):
+            bound = bounds[name]
+            l_bound = bound.lower
+            u_bound = bound.upper
+            self.assertEqual(l_bound.b_type, b_type)
+            self.assertEqual(u_bound.b_type, b_type)
+            self.assertAlmostEqual(l_bound.val, l_val[i])
+            self.assertAlmostEqual(u_bound.val, u_val[i])
+
+    def test_linear_constraints(self):
+        cons_mat = np.random.randn(100, 3)
+        backbone = np.random.randn(100)
+        names = ['a', 'b', 'c']
+        cons_mat = pd.DataFrame(cons_mat, columns=names)
+
+        b_type = BoundaryType.ABSOLUTE
+        l_val = -0.8
+        u_val = 1.1
+
+        bounds = create_box_bounds(names,
+                                   b_type,
+                                   l_val,
+                                   u_val)
+
+        constraints = LinearConstraints(bounds=bounds,
+                                        cons_mat=cons_mat,
+                                        backbone=backbone)
+
+        l_bounds, u_bounds = constraints.risk_targets()
+        risk_exp = constraints.risk_exp()
+
+        for i, name in enumerate(names):
+            center = risk_exp[:, i] @ backbone
+            self.assertAlmostEqual(center + l_val, l_bounds[i])
+            self.assertAlmostEqual(center + u_val, u_bounds[i])
+
 
 if __name__ == '__main__':
     unittest.main()

requirements.txt

 arrow >= 0.10.0
 cython >= 0.25.2
+deprecated >= 1.1.0
 numpy >= 1.12.1
 pandas >= 0.19.2
 scikit-learn >= 0.18.1

setup.py

@@ -14,7 +14,7 @@ from Cython.Build import cythonize
 from distutils.extension import Extension
 import numpy as np
 
-VERSION = "0.1.0"
+VERSION = "0.1.1"
 
 if platform.system() != "Windows":
     import multiprocessing