Investment and risk technologies maintained by Fortitudo Technologies.

Last update: Dec 14, 2022

Related tags

Overview

Fortitudo Technologies Open Source

This package allows you to freely explore open-source implementations of some of our fundamental technologies under the GNU General Public License, Version 3.

Fortitudo Technologies is a fintech company offering novel software solutions as well as quantitative and digitalization consultancy to the investment management industry. For more information, please visit our website.

Installation Instructions

Installation can be done via pip:

pip install fortitudo.tech

For best performance, we recommend that you install the package into a conda environment and let conda handle the installation of dependencies before installing the package using pip. You can do this by following these steps:

conda create -n fortitudo.tech python=3.9 scipy -y
conda activate fortitudo.tech
conda install -c conda-forge cvxopt=1.2.6 -y
pip install fortitudo.tech

Contributing

You are very welcome to contribute to this package by forking the github repository and creating pull requests. Pull requests should always be sent to the dev branch. We especially appreciate contributions in relation to packaging, e.g., making the package available on conda-forge or improving pip dependencies.

Using the conda environment specified in the requirements.yml file and located in the root directory is the easiest way to start contributing to the code.

The style guide mostly follows PEP 8, but it uses some important modifications that can be found in .vscode/settings.json. If you use Visual Studio Code, you can use these settings to make sure that your code follows the basic rules of the style guide. The most important modifications/additions are:

We allow line length to be 99 characters for both code and docstrings,
We allow the use of capital I as a variable,
We use type hints introduced in PEP 484.

We generally follow naming conventions with descriptive variable and function names, but we often use short variable names for the very mathematical parts of the code to replicate the variables used in the references. We believe this makes it easier to link the code to the theory.

We encourage you to keep individual contributions small in addition to avoid imposing object-oriented design patterns. We are unlikely to accept contributions that use inheritance without exceptionally good reasons and encourage you to use composition instead.

Code of Conduct

We welcome feedback and bug reports, but we have very limited resources for support and feature requests.

If you experience bugs with some of the upstream packages, please report these directly to the maintainers of these packages.

Disclaimer

This package is completely separate from our proprietary solutions and therefore not representative of the functionality offered therein.

Comments

Bump certifi from 2022.9.24 to 2022.12.7
Bumps certifi from 2022.9.24 to 2022.12.7.

Commits

9e9e840 2022.12.07

See full diff in compare view

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dependencies
opened by dependabot[bot] 4
CodeQL implementation

A cron'ed , simple code analysis implementation by CodeQL to verify the integrity of the python project. A detailed summary is provided in the details for further analysis or rectification.

opened by GNRain 4
v0.5
functions initial commit

cov and corr bug fixes

Examples updated to use the new functions

Removed esbonio from vscode settings

docs update

import refactor

docstring update

Added functions unit tests

Minor improvements

Requirements update

poetry update
opened by antonvorobets 1
v0.4.2
Minor refactor of _dual_equality

Minor refactor of _hessian_equality

_dual_equality and entropy_pooling refactor

Test tol increase

Minor TNC improvements

Poetry update

Docs version update
opened by antonvorobets 1
v0.4.1
requirements update

Minor tests refactor

Updated time series data with credit spreads

Updated time series example to include credit spreads

Poetry update

Docs update
opened by antonvorobets 1
v0.4
Time series data and load_time_series function

European option pricing functionality

Renamed derivatives.py to option_pricing.py

docs update

Updated test_data to include time_series

Option pricing tests

Updated example names

Added time series example

Docs and README update

Minor examples updates

pyproject.toml update

poetry.lock update
opened by antonvorobets 1
v0.3
Initial MeanVariance commit

Added mean-variance efficient frontier

Removed mean_scalar

Optimization refactor

Initial docs update

Removed CVaR init ValueError raises

Various docs updates

Added load_parameters function

Added tests for load_pnl and load_parameters

Data docs updates

poetry updates

Examples update

Docs and typo update
opened by antonvorobets 1

Releases(v0.8.1)

v0.8.1(Dec 31, 2022)

MeanVariance objective scaling, publishing of poetry dependency updates and minor docs updates.
Source code(tar.gz)
Source code(zip)
v0.8(Dec 6, 2022)

Addition of exponentially decaying probabilities functionality and minor other improvements.
Source code(tar.gz)
Source code(zip)
v0.7.1(Nov 14, 2022)

Minor docs and readability improvements.
Source code(tar.gz)
Source code(zip)
v0.7(Oct 14, 2022)

Addition of portfolio risk functions, Entropy Pooling refactor, and several minor clean-ups.
Source code(tar.gz)
Source code(zip)
v0.6.1(Sep 14, 2022)

Minor logical readability improvement as well as docs and example updates.
Source code(tar.gz)
Source code(zip)
v0.6(Aug 16, 2022)

Addition of relative market values parameter v to MeanCVaR and MeanVariance.
Source code(tar.gz)
Source code(zip)
v0.5.2(Aug 1, 2022)

CVaR alpha bugfix and minor readability improvements
Source code(tar.gz)
Source code(zip)
v0.5.1(Jul 3, 2022)

Added portfolio optimization constraints feasibility check on init.
Source code(tar.gz)
Source code(zip)
v0.5(Jun 9, 2022)

Addition of correlation_matrix, covariance_matrix, and simulation_moments functions.
Source code(tar.gz)
Source code(zip)
v0.4.3(May 25, 2022)

Entropy Pooling speed-up.
Source code(tar.gz)
Source code(zip)
v0.4.2(May 17, 2022)

Entropy Pooling refactor.
Source code(tar.gz)
Source code(zip)
v0.4.1(Apr 28, 2022)

Update of time series simulation parameters and addition of credit spread curve.
Source code(tar.gz)
Source code(zip)
v0.4(Mar 17, 2022)

Addition of time series simulation and option pricing functionality.
Source code(tar.gz)
Source code(zip)
v0.3.3(Mar 13, 2022)

Python 3.10 compatibility, minor reordering in MeanCVaR class, and docs as well as installation instructions updates.
Source code(tar.gz)
Source code(zip)
v0.3.2(Feb 16, 2022)

Several minor internal improvements and docs updates. In addition, significant updates of examples.
Source code(tar.gz)
Source code(zip)
v0.3.1(Dec 31, 2021)

Several minor improvements.
Source code(tar.gz)
Source code(zip)
v0.3(Dec 23, 2021)

This release adds mean-variance optimization as well as load parameters functionality. Additionally, an example that compares mean-variance and mean-CVaR optimization has been added to illustrate why we use demeaned CVaR by default.
Source code(tar.gz)
Source code(zip)
v0.2.2(Dec 15, 2021)

benders_stopping_criteria clean-up, notebook examples and docs restructuring.
Source code(tar.gz)
Source code(zip)
v0.2.1(Oct 25, 2021)

Several internal improvements and docs updates.
Source code(tar.gz)
Source code(zip)
v0.2(Oct 21, 2021)

This version adds efficient_frontier and load_pnl functionality as well as an example replicating the results in Sequential Entropy Pooling Heuristics for the original Entropy Pooling approach.
Source code(tar.gz)
Source code(zip)
v0.1(Oct 14, 2021)

First release containing Entropy Pooling and efficient mean-CVaR optimization functionality.
Source code(tar.gz)
Source code(zip)

Owner

Fortitudo Technologies

Fortitudo Technologies' open-source code will be made available through this organization profile.

GitHub Repository

Investment and risk technologies maintained by Fortitudo Technologies.

Related tags

Overview

Fortitudo Technologies Open Source

Installation Instructions

Contributing

Code of Conduct

Disclaimer

Comments

Bump certifi from 2022.9.24 to 2022.12.7

CodeQL implementation

v0.5

v0.4.2

v0.4.1

v0.4

v0.3

Releases(v0.8.1)

v0.8.1(Dec 31, 2022)

v0.8(Dec 6, 2022)

v0.7.1(Nov 14, 2022)

v0.7(Oct 14, 2022)

v0.6.1(Sep 14, 2022)

v0.6(Aug 16, 2022)

v0.5.2(Aug 1, 2022)

v0.5.1(Jul 3, 2022)

v0.5(Jun 9, 2022)

v0.4.3(May 25, 2022)

v0.4.2(May 17, 2022)

v0.4.1(Apr 28, 2022)

v0.4(Mar 17, 2022)

v0.3.3(Mar 13, 2022)

v0.3.2(Feb 16, 2022)

v0.3.1(Dec 31, 2021)

v0.3(Dec 23, 2021)

v0.2.2(Dec 15, 2021)

v0.2.1(Oct 25, 2021)

v0.2(Oct 21, 2021)

v0.1(Oct 14, 2021)

Owner

Fortitudo Technologies

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