pyvallocation.utils package

Submodules

• pyvallocation.utils.constraints Module
  • Functions
    • build_G_h_A_b()
• pyvallocation.utils.data_helpers module
  • numpy_weights_to_pandas_series()
  • pandas_to_numpy_returns()
  • Functions
• pyvallocation.utils.functions module
  • portfolio_cvar()
  • portfolio_var()
  • portfolio_variance()
  • portfolio_volatility()
• Performance Utilities
  • drawdown_quantile()
  • horizon_report()
  • performance_report()
  • scenario_pnl()
• pyvallocation.utils.projection module
  • compose_repricers()
  • convert_scenarios_compound_to_simple()
  • convert_scenarios_simple_to_compound()
  • log2simple()
  • make_repricing_fn()
  • project_mean_covariance()
  • project_risk_drivers()
  • project_scenarios()
  • reprice_exp()
  • reprice_taylor()
  • simple2log()
  • simulate_paths()
• pyvallocation.utils.validation module
  • check_non_negativity()
  • check_weights_sum_to_one()
  • ensure_psd_matrix()
  • is_psd()
• pyvallocation.utils.weights module
  • ensure_samples_matrix()
  • normalize_weights()
  • wrap_exposure_vector()

Module contents

Utility helpers used across pyvallocation.