portfolio covariance VAR

Cargo.lock

@@ -183,6 +183,17 @@ dependencies = [
  "wasm-bindgen",
 ]
 
+[[package]]
+name = "console_log"
+version = "1.0.0"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "be8aed40e4edbf4d3b4431ab260b63fdc40f5780a4766824329ea0f1eefe3c0f"
+dependencies = [
+ "log",
+ "wasm-bindgen",
+ "web-sys",
+]
+
 [[package]]
 name = "crossbeam-deque"
 version = "0.8.6"
@@ -258,6 +269,7 @@ dependencies = [
  "pyo3",
  "rayon",
  "statrs",
+ "wasm-bindgen",
 ]
 
 [[package]]
@@ -274,7 +286,9 @@ name = "finlib-wasm"
 version = "0.0.1"
 dependencies = [
  "console_error_panic_hook",
+ "console_log",
  "finlib",
+ "log",
  "wasm-bindgen",
  "wasm-bindgen-test",
 ]

Cargo.toml

@@ -30,6 +30,7 @@ ndarray-stats = "0.6.0"
 nalgebra = "0.33.2"
 statrs = "0.18.0"
 log = "0.4.25"
+wasm-bindgen = "0.2.100"
 pyo3 = { version = "0.23.4", features = ["extension-module", "abi3-py38"] }
 pyo3-log = "0.12.1"
 

finlib-ffi/Cargo.toml

@@ -13,7 +13,7 @@ readme.workspace = true
 crate-type = ["cdylib"]
 
 [dependencies]
-finlib = { path = "../finlib" }
+finlib = { path = "../finlib", features = ["ffi"] }
 
 [build-dependencies]
 cbindgen = "0.28.0"

finlib-wasm/Cargo.toml

@@ -16,8 +16,10 @@ crate-type = ["cdylib", "rlib"]
 default = ["console_error_panic_hook"]
 
 [dependencies]
-wasm-bindgen = "0.2.100"
+wasm-bindgen = { workspace = true }
 finlib = { path = "../finlib", features = ["wasm"] }
+log = { workspace = true }
+console_log = { version = "1.0.0", features = ["color"] }
 
 # The `console_error_panic_hook` crate provides better debugging of panics by
 # logging them with `console.error`. This is great for development, but requires

finlib-wasm/src/lib.rs

@@ -1,4 +1,13 @@
 use wasm_bindgen::prelude::wasm_bindgen;
+use console_log;
+use log::Level;
+
+#[wasm_bindgen(start)]
+fn start() {
+    if let Err(_) = console_log::init_with_level(Level::Debug) {
+
+    }
+}
 
 #[wasm_bindgen]
 pub struct Interest { }

finlib/Cargo.toml

@@ -11,6 +11,7 @@ documentation.workspace = true
 readme.workspace = true
 
 [dependencies]
+wasm-bindgen = { workspace = true, optional = true }
 pyo3 = { workspace = true, optional = true }
 rayon = { workspace = true, optional = true }
 ndarray = { workspace = true }
@@ -22,5 +23,6 @@ getrandom = "*"
 
 [features]
 py = ["dep:pyo3"]
-wasm = ["getrandom/js"]
+wasm = ["getrandom/js", "dep:wasm-bindgen"]
-parallel = ["dep:rayon"]
+parallel = ["dep:rayon"]
+ffi = []

finlib/src/lib.rs

@@ -1,4 +1,6 @@
 pub mod interest;
 pub mod stats;
 pub mod util;
-pub mod risk;
+pub mod risk;
+#[cfg(feature = "py")]
+pub mod py;

finlib/src/py/mod.rs

@@ -0,0 +1,30 @@
+use pyo3::prelude::*;
+use crate::risk::portfolio::{Portfolio, PortfolioAsset};
+
+#[pymethods]
+impl Portfolio {
+
+    #[new]
+    pub fn init(assets: Vec<PortfolioAsset>) -> Self {
+        Portfolio::from(assets)
+    }
+
+    #[pyo3(name = "is_valid")]
+    pub fn is_valid_py(&self) -> bool {
+        self.is_valid()
+    }
+
+    #[pyo3(name = "value_at_risk")]
+    pub fn value_at_risk_py(&mut self, confidence: f64) -> PyResult<Option<f64>> {
+        Ok(self.value_at_risk(confidence))
+    }
+}
+
+#[pymethods]
+impl PortfolioAsset {
+
+    #[new]
+    pub fn init(portfolio_weight: f64, name: String, values: Vec<f64>) -> Self {
+        PortfolioAsset::new(portfolio_weight, name, values)
+    }
+}

finlib/src/risk/mod.rs

@@ -1 +1,2 @@
-pub mod var;
+pub mod var;
+pub mod portfolio;

finlib/src/risk/portfolio.rs

@@ -0,0 +1,201 @@
+use ndarray::prelude::*;
+use ndarray_stats::CorrelationExt;
+#[cfg(feature = "wasm")]
+use wasm_bindgen::prelude::*;
+#[cfg(feature = "py")]
+use pyo3::prelude::*;
+use crate::risk::var::varcovar::portfolio_value_at_risk;
+use crate::stats;
+use crate::util::roc::rates_of_change;
+
+#[cfg_attr(feature = "wasm", wasm_bindgen)]
+#[cfg_attr(feature = "py", pyclass)]
+#[cfg_attr(feature = "ffi", repr(C))]
+#[derive(Clone)]
+pub struct Portfolio {
+    assets: Vec<PortfolioAsset>
+}
+
+#[cfg_attr(feature = "wasm", wasm_bindgen)]
+#[cfg_attr(feature = "py", pyclass)]
+#[repr(u8)]
+#[derive(Clone, Copy, Debug, Eq, PartialEq, Ord, PartialOrd)]
+pub enum ValueType {
+    Absolute,
+    RateOfChange
+}
+
+#[cfg_attr(feature = "wasm", wasm_bindgen)]
+#[cfg_attr(feature = "py", pyclass)]
+#[cfg_attr(feature = "ffi", repr(C))]
+#[derive(Clone)]
+pub struct PortfolioAsset {
+    portfolio_weight: f64,
+    name: String,
+    values: Vec<f64>,
+    value_type: ValueType
+}
+
+impl PortfolioAsset {
+    pub fn new(portfolio_weight: f64, name: String, values: Vec<f64>) -> PortfolioAsset {
+        PortfolioAsset {
+            portfolio_weight, name, values, value_type: ValueType::Absolute
+        }
+    }
+
+    pub fn apply_rates_of_change(&mut self) {
+        match self.value_type {
+            ValueType::Absolute => {
+                self.values = rates_of_change(&self.values).collect();
+                self.value_type = ValueType::RateOfChange;
+            }
+            _ => {}
+        }
+    }
+
+    pub fn get_mean_and_std(&self) -> Option<(f64, f64)> {
+        match self.value_type {
+            ValueType::Absolute => {
+                let roc = rates_of_change(&self.values).collect::<Vec<f64>>();
+                Some((stats::mean(&roc), stats::sample_std_dev(&roc)))
+            }
+            ValueType::RateOfChange => {
+                Some((stats::mean(&self.values), stats::sample_std_dev(&self.values)))
+            }
+        }
+    }
+}
+
+impl Portfolio {
+    pub fn from(assets: Vec<PortfolioAsset>) -> Portfolio {
+        Portfolio {
+            assets
+        }
+    }
+
+    pub fn get_asset_weight(&self) -> impl Iterator<Item=f64> + use<'_> {
+        self.assets
+            .iter()
+            .map(|x| x.portfolio_weight)
+    }
+
+    pub fn apply_rates_of_change(&mut self) {
+        for asset in self.assets.iter_mut() {
+            asset.apply_rates_of_change();
+        }
+    }
+
+    pub fn valid_sizes(&self) -> bool {
+        let mut last_value_length: Option<usize> = None;
+
+        for asset in &self.assets {
+            match last_value_length {
+                None => {
+                    last_value_length = Some(asset.values.len());
+                }
+                Some(l) => {
+                    if l != asset.values.len() {
+                        return false;
+                    }
+                    last_value_length = Some(asset.values.len());
+                }
+            }
+        }
+
+        true
+    }
+
+    pub fn valid_weights(&self) -> bool {
+        let mut weight = 1 as f64;
+
+        for asset in &self.assets {
+            weight -= asset.portfolio_weight;
+        }
+
+        f64::abs(weight) < 0.01
+    }
+
+    pub fn is_valid(&self) -> bool {
+        self.valid_sizes() && self.valid_weights()
+    }
+
+    pub fn get_matrix(&self) -> Option<Array2<f64>> {
+        if self.assets.is_empty() || !self.valid_sizes() {
+            return None;
+        }
+
+        let column_count = self.assets.len();
+        let row_count = self.assets[0].values.len();
+
+        let matrix = Array2::from_shape_vec((column_count, row_count),
+            self.assets
+                .iter()
+                .map(|a| a.values.clone())
+                .flatten()
+                .collect::<Vec<f64>>()
+        ).unwrap();
+
+        Some(matrix.into_owned())
+    }
+
+    pub fn get_mean_and_std(&mut self) -> Option<(f64, f64)> {
+        if !self.valid_sizes() {
+            return None;
+        }
+
+        self.apply_rates_of_change();
+        let m = self.get_matrix();
+        if m.is_none() {
+            return None;
+        }
+        let m = m.unwrap();
+
+        let cov = m.cov(1.);
+        if cov.is_err() {
+            return None;
+        }
+        let cov = cov.unwrap();
+        let mean_return = m.mean_axis(Axis(1));
+        if mean_return.is_none() {
+            return None;
+        }
+        let mean_return = mean_return.unwrap();
+        let asset_weights = Array::from_vec(
+            self.get_asset_weight().collect::<Vec<f64>>()
+        ).to_owned();
+
+        let porfolio_mean_return = mean_return.dot(&asset_weights);
+        let portfolio_stddev = f64::sqrt(asset_weights.t().dot(&cov).dot(&asset_weights));
+
+        Some((porfolio_mean_return, portfolio_stddev))
+    }
+
+    pub fn value_at_risk(&mut self, confidence: f64) -> Option<f64> {
+        portfolio_value_at_risk(self, confidence)
+    }
+}
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+
+    #[test]
+    fn var_test() {
+        let assets = vec![
+            PortfolioAsset::new(0.3, "awdad".to_string(), vec![2f64, 3f64, 4f64]),
+            PortfolioAsset::new(0.7, "awdad".to_string(), vec![1f64, 6f64, 8f64]),
+        ];
+
+        let m = Portfolio::from(assets).get_matrix().unwrap();
+        println!("matrix 0; {:?}", m);
+
+        let col = m.row(0);
+        println!("column 0; {:?}", col);
+        let cov = m.cov(1.);
+
+        println!("cov 0; {:?}", cov);
+
+
+        col.len();
+    }
+}

finlib/src/risk/var/mod.rs

@@ -1,2 +1,2 @@
 pub mod historical;
-pub mod varcovar;
+pub mod varcovar;

finlib/src/risk/var/varcovar.rs

@@ -1,10 +1,11 @@
-use crate::util::roc::rates_of_change;
 use crate::stats;
+use crate::util::roc::rates_of_change;
+use ndarray_stats::CorrelationExt;
 
+use crate::risk::portfolio::Portfolio;
 #[cfg(feature = "parallel")]
 use rayon::prelude::*;
 use statrs::distribution::{ContinuousCDF, Normal};
-
 // https://medium.com/@serdarilarslan/value-at-risk-var-and-its-implementation-in-python-5c9150f73b0e
 
 pub fn value_at_risk(values: &[f64], confidence: f64) -> f64 {
@@ -16,4 +17,44 @@ pub fn value_at_risk(values: &[f64], confidence: f64) -> f64 {
     let n = Normal::new(0.0, 1.0).unwrap();
 
     mean + std_dev * n.inverse_cdf(confidence)
+}
+
+pub fn portfolio_value_at_risk(portfolio: &mut Portfolio, confidence: f64) -> Option<f64> {
+    match portfolio.get_mean_and_std() {
+        None => None,
+        Some((mean, std_dev)) => {
+            let n = Normal::new(0.0, 1.0).unwrap();
+            Some(mean + std_dev * n.inverse_cdf(confidence))
+        }
+    }
+}
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+    use crate::risk::portfolio::PortfolioAsset;
+
+    #[test]
+    fn var_test() {
+        let assets = vec![
+            PortfolioAsset::new(0.3, "awdad".to_string(), vec![2f64, 3f64, 4f64]),
+            PortfolioAsset::new(0.7, "awdad".to_string(), vec![1f64, 6f64, 8f64]),
+        ];
+
+        let mut portfolio = Portfolio::from(assets);
+
+        portfolio_value_at_risk(&mut portfolio, 0.1);
+
+    }
+
+    #[test]
+    fn var_test_one_asset() {
+        let assets = vec![
+            PortfolioAsset::new(0.3, "awdad".to_string(), vec![2f64, 3f64, 4f64])
+        ];
+
+        let mut portfolio = Portfolio::from(assets);
+
+        portfolio_value_at_risk(&mut portfolio, 0.1);
+    }
 }

pyfinlib/src/lib.rs

@@ -4,6 +4,11 @@ use pyo3::prelude::*;
 mod pyfinlib {
     use super::*;
 
+    #[pymodule_export]
+    use finlib::risk::portfolio::Portfolio;
+    #[pymodule_export]
+    use finlib::risk::portfolio::PortfolioAsset;
+
     #[pymodule_init]
     fn init(m: &Bound<'_, PyModule>) -> PyResult<()> {
         pyo3_log::init();