Investment and risk technologies maintained by Fortitudo Technologies.

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Data Visualizationfortitudo.tech
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:

  1. We allow line length to be 99 characters for both code and docstrings,
  2. We allow the use of capital I as a variable,
  3. 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

    Bump certifi from 2022.9.24 to 2022.12.7

    Bumps certifi from 2022.9.24 to 2022.12.7.

    Commits

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    dependencies 
    opened by dependabot[bot] 4
  • CodeQL implementation

    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

    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

    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

    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

    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

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