150 mypy (#151)

* pandas stubs installed

* pre-commit with command

* month

* portfolio

* fixing the builder

.pre-commit-config.yaml

@@ -24,3 +24,10 @@ repos:
   hooks:
   - id: markdownlint-fix
     args: ["--ignore", "book/**/*.md"]
+
+# type checking with mypy
+- repo: 'https://github.com/pre-commit/mirrors-mypy'
+  rev: v1.4.1
+  hooks:
+    - id: mypy
+      command: ".venv/bin/mypy --explicit-package-bases -p cvx.simulator"

cvx/simulator/builder.py

@@ -2,6 +2,7 @@
 from __future__ import annotations
 
 from dataclasses import dataclass, field
+from typing import Optional
 
 import pandas as pd
 
@@ -194,10 +195,10 @@ class _Builder:
     _state: _State = field(default_factory=_State)
     market_cap: pd.DataFrame = None
     trade_volume: pd.DataFrame = None
-    max_cap_fraction: float = None
-    min_cap_fraction: float = None
-    max_trade_fraction: float = None
-    min_trade_fraction: float = None
+    max_cap_fraction: Optional[float] = None
+    min_cap_fraction: Optional[float] = None
+    max_trade_fraction: Optional[float] = None
+    min_trade_fraction: Optional[float] = None
 
     def __post_init__(self):
         """

cvx/simulator/month.py

@@ -5,6 +5,8 @@
 from __future__ import annotations
 
 import calendar
+from datetime import datetime
+from typing import Dict
 
 import numpy as np
 import pandas as pd
@@ -17,7 +19,7 @@ def _compound(rets):
     return (1.0 + rets).prod() - 1.0
 
 
-def monthlytable(returns: pd.Series):
+def monthlytable(returns: Dict[datetime, float]) -> pd.DataFrame:
     """
     Get a table of monthly returns.
 
@@ -30,12 +32,13 @@ def monthlytable(returns: pd.Series):
 
     # Works better in the first month
     # Compute all the intramonth-returns, instead of reapplying some monthly resampling of the NAV
-    returns = returns.dropna()
+    r = pd.Series(returns)
+
+    r = r.dropna()
+    r.index = pd.DatetimeIndex(r.index)
 
     return_monthly = (
-        returns.groupby([returns.index.year, returns.index.month])
-        .apply(_compound)
-        .unstack(level=1)
+        r.groupby([r.index.year, r.index.month]).apply(_compound).unstack(level=1)
     )
 
     # make sure all months are in the table!

cvx/simulator/portfolio.py

@@ -3,6 +3,7 @@
 
 from dataclasses import dataclass
 from enum import Enum
+from typing import Optional
 
 import pandas as pd
 import quantstats as qs
@@ -82,7 +83,7 @@ class EquityPortfolio:
 
     prices: pd.DataFrame
     stocks: pd.DataFrame
-    trading_cost_model: TradingCostModel = None
+    trading_cost_model: Optional[TradingCostModel] = None
     initial_cash: float = 1e6
 
     def __post_init__(self):

pyproject.toml

@@ -8,10 +8,11 @@ repository = "https://github.com/cvxgrp/simulator"
 packages = [{include = "cvx"}]
 
 [tool.poetry.dependencies]
-python = ">=3.8,<4.0"
+python = ">=3.8,<3.12"
 numpy = "*"
 pandas = "*"
 quantstats = "*"
+pandas-stubs = "*"
 
 [tool.poetry.group.test.dependencies]
 pytest = "7.2.0"
@@ -35,6 +36,15 @@ plotly = "*"
 cvxpy = "*"
 loguru = "*"
 
+[tool.poetry.group.stubs.dependencies]
+mypy = "*"
+pandas-stubs = "*"
+#pandera = {version="*", extras = ["mypy"]}
+
+[tool.mypy]
+files = ["cvx/simulator"]
+explicit_package_bases = true
+
 [build-system]
 requires = ["poetry-core"]
 build-backend = "poetry.core.masonry.api"

tests/test_month.py

@@ -22,7 +22,7 @@ def test_table_compounded(resource_dir, returns):
     """
     series = returns.fillna(0.0)
     pd.testing.assert_frame_equal(
-        monthlytable(series),
+        monthlytable(series.to_dict()),
         pd.read_csv(resource_dir / "monthtable.csv", index_col=0),
         check_index_type=False,
     )
@@ -32,7 +32,7 @@ def test_table_compounded(resource_dir, returns):
     ts1.index = [int(a) for a in ts1.index]
 
     # use cvxsimulaor
-    ts2 = monthlytable(series)["YTD"]
+    ts2 = monthlytable(series.to_dict())["YTD"]
 
     pd.testing.assert_series_equal(ts1, ts2, check_names=False, check_index_type=False)
 
@@ -102,7 +102,7 @@ def test_missing():
         columns=[calendar.month_abbr[i] for i in range(1, 13)] + ["STDev", "YTD"],
     )
     pd.testing.assert_frame_equal(
-        monthlytable(returns),
+        monthlytable(returns.to_dict()),
         expected_output,
         check_names=False,
         check_index_type=False,
@@ -141,7 +141,7 @@ def test_not_a_complete_year():
         columns=[calendar.month_abbr[i] for i in range(1, 13)] + ["STDev", "YTD"],
     )
     pd.testing.assert_frame_equal(
-        monthlytable(returns),
+        monthlytable(returns.to_dict()),
         expected_output,
         check_names=False,
         check_index_type=False,