v0.6.1 (#41)

* Minor logical readability improvement

* Docs update

* Example 5 update with link to article

* poetry update

docs/build/html/_sources/documentation.rst.txt

@@ -73,8 +73,10 @@ with :math:`\mathcal{R}\left(e\right)` being the CVaR or variance for exposures
 
 .. math:: \mu'e&\geq\mu_{target},\\v'e&=1,\\Ge&\leq h,\\Ae&=b.
 
-Here, :math:`v\in\mathbb{R}^{I}` is a vector of relative market values. See example
-5 for how to use this parameter.
+Here, :math:`v\in\mathbb{R}^{I}` is the vector of relative market values introduced
+by :cite:t:`Vorobets2022a`. See `this example <https://github.com/fortitudo-tech/
+fortitudo.tech/blob/main/examples/5_DerivativesFramework.ipynb>`_ for how to use this
+parameter.
 
 A method for solving the CVaR problem was first introduced by :cite:t:`optCVaR`,
 while the implemented algorithm is based on :cite:t:`compCVaR`. The notation

docs/build/html/_sources/examples.rst.txt

@@ -13,7 +13,8 @@ The repository contains the following examples:
    CVaR as default
 4) An illustration of how to work with the time series simulation that follows
    with this package
-5) An example of how the :math:`v` parameter can be used in portfolio optimization.
+5) The accompanied code for :cite:t:`Vorobets2022a` with an example of how to use
+   the :math:`v` parameter for portfolio optimization
 
 The examples are good places to start exploring the functionality of this package.
 We have very limited resources for support in relation to these, but please let

docs/build/html/_static/basic.css

@@ -236,7 +236,6 @@ div.body p, div.body dd, div.body li, div.body blockquote {
 a.headerlink {
     visibility: hidden;
 }
-
 a.brackets:before,
 span.brackets > a:before{
     content: "[";
@@ -247,6 +246,7 @@ span.brackets > a:after {
     content: "]";
 }
 
+
 h1:hover > a.headerlink,
 h2:hover > a.headerlink,
 h3:hover > a.headerlink,
@@ -334,14 +334,12 @@ aside.sidebar {
 p.sidebar-title {
     font-weight: bold;
 }
-
-div.admonition, div.topic, aside.topic, blockquote {
+div.admonition, div.topic, blockquote {
     clear: left;
 }
 
 /* -- topics ---------------------------------------------------------------- */
-
-div.topic, aside.topic {
+div.topic {
     border: 1px solid #ccc;
     padding: 7px;
     margin: 10px 0 10px 0;
@@ -380,15 +378,13 @@ div.body p.centered {
 div.sidebar > :last-child,
 aside.sidebar > :last-child,
 div.topic > :last-child,
-aside.topic > :last-child,
 div.admonition > :last-child {
     margin-bottom: 0;
 }
 
 div.sidebar::after,
 aside.sidebar::after,
 div.topic::after,
-aside.topic::after,
 div.admonition::after,
 blockquote::after {
     display: block;
@@ -612,8 +608,6 @@ ol.simple p,
 ul.simple p {
     margin-bottom: 0;
 }
-
-/* Docutils 0.17 and older (footnotes & citations) */
 dl.footnote > dt,
 dl.citation > dt {
     float: left;
@@ -631,33 +625,6 @@ dl.citation > dd:after {
     clear: both;
 }
 
-/* Docutils 0.18+ (footnotes & citations) */
-aside.footnote > span,
-div.citation > span {
-    float: left;
-}
-aside.footnote > span:last-of-type,
-div.citation > span:last-of-type {
-  padding-right: 0.5em;
-}
-aside.footnote > p {
-  margin-left: 2em;
-}
-div.citation > p {
-  margin-left: 4em;
-}
-aside.footnote > p:last-of-type,
-div.citation > p:last-of-type {
-    margin-bottom: 0em;
-}
-aside.footnote > p:last-of-type:after,
-div.citation > p:last-of-type:after {
-    content: "";
-    clear: both;
-}
-
-/* Footnotes & citations ends */
-
 dl.field-list {
     display: grid;
     grid-template-columns: fit-content(30%) auto;
@@ -669,11 +636,11 @@ dl.field-list > dt {
     padding-left: 0.5em;
     padding-right: 5px;
 }
-
 dl.field-list > dt:after {
     content: ":";
 }
 
+
 dl.field-list > dd {
     padding-left: 0.5em;
     margin-top: 0em;

docs/build/html/_static/documentation_options.js

@@ -10,5 +10,5 @@ var DOCUMENTATION_OPTIONS = {
     SOURCELINK_SUFFIX: '.txt',
     NAVIGATION_WITH_KEYS: false,
     SHOW_SEARCH_SUMMARY: true,
-    ENABLE_SEARCH_SHORTCUTS: false,
+    ENABLE_SEARCH_SHORTCUTS: true,
 };

docs/build/html/_static/searchtools.js

@@ -88,7 +88,7 @@ const _displayItem = (item, highlightTerms, searchTerms) => {
   linkEl.href = linkUrl + "?" + params.toString() + anchor;
   linkEl.innerHTML = title;
   if (descr)
-    listItem.appendChild(document.createElement("span")).innerText =
+    listItem.appendChild(document.createElement("span")).innerHTML =
       " (" + descr + ")";
   else if (showSearchSummary)
     fetch(requestUrl)
@@ -155,10 +155,8 @@ const Search = {
   _pulse_status: -1,
 
   htmlToText: (htmlString) => {
-    const htmlElement = document
-      .createRange()
-      .createContextualFragment(htmlString);
-    _removeChildren(htmlElement.querySelectorAll(".headerlink"));
+    const htmlElement = new DOMParser().parseFromString(htmlString, 'text/html');
+    htmlElement.querySelectorAll(".headerlink").forEach((el) => { el.remove() });
     const docContent = htmlElement.querySelector('[role="main"]');
     if (docContent !== undefined) return docContent.textContent;
     console.warn(
@@ -504,21 +502,22 @@ const Search = {
    * latter for highlighting it.
    */
   makeSearchSummary: (htmlText, keywords, highlightWords) => {
-    const text = Search.htmlToText(htmlText).toLowerCase();
+    const text = Search.htmlToText(htmlText);
     if (text === "") return null;
 
+    const textLower = text.toLowerCase();
     const actualStartPosition = [...keywords]
-      .map((k) => text.indexOf(k.toLowerCase()))
+      .map((k) => textLower.indexOf(k.toLowerCase()))
       .filter((i) => i > -1)
       .slice(-1)[0];
     const startWithContext = Math.max(actualStartPosition - 120, 0);
 
     const top = startWithContext === 0 ? "" : "...";
     const tail = startWithContext + 240 < text.length ? "..." : "";
 
-    let summary = document.createElement("div");
+    let summary = document.createElement("p");
     summary.classList.add("context");
-    summary.innerText = top + text.substr(startWithContext, 240).trim() + tail;
+    summary.textContent = top + text.substr(startWithContext, 240).trim() + tail;
 
     highlightWords.forEach((highlightWord) =>
       _highlightText(summary, highlightWord, "highlighted")

docs/build/html/contributing.html

@@ -32,7 +32,7 @@
             <a href="index.html" class="icon icon-home"> fortitudo.tech
           </a>
               <div class="version">
-                v0.6
+                v0.6.1
               </div>
 <div role="search">
   <form id="rtd-search-form" class="wy-form" action="search.html" method="get">

docs/build/html/documentation.html

@@ -33,7 +33,7 @@
             <a href="index.html" class="icon icon-home"> fortitudo.tech
           </a>
               <div class="version">
-                v0.6
+                v0.6.1
               </div>
 <div role="search">
   <form id="rtd-search-form" class="wy-form" action="search.html" method="get">
@@ -100,7 +100,7 @@ <h2>Data<a class="headerlink" href="#data" title="Permalink to this heading">
 <span class="target" id="module-fortitudo.tech.data"></span><dl class="py function">
 <dt class="sig sig-object py" id="fortitudo.tech.data.load_parameters">
 <span class="sig-name descname"><span class="pre">load_parameters</span></span><span class="sig-paren">(</span><span class="sig-paren">)</span><a class="headerlink" href="#fortitudo.tech.data.load_parameters" title="Permalink to this definition"></a></dt>
-<dd><p>Function for loading the P&amp;L parameters from Vorobets (2022).</p>
+<dd><p>Function for loading the P&amp;L parameters from <a class="reference external" href="https://ssrn.com/abstract=4034316">https://ssrn.com/abstract=4034316</a>.</p>
 <dl class="field-list simple">
 <dt class="field-odd">Return type</dt>
 <dd class="field-odd"><p><code class="xref py py-data docutils literal notranslate"><span class="pre">Tuple</span></code>[<code class="xref py py-class docutils literal notranslate"><span class="pre">list</span></code>, <code class="xref py py-class docutils literal notranslate"><span class="pre">ndarray</span></code>, <code class="xref py py-class docutils literal notranslate"><span class="pre">ndarray</span></code>]</p>
@@ -114,7 +114,8 @@ <h2>Data<a class="headerlink" href="#data" title="Permalink to this heading">
 <dl class="py function">
 <dt class="sig sig-object py" id="fortitudo.tech.data.load_pnl">
 <span class="sig-name descname"><span class="pre">load_pnl</span></span><span class="sig-paren">(</span><span class="sig-paren">)</span><a class="headerlink" href="#fortitudo.tech.data.load_pnl" title="Permalink to this definition"></a></dt>
-<dd><p>Function for loading the P&amp;L simulation from Vorobets (2021).</p>
+<dd><p>Function for loading the P&amp;L simulation from <a class="reference external" href="https://ssrn.com/abstract=3936392">https://ssrn.com/abstract=3936392</a>
+and <a class="reference external" href="https://ssrn.com/abstract=4217884">https://ssrn.com/abstract=4217884</a>.</p>
 <dl class="field-list simple">
 <dt class="field-odd">Return type</dt>
 <dd class="field-odd"><p><code class="xref py py-class docutils literal notranslate"><span class="pre">DataFrame</span></code></p>
@@ -301,11 +302,12 @@ <h2>Portfolio Optimization<a class="headerlink" href="#portfolio-optimization" t
 <span class="math notranslate nohighlight">\(e\in\mathbb{R}^{I}\)</span>, subject to the constraints</p>
 <div class="math notranslate nohighlight">
 \[\begin{split}\mu'e&amp;\geq\mu_{target},\\v'e&amp;=1,\\Ge&amp;\leq h,\\Ae&amp;=b.\end{split}\]</div>
-<p>Here, <span class="math notranslate nohighlight">\(v\in\mathbb{R}^{I}\)</span> is a vector of relative market values. See example
-5 for how to use this parameter.</p>
-<p>A method for solving the CVaR problem was first introduced by <span id="id5">Rockafellar and Uryasev [<a class="reference internal" href="references.html#id4" title="R. Tyrrell Rockafellar and S. Uryasev. Optimization of conditional value-at-risk. Journal of Risk, 2(3):21-41, 2000. URL: https://doi.org/10.21314/JOR.2000.038.">2000</a>]</span>,
-while the implemented algorithm is based on <span id="id6">Künzi-Bay and Mayer [<a class="reference internal" href="references.html#id5" title="A. Künzi-Bay and J. Mayer. Computational aspects of minimizing conditional value-at-risk. CMS, 3:3–27, 2006. URL: https://doi.org/10.1007/s10287-005-0042-0.">2006</a>]</span>. The notation
-in relation to the P&amp;L simulations <span class="math notranslate nohighlight">\(R\)</span> follows <span id="id7">Vorobets [<a class="reference internal" href="references.html#id3" title="A. Vorobets. Sequential entropy pooling heuristics. SSRN, 2021. URL: https://ssrn.com/abstract=3936392.">2021</a>]</span>.
+<p>Here, <span class="math notranslate nohighlight">\(v\in\mathbb{R}^{I}\)</span> is the vector of relative market values introduced
+by <span id="id5">Vorobets [<a class="reference internal" href="references.html#id7" title="A. Vorobets. Portfolio management framework for derivative instruments. SSRN, 2022. URL: https://ssrn.com/abstract=4217884.">2022</a>]</span>. See <a class="reference external" href="https://github.com/fortitudo-tech/fortitudo.tech/blob/main/examples/5_DerivativesFramework.ipynb">this example</a> for how to use this
+parameter.</p>
+<p>A method for solving the CVaR problem was first introduced by <span id="id6">Rockafellar and Uryasev [<a class="reference internal" href="references.html#id4" title="R. Tyrrell Rockafellar and S. Uryasev. Optimization of conditional value-at-risk. Journal of Risk, 2(3):21-41, 2000. URL: https://doi.org/10.21314/JOR.2000.038.">2000</a>]</span>,
+while the implemented algorithm is based on <span id="id7">Künzi-Bay and Mayer [<a class="reference internal" href="references.html#id5" title="A. Künzi-Bay and J. Mayer. Computational aspects of minimizing conditional value-at-risk. CMS, 3:3–27, 2006. URL: https://doi.org/10.1007/s10287-005-0042-0.">2006</a>]</span>. The notation
+in relation to the P&amp;L simulations <span class="math notranslate nohighlight">\(R\)</span> follows <span id="id8">Vorobets [<a class="reference internal" href="references.html#id3" title="A. Vorobets. Sequential entropy pooling heuristics. SSRN, 2021. URL: https://ssrn.com/abstract=3936392.">2021</a>]</span>.
 For the variance risk measure, a standard quadratic programming solver is used.</p>
 <span class="target" id="module-fortitudo.tech.optimization"></span><dl class="py class">
 <dt class="sig sig-object py" id="fortitudo.tech.optimization.MeanCVaR">

docs/build/html/examples.html

@@ -33,7 +33,7 @@
             <a href="index.html" class="icon icon-home"> fortitudo.tech
           </a>
               <div class="version">
-                v0.6
+                v0.6.1
               </div>
 <div role="search">
   <form id="rtd-search-form" class="wy-form" action="search.html" method="get">
@@ -87,7 +87,8 @@ <h1>Examples<a class="headerlink" href="#examples" title="Permalink to this head
 CVaR as default</p></li>
 <li><p>An illustration of how to work with the time series simulation that follows
 with this package</p></li>
-<li><p>An example of how the <span class="math notranslate nohighlight">\(v\)</span> parameter can be used in portfolio optimization.</p></li>
+<li><p>The accompanied code for <span id="id3">Vorobets [<a class="reference internal" href="references.html#id7" title="A. Vorobets. Portfolio management framework for derivative instruments. SSRN, 2022. URL: https://ssrn.com/abstract=4217884.">2022</a>]</span> with an example of how to use
+the <span class="math notranslate nohighlight">\(v\)</span> parameter for portfolio optimization</p></li>
 </ol>
 <p>The examples are good places to start exploring the functionality of this package.
 We have very limited resources for support in relation to these, but please let

docs/build/html/genindex.html

@@ -29,7 +29,7 @@
             <a href="index.html" class="icon icon-home"> fortitudo.tech
           </a>
               <div class="version">
-                v0.6
+                v0.6.1
               </div>
 <div role="search">
   <form id="rtd-search-form" class="wy-form" action="search.html" method="get">

docs/build/html/index.html

@@ -31,7 +31,7 @@
             <a href="#" class="icon icon-home"> fortitudo.tech
           </a>
               <div class="version">
-                v0.6
+                v0.6.1
               </div>
 <div role="search">
   <form id="rtd-search-form" class="wy-form" action="search.html" method="get">

docs/build/html/installation.html

@@ -32,7 +32,7 @@
             <a href="index.html" class="icon icon-home"> fortitudo.tech
           </a>
               <div class="version">
-                v0.6
+                v0.6.1
               </div>
 <div role="search">
   <form id="rtd-search-form" class="wy-form" action="search.html" method="get">

docs/build/html/objects.inv

@@ -1,6 +1,6 @@
 # Sphinx inventory version 2
 # Project: fortitudo.tech
-# Version: v0.6
+# Version: v0.6.1
 # The remainder of this file is compressed using zlib.
 xڵ��N�0��y
 K�m��-[~��@ @l������5�Q��c�Mqh�i���s>��GnG�-��n����˞ڠQ�-�У���z�{�'�-.Ģ�ݵ&h=zd�h]02����{��'��q�

docs/build/html/py-modindex.html

@@ -32,7 +32,7 @@
             <a href="index.html" class="icon icon-home"> fortitudo.tech
           </a>
               <div class="version">
-                v0.6
+                v0.6.1
               </div>
 <div role="search">
   <form id="rtd-search-form" class="wy-form" action="search.html" method="get">

docs/build/html/references.html

@@ -31,7 +31,7 @@
             <a href="index.html" class="icon icon-home"> fortitudo.tech
           </a>
               <div class="version">
-                v0.6
+                v0.6.1
               </div>
 <div role="search">
   <form id="rtd-search-form" class="wy-form" action="search.html" method="get">
@@ -88,7 +88,10 @@ <h1>References<a class="headerlink" href="#references" title="Permalink to this
 <dt class="label" id="id3"><span class="brackets">4</span></dt>
 <dd><p>A. Vorobets. Sequential entropy pooling heuristics. <em>SSRN</em>, 2021. URL: <a class="reference external" href="https://ssrn.com/abstract=3936392">https://ssrn.com/abstract=3936392</a>.</p>
 </dd>
-<dt class="label" id="id6"><span class="brackets">5</span></dt>
+<dt class="label" id="id7"><span class="brackets">5</span></dt>
+<dd><p>A. Vorobets. Portfolio management framework for derivative instruments. <em>SSRN</em>, 2022. URL: <a class="reference external" href="https://ssrn.com/abstract=4217884">https://ssrn.com/abstract=4217884</a>.</p>
+</dd>
+<dt class="label" id="id6"><span class="brackets">6</span></dt>
 <dd><p>A. Vorobets. Variance for intuition, cvar for optimization. <em>SSRN</em>, 2022. URL: <a class="reference external" href="https://ssrn.com/abstract=4034316">https://ssrn.com/abstract=4034316</a>.</p>
 </dd>
 </dl>

docs/build/html/search.html

@@ -32,7 +32,7 @@
             <a href="index.html" class="icon icon-home"> fortitudo.tech
           </a>
               <div class="version">
-                v0.6
+                v0.6.1
               </div>
 <div role="search">
   <form id="rtd-search-form" class="wy-form" action="#" method="get">