replaced edollar with sofr

Author: rob

examples/introduction/simplesystem.py

@@ -39,7 +39,7 @@
 my_system = System([my_rules], data)
 print(my_system)
 
-print(my_system.rules.get_raw_forecast("EDOLLAR", "ewmac").tail(5))
+print(my_system.rules.get_raw_forecast("SOFR", "ewmac").tail(5))
 """
 Define a TradingRule
 """
@@ -59,7 +59,7 @@
 print(my_rules.trading_rules()["ewmac32"])
 
 my_system = System([my_rules], data)
-my_system.rules.get_raw_forecast("EDOLLAR", "ewmac32").tail(5)
+my_system.rules.get_raw_forecast("SOFR", "ewmac32").tail(5)
 
 from sysdata.config.configdata import Config
 
@@ -69,25 +69,25 @@
 empty_rules = Rules()
 my_config.trading_rules = dict(ewmac8=ewmac_8, ewmac32=ewmac_32)
 my_system = System([empty_rules], data, my_config)
-my_system.rules.get_raw_forecast("EDOLLAR", "ewmac32").tail(5)
+my_system.rules.get_raw_forecast("SOFR", "ewmac32").tail(5)
 
 from systems.forecast_scale_cap import ForecastScaleCap
 
 # we can estimate these ourselves
-my_config.instruments = ["US10", "EDOLLAR", "CORN", "SP500_micro"]
+my_config.instruments = ["US10", "SOFR", "CORN", "SP500_micro"]
 my_config.use_forecast_scale_estimates = True
 
 fcs = ForecastScaleCap()
 my_system = System([fcs, my_rules], data, my_config)
 my_config.forecast_scalar_estimate["pool_instruments"] = False
-print(my_system.forecastScaleCap.get_forecast_scalar("EDOLLAR", "ewmac32").tail(5))
+print(my_system.forecastScaleCap.get_forecast_scalar("SOFR", "ewmac32").tail(5))
 
 # or we can use the values from the book
 my_config.forecast_scalars = dict(ewmac8=5.3, ewmac32=2.65)
 my_config.use_forecast_scale_estimates = False
 fcs = ForecastScaleCap()
 my_system = System([fcs, my_rules], data, my_config)
-print(my_system.forecastScaleCap.get_capped_forecast("EDOLLAR", "ewmac32").tail(5))
+print(my_system.forecastScaleCap.get_capped_forecast("SOFR", "ewmac32").tail(5))
 """
 combine some rules
 """
@@ -97,8 +97,8 @@
 # defaults
 combiner = ForecastCombine()
 my_system = System([fcs, my_rules, combiner], data, my_config)
-print(my_system.combForecast.get_forecast_weights("EDOLLAR").tail(5))
-print(my_system.combForecast.get_forecast_diversification_multiplier("EDOLLAR").tail(5))
+print(my_system.combForecast.get_forecast_weights("SOFR").tail(5))
+print(my_system.combForecast.get_forecast_diversification_multiplier("SOFR").tail(5))
 
 # estimates:
 from systems.accounts.accounts_stage import Account
@@ -135,7 +135,7 @@
 my_system = System(
     [fcs, empty_rules, combiner, raw_data, position_size], data, my_config
 )  # no need for accounts if no estimation done
-my_system.combForecast.get_combined_forecast("EDOLLAR").tail(5)
+my_system.combForecast.get_combined_forecast("SOFR").tail(5)
 
 # size positions
 
@@ -146,13 +146,13 @@
 
 my_system = System([fcs, my_rules, combiner, possizer, raw_data], data, my_config)
 
-print(my_system.positionSize.get_price_volatility("EDOLLAR").tail(5))
-print(my_system.positionSize.get_block_value("EDOLLAR").tail(5))
-print(my_system.positionSize.get_underlying_price("EDOLLAR"))
-print(my_system.positionSize.get_instrument_value_vol("EDOLLAR").tail(5))
-print(my_system.positionSize.get_volatility_scalar("EDOLLAR").tail(5))
+print(my_system.positionSize.get_price_volatility("SOFR").tail(5))
+print(my_system.positionSize.get_block_value("SOFR").tail(5))
+print(my_system.positionSize.get_underlying_price("SOFR"))
+print(my_system.positionSize.get_instrument_value_vol("SOFR").tail(5))
+print(my_system.positionSize.get_volatility_scalar("SOFR").tail(5))
 print(my_system.positionSize.get_vol_target_dict())
-print(my_system.positionSize.get_subsystem_position("EDOLLAR").tail(5))
+print(my_system.positionSize.get_subsystem_position("SOFR").tail(5))
 
 # portfolio - estimated
 from systems.portfolio import Portfolios
@@ -178,14 +178,14 @@
 portfolio = Portfolios()
 my_config.use_instrument_weight_estimates = False
 my_config.use_instrument_div_mult_estimates = False
-my_config.instrument_weights = dict(US10=0.1, EDOLLAR=0.4, CORN=0.3, SP500=0.2)
+my_config.instrument_weights = dict(US10=0.1, SOFR=0.4, CORN=0.3, SP500=0.2)
 my_config.instrument_div_multiplier = 1.5
 
 my_system = System(
     [fcs, my_rules, combiner, possizer, portfolio, raw_data], data, my_config
 )
 
-print(my_system.portfolio.get_notional_position("EDOLLAR").tail(5))
+print(my_system.portfolio.get_notional_position("SOFR").tail(5))
 """
 Have we made some dosh?
 """
@@ -207,7 +207,7 @@
 my_config = Config(
     dict(
         trading_rules=dict(ewmac8=ewmac_8, ewmac32=ewmac_32),
-        instrument_weights=dict(US10=0.1, EDOLLAR=0.4, CORN=0.3, SP500_micro=0.2),
+        instrument_weights=dict(US10=0.1, SOFR=0.4, CORN=0.3, SP500_micro=0.2),
         instrument_div_multiplier=1.5,
         forecast_scalars=dict(ewmac8=5.3, ewmac32=2.65),
         forecast_weights=dict(ewmac8=0.5, ewmac32=0.5),
@@ -231,7 +231,7 @@
     data,
     my_config,
 )
-print(my_system.portfolio.get_notional_position("EDOLLAR").tail(5))
+print(my_system.portfolio.get_notional_position("SOFR").tail(5))
 """
 ... or to import one
 """
@@ -250,13 +250,13 @@
     data,
     my_config,
 )
-print(my_system.rules.get_raw_forecast("EDOLLAR", "ewmac32").tail(5))
-print(my_system.rules.get_raw_forecast("EDOLLAR", "ewmac8").tail(5))
-print(my_system.forecastScaleCap.get_capped_forecast("EDOLLAR", "ewmac32").tail(5))
-print(my_system.forecastScaleCap.get_forecast_scalar("EDOLLAR", "ewmac32"))
-print(my_system.combForecast.get_combined_forecast("EDOLLAR").tail(5))
-print(my_system.combForecast.get_forecast_weights("EDOLLAR").tail(5))
+print(my_system.rules.get_raw_forecast("SOFR", "ewmac32").tail(5))
+print(my_system.rules.get_raw_forecast("SOFR", "ewmac8").tail(5))
+print(my_system.forecastScaleCap.get_capped_forecast("SOFR", "ewmac32").tail(5))
+print(my_system.forecastScaleCap.get_forecast_scalar("SOFR", "ewmac32"))
+print(my_system.combForecast.get_combined_forecast("SOFR").tail(5))
+print(my_system.combForecast.get_forecast_weights("SOFR").tail(5))
 
-print(my_system.positionSize.get_subsystem_position("EDOLLAR").tail(5))
+print(my_system.positionSize.get_subsystem_position("SOFR").tail(5))
 
-print(my_system.portfolio.get_notional_position("EDOLLAR").tail(5))
+print(my_system.portfolio.get_notional_position("SOFR").tail(5))

systems/provided/futures_chapter15/futuresestimateconfig.yaml

@@ -90,5 +90,5 @@ base_currency: "USD"
 #
 # Portfolio creation
 #
-instruments: ['EDOLLAR','US10','EUROSTX', 'MXP', 'CORN', 'V2X']
+instruments: ['SOFR','US10','EUROSTX', 'MXP', 'CORN', 'V2X']
 

systems/rawdata.py

@@ -105,7 +105,7 @@ def daily_returns(self, instrument_code: str) -> pd.Series:
         >>>
         >>> (rawdata, data, config)=get_test_object()
         >>> system=System([rawdata], data)
-        >>> system.rawdata.daily_returns("EDOLLAR").tail(2)
+        >>> system.rawdata.daily_returns("SOFR").tail(2)
                      price
         2015-12-10 -0.0650
         2015-12-11  0.1075
@@ -145,22 +145,22 @@ def daily_returns_volatility(self, instrument_code: str) -> pd.Series:
         >>> (rawdata, data, config)=get_test_object()
         >>> system=System([rawdata], data)
         >>> ## uses defaults
-        >>> system.rawdata.daily_returns_volatility("EDOLLAR").tail(2)
+        >>> system.rawdata.daily_returns_volatility("SOFR").tail(2)
                          vol
         2015-12-10  0.054145
         2015-12-11  0.058522
         >>>
         >>> from sysdata.config.configdata import Config
         >>> config=Config("systems.provided.example.exampleconfig.yaml")
         >>> system=System([rawdata], data, config)
-        >>> system.rawdata.daily_returns_volatility("EDOLLAR").tail(2)
+        >>> system.rawdata.daily_returns_volatility("SOFR").tail(2)
                          vol
         2015-12-10  0.054145
         2015-12-11  0.058522
         >>>
         >>> config=Config(dict(volatility_calculation=dict(func="sysquant.estimators.vol.robust_vol_calc", days=200)))
         >>> system2=System([rawdata], data, config)
-        >>> system2.rawdata.daily_returns_volatility("EDOLLAR").tail(2)
+        >>> system2.rawdata.daily_returns_volatility("SOFR").tail(2)
                          vol
         2015-12-10  0.057946
         2015-12-11  0.058626
@@ -222,7 +222,7 @@ def get_daily_percentage_volatility(self, instrument_code: str) -> pd.Series:
         >>>
         >>> (rawdata, data, config)=get_test_object()
         >>> system=System([rawdata], data)
-        >>> system.rawdata.get_daily_percentage_volatility("EDOLLAR").tail(2)
+        >>> system.rawdata.get_daily_percentage_volatility("SOFR").tail(2)
                          vol
         2015-12-10  0.055281
         2015-12-11  0.059789
@@ -252,7 +252,7 @@ def get_daily_vol_normalised_returns(self, instrument_code: str) -> pd.Series:
         >>>
         >>> (rawdata, data, config)=get_test_object()
         >>> system=System([rawdata], data)
-        >>> system.rawdata.get_daily_vol_normalised_returns("EDOLLAR").tail(2)
+        >>> system.rawdata.get_daily_vol_normalised_returns("SOFR").tail(2)
                     norm_return
         2015-12-10    -1.219510
         2015-12-11     1.985413
@@ -408,7 +408,7 @@ def get_instrument_raw_carry_data(self, instrument_code: str) -> rawCarryData:
         >>> from systems.basesystem import System
         >>> (data, config)=get_test_object_futures()
         >>> system=System([RawData()], data)
-        >>> system.rawdata.get_instrument_raw_carry_data("EDOLLAR").tail(2)
+        >>> system.rawdata.get_instrument_raw_carry_data("SOFR").tail(2)
                                PRICE  CARRY CARRY_CONTRACT PRICE_CONTRACT
         2015-12-11 17:08:14  97.9675    NaN         201812         201903
         2015-12-11 19:33:39  97.9875    NaN         201812         201903
@@ -439,7 +439,7 @@ def raw_futures_roll(self, instrument_code: str) -> pd.Series:
         >>> from systems.basesystem import System
         >>> (data, config)=get_test_object_futures()
         >>> system=System([RawData()], data)
-        >>> system.rawdata.raw_futures_roll("EDOLLAR").ffill().tail(2)
+        >>> system.rawdata.raw_futures_roll("SOFR").ffill().tail(2)
         2015-12-11 17:08:14   -0.07
         2015-12-11 19:33:39   -0.07
         dtype: float64
@@ -464,7 +464,7 @@ def roll_differentials(self, instrument_code: str) -> pd.Series:
         >>> from systems.basesystem import System
         >>> (data, config)=get_test_object_futures()
         >>> system=System([RawData()], data)
-        >>> system.rawdata.roll_differentials("EDOLLAR").ffill().tail(2)
+        >>> system.rawdata.roll_differentials("SOFR").ffill().tail(2)
         2015-12-11 17:08:14   -0.246407
         2015-12-11 19:33:39   -0.246407
         dtype: float64
@@ -488,7 +488,7 @@ def annualised_roll(self, instrument_code: str) -> pd.Series:
         >>> from systems.basesystem import System
         >>> (data, config)=get_test_object_futures()
         >>> system=System([RawData()], data)
-        >>> system.rawdata.annualised_roll("EDOLLAR").ffill().tail(2)
+        >>> system.rawdata.annualised_roll("SOFR").ffill().tail(2)
         2015-12-11 17:08:14    0.284083
         2015-12-11 19:33:39    0.284083
         dtype: float64
@@ -524,7 +524,7 @@ def daily_annualised_roll(self, instrument_code: str) -> pd.Series:
         >>> from systems.basesystem import System
         >>> (data, config)=get_test_object_futures()
         >>> system=System([RawData()], data)
-        >>> system.rawdata.daily_annualised_roll("EDOLLAR").ffill().tail(2)
+        >>> system.rawdata.daily_annualised_roll("SOFR").ffill().tail(2)
         2015-12-10    0.284083
         2015-12-11    0.284083
         Freq: B, dtype: float64
@@ -645,7 +645,7 @@ def daily_denominator_price(self, instrument_code: str) -> pd.Series:
         >>> (data, config)=get_test_object_futures()
         >>> system=System([RawData()], data)
         >>>
-        >>> system.rawdata.daily_denominator_price("EDOLLAR").ffill().tail(2)
+        >>> system.rawdata.daily_denominator_price("SOFR").ffill().tail(2)
         2015-12-10    97.8800
         2015-12-11    97.9875
         Freq: B, Name: PRICE, dtype: float64