├── .gitignore ├── CHANGELOG.rst ├── LICENSE ├── README.md ├── datasets └── correlation_data.json ├── examples ├── __init__.py └── python │ └── basic.py ├── requirements.txt ├── run_examples.py ├── scenarioGenerator ├── __init__.py ├── model.py ├── settings.py └── utils │ ├── __init__.py │ └── converters.py ├── setup.py ├── test.py └── tests └── test_model.py /.gitignore: -------------------------------------------------------------------------------- 1 | .idea 2 | .venv 3 | docs/build -------------------------------------------------------------------------------- /CHANGELOG.rst: -------------------------------------------------------------------------------- 1 | ChangeLog 2 | =========================== 3 | 4 | PLACEHOLDER RELEASE 5 | 6 | v0.1.0 (26-03-2019) 7 | ------------------- 8 | 9 | * First Release (Pre-Alpha - dont use) -------------------------------------------------------------------------------- /LICENSE: -------------------------------------------------------------------------------- 1 | Apache License 2 | Version 2.0, January 2004 3 | http://www.apache.org/licenses/ 4 | 5 | TERMS AND CONDITIONS FOR USE, REPRODUCTION, AND DISTRIBUTION 6 | 7 | 1. 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We also recommend that a 185 | file or class name and description of purpose be included on the 186 | same "printed page" as the copyright notice for easier 187 | identification within third-party archives. 188 | 189 | Copyright [yyyy] [name of copyright owner] 190 | 191 | Licensed under the Apache License, Version 2.0 (the "License"); 192 | you may not use this file except in compliance with the License. 193 | You may obtain a copy of the License at 194 | 195 | http://www.apache.org/licenses/LICENSE-2.0 196 | 197 | Unless required by applicable law or agreed to in writing, software 198 | distributed under the License is distributed on an "AS IS" BASIS, 199 | WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. 200 | See the License for the specific language governing permissions and 201 | limitations under the License. 202 | -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- 1 | ## ScenarioGenerator 2 | 3 | A python library for generating macro-economic scenarios (under development) -------------------------------------------------------------------------------- /datasets/correlation_data.json: -------------------------------------------------------------------------------- 1 | { 2 | "correlation_matrix": [ 3 | [ 4 | 1.0, 5 | 0.2, 6 | 0.2 7 | ], 8 | [ 9 | 0.2, 10 | 1.0, 11 | 0.2 12 | ], 13 | [ 14 | 0.2, 15 | 0.2, 16 | 1.0 17 | ] 18 | ], 19 | "loadings": [ 20 | 0.3, 21 | 0.3, 22 | 0.3 23 | ] 24 | } -------------------------------------------------------------------------------- /examples/__init__.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/open-risk/scenarioGenerator/49d543ac5fcb52358c536cf6678a7f5c16352bb7/examples/__init__.py -------------------------------------------------------------------------------- /examples/python/basic.py: -------------------------------------------------------------------------------- 1 | # encoding: utf-8 2 | 3 | # (c) 2019 - 2024 Open Risk (https://www.openriskmanagement.com), all rights reserved 4 | # 5 | # scenarioGenerator is licensed under the Apache 2.0 license a copy of which is included 6 | # in the source distribution of correlationMatrix. This is notwithstanding any licenses of 7 | # third-party software included in this distribution. You may not use this file except in 8 | # compliance with the License. 9 | # 10 | # Unless required by applicable law or agreed to in writing, software distributed under 11 | # the License is distributed on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, 12 | # either express or implied. See the License for the specific language governing permissions and 13 | # limitations under the License. 14 | 15 | 16 | """ 17 | Basic Example 18 | 19 | 20 | """ 21 | 22 | import json 23 | 24 | import numpy as np 25 | 26 | import scenarioGenerator as sg 27 | from scenarioGenerator import source_path 28 | 29 | input_dataset_path = source_path + "datasets/" 30 | output_dataset_path = source_path + "datasets/" 31 | 32 | print("> Load a correlation matrix") 33 | input_filename = output_dataset_path + 'correlation_data.json' 34 | Omega = np.array(json.load(open(input_filename))['correlation_matrix']) 35 | print(Omega) 36 | 37 | myESG = sg.scenarioGenerator(dim=Omega.shape[0], Omega=Omega) 38 | myESG.decompose() 39 | print(np.dot(myESG.L, myESG.L.T)) 40 | -------------------------------------------------------------------------------- /requirements.txt: -------------------------------------------------------------------------------- 1 | numpy 2 | pandas 3 | -------------------------------------------------------------------------------- /run_examples.py: -------------------------------------------------------------------------------- 1 | # -*- coding: utf-8 -*- 2 | 3 | # (c) 2019 - 2024 Open Risk (https://www.openriskmanagement.com), all rights reserved 4 | # 5 | # scenarioGenerator is licensed under the Apache 2.0 license a copy of which is included 6 | # in the source distribution of scenarioGenerator. This is notwithstanding any licenses of 7 | # third-party software included in this distribution. You may not use this file except in 8 | # compliance with the License. 9 | # 10 | # Unless required by applicable law or agreed to in writing, software distributed under 11 | # the License is distributed on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, 12 | # either express or implied. See the License for the specific language governing permissions and 13 | # limitations under the License. 14 | 15 | 16 | """ Run all examples to test that everything is working with the current version 17 | 18 | """ 19 | 20 | from scenarioGenerator import source_path 21 | 22 | examples_path = source_path + "examples/python/" 23 | filelist = ['basic'] 24 | 25 | if __name__ == '__main__': 26 | 27 | for example in filelist: 28 | try: 29 | print('\nExecuting example file: ', example.upper()) 30 | print('-----------------------' + '-' * len(example)) 31 | exec(open(examples_path + example + ".py").read()) 32 | except: 33 | print('**********************' + '*' * len(example)) 34 | print('ERROR in example file', example) 35 | print('**********************' + '*' * len(example)) 36 | -------------------------------------------------------------------------------- /scenarioGenerator/__init__.py: -------------------------------------------------------------------------------- 1 | # encoding: utf-8 2 | 3 | # (c) 2019 - 2024 Open Risk (https://www.openriskmanagement.com) 4 | # 5 | # scenarioGenerator is licensed under the Apache 2.0 license a copy of which is included 6 | # in the source distribution of scenarioGenerator. This is notwithstanding any licenses of 7 | # third-party software included in this distribution. You may not use this file except in 8 | # compliance with the License. 9 | # 10 | # Unless required by applicable law or agreed to in writing, software distributed under 11 | # the License is distributed on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, 12 | # either express or implied. See the License for the specific language governing permissions and 13 | # limitations under the License. 14 | 15 | 16 | """ scenarioGenerator - 17 | Python package for the generation of scenarios from vector autoregressive models """ 18 | 19 | import os 20 | 21 | from .model import * 22 | from .utils import * 23 | 24 | __version__ = '0.1' 25 | 26 | package_name = 'scenarioGenerator' 27 | module_path = os.path.dirname(__file__) 28 | source_path = module_path[:-len(package_name)] 29 | dataset_path = os.path.join(source_path, 'datasets/') 30 | -------------------------------------------------------------------------------- /scenarioGenerator/model.py: -------------------------------------------------------------------------------- 1 | # encoding: utf-8 2 | 3 | # (c) 2019 - 2024 Open Risk (https://www.openriskmanagement.com) 4 | # 5 | # scenarioGenerator is licensed under the Apache 2.0 license a copy of which is included 6 | # in the source distribution of scenarioGenerator. This is notwithstanding any licenses of 7 | # third-party software included in this distribution. You may not use this file except in 8 | # compliance with the License. 9 | # 10 | # Unless required by applicable law or agreed to in writing, software distributed under 11 | # the License is distributed on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, 12 | # either express or implied. See the License for the specific language governing permissions and 13 | # limitations under the License. 14 | 15 | """ This module provides the key scenarioGenerator classes 16 | 17 | 18 | """ 19 | 20 | import numpy as np 21 | 22 | 23 | class scenarioGenerator: 24 | """ The _`scenarioGenerator` object implements a scenario generator 25 | Currently the only class of models supported is are Vector Autoregressions (VAR) 26 | 27 | """ 28 | 29 | def __init__(self, dim=1, A=None, Omega=None, **kwargs): 30 | 31 | """ Create a new Scenario Generator. 32 | 33 | 34 | 35 | """ 36 | 37 | if A is not None: 38 | # Initialize autoregression with given matrix 39 | self.A = np.asarray(A) 40 | else: 41 | self.A = np.ones(dim) 42 | 43 | if Omega is not None: 44 | # Initialize correlation with given matrix 45 | self.Omega = np.asarray(Omega) 46 | else: 47 | self.Omega = np.ones(dim) 48 | 49 | # temporary dimension assignment (must validate for squareness) 50 | self.dimension = dim 51 | self.L = np.asarray(Omega) 52 | 53 | def decompose(self): 54 | self.L = np.linalg.cholesky(self.Omega) 55 | print(self.L) 56 | 57 | def simulate(self, periods): 58 | """ 59 | Simulate periods 60 | 61 | """ 62 | -------------------------------------------------------------------------------- /scenarioGenerator/settings.py: -------------------------------------------------------------------------------- 1 | EIGENVALUE_TOLERANCE = 1e-8 2 | -------------------------------------------------------------------------------- /scenarioGenerator/utils/__init__.py: -------------------------------------------------------------------------------- 1 | # encoding: utf-8 2 | 3 | # (c) 2019 - 2024 Open Risk (https://www.openriskmanagement.com), all rights reserved 4 | # 5 | # scenarioGenerator is licensed under the Apache 2.0 license a copy of which is included 6 | # in the source distribution of correlationMatrix. This is notwithstanding any licenses of 7 | # third-party software included in this distribution. You may not use this file except in 8 | # compliance with the License. 9 | # 10 | # Unless required by applicable law or agreed to in writing, software distributed under 11 | # the License is distributed on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, 12 | # either express or implied. See the License for the specific language governing permissions and 13 | # limitations under the License. 14 | 15 | """ This module contains various helper classes and functions that do not fit 16 | into any of the main modules of the library 17 | 18 | """ 19 | 20 | from __future__ import print_function, division 21 | 22 | from .converters import * 23 | -------------------------------------------------------------------------------- /scenarioGenerator/utils/converters.py: -------------------------------------------------------------------------------- 1 | # encoding: utf-8 2 | 3 | # (c) 2017 - 2024 Open Risk (https://www.openriskmanagement.com) 4 | # 5 | # scenarioGenerator is licensed under the Apache 2.0 license a copy of which is included 6 | # in the source distribution of correlationMatrix. This is notwithstanding any licenses of 7 | # third-party software included in this distribution. You may not use this file except in 8 | # compliance with the License. 9 | # 10 | # Unless required by applicable law or agreed to in writing, software distributed under 11 | # the License is distributed on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, 12 | # either express or implied. See the License for the specific language governing permissions and 13 | # limitations under the License. 14 | 15 | """ Converter utilities to help switch between various formats """ 16 | 17 | import pandas as pd 18 | 19 | 20 | def datetime_to_float(dataframe): 21 | """ 22 | .. _Datetime_to_float: 23 | 24 | Converts dates from string format to the canonical float format 25 | 26 | :param dataframe: Pandas dataframe with dates in string format 27 | :return: Pandas dataframe with dates in float format 28 | :rtype: object 29 | 30 | .. note:: The date string must be recognizable by the pandas to_datetime function. 31 | 32 | """ 33 | start_date = dataframe['Time'].min() 34 | end_date = dataframe['Time'].max() 35 | total_days = (pd.to_datetime(end_date) - pd.to_datetime(start_date)).days 36 | dataframe['Time'] = dataframe['Time'].apply( 37 | lambda x: (pd.to_datetime(x) - pd.to_datetime(start_date)).days / total_days) 38 | return [start_date, end_date, total_days], dataframe 39 | 40 | 41 | def matrix_print(A, format_type='Standard', accuracy=2): 42 | """ Pretty print a matrix 43 | 44 | :param format_type: formatting options (Standard, Percent) 45 | :type format_type: str 46 | :param accuracy: number of decimals to display 47 | :type accuracy: int 48 | 49 | """ 50 | for s_in in range(A.shape[0]): 51 | for s_out in range(A.shape[1]): 52 | if format_type is 'Standard': 53 | format_string = "{0:." + str(accuracy) + "f}" 54 | print(format_string.format(A[s_in, s_out]) + ' ', end='') 55 | elif format_type is 'Percent': 56 | print("{0:.2f}%".format(100 * A[s_in, s_out]) + ' ', end='') 57 | print('') 58 | print('') 59 | -------------------------------------------------------------------------------- /setup.py: -------------------------------------------------------------------------------- 1 | # encoding: utf-8 2 | 3 | # (c) 2019 - 2024 Open Risk (https://www.openriskmanagement.com) 4 | # 5 | # scenarioGenerator is licensed under the Apache 2.0 license a copy of which is included 6 | # in the source distribution of scenarioGenerator. This is notwithstanding any licenses of 7 | # third-party software included in this distribution. You may not use this file except in 8 | # compliance with the License. 9 | # 10 | # Unless required by applicable law or agreed to in writing, software distributed under 11 | # the License is distributed on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, 12 | # either express or implied. See the License for the specific language governing permissions and 13 | # limitations under the License. 14 | 15 | 16 | from codecs import open 17 | 18 | from setuptools import setup 19 | 20 | __version__ = '0.1.0' 21 | 22 | ver = __version__ 23 | 24 | long_descr = open('description.rst', 'r', encoding='utf8').read() 25 | 26 | setup(name='scenarioGenerator', 27 | version=ver, 28 | description='A Python powered library for the generation of economic scenarios', 29 | long_description=long_descr, 30 | author='Open Risk', 31 | author_email='info@openriskmanagement.com', 32 | packages=['scenarioGenerator', 'scenarioGenerator.utils', 'tests', 'datasets', 'examples.python'], 33 | include_package_data=True, 34 | url='https://github.com/open-risk/scenarioGenerator', 35 | install_requires=[ 36 | 'pandas', 37 | 'numpy', 38 | 'scipy', 39 | 'statsmodels', 40 | 'sympy', 41 | 'matplotlib' 42 | ], 43 | zip_safe=False, 44 | provides=['scenarioGenerator'], 45 | classifiers=[ 46 | 'Intended Audience :: Developers', 47 | 'Intended Audience :: Science/Research', 48 | 'Intended Audience :: Financial and Insurance Industry', 49 | 'Development Status :: 3 - Alpha', 50 | 'License :: OSI Approved :: Apache Software License', 51 | 'Operating System :: OS Independent', 52 | 'Programming Language :: Python :: 3 :: Only', 53 | 'Programming Language :: Python :: 3.10', 54 | 'Topic :: Scientific/Engineering', 55 | 'Topic :: Scientific/Engineering :: Information Analysis' 56 | ] 57 | 58 | ) 59 | -------------------------------------------------------------------------------- /test.py: -------------------------------------------------------------------------------- 1 | # encoding: utf-8 2 | 3 | # (c) 2019 - 2024 Open Risk (https://www.openriskmanagement.com), all rights reserved 4 | # 5 | # scenarioGenerator is licensed under the Apache 2.0 license a copy of which is included 6 | # in the source distribution of scenarioGenerator. This is notwithstanding any licenses of 7 | # third-party software included in this distribution. You may not use this file except in 8 | # compliance with the License. 9 | # 10 | # Unless required by applicable law or agreed to in writing, software distributed under 11 | # the License is distributed on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, 12 | # either express or implied. See the License for the specific language governing permissions and 13 | # limitations under the License. 14 | 15 | 16 | """ 17 | run the scenarioGenerator test suite 18 | 19 | """ 20 | 21 | import sys 22 | import unittest 23 | 24 | from scenarioGenerator import source_path 25 | 26 | sys.path.append(source_path) 27 | 28 | loader = unittest.TestLoader() 29 | start_dir = source_path + 'tests' 30 | suite = loader.discover(start_dir) 31 | 32 | runner = unittest.TextTestRunner() 33 | runner.run(suite) 34 | -------------------------------------------------------------------------------- /tests/test_model.py: -------------------------------------------------------------------------------- 1 | # encoding: utf-8 2 | 3 | # (c) 2019 - 2024 Open Risk (https://www.openriskmanagement.com), all rights reserved 4 | # 5 | # scenarioGenerator is licensed under the Apache 2.0 license a copy of which is included 6 | # in the source distribution of scenarioGenerator. This is notwithstanding any licenses of 7 | # third-party software included in this distribution. You may not use this file except in 8 | # compliance with the License. 9 | # 10 | # Unless required by applicable law or agreed to in writing, software distributed under 11 | # the License is distributed on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, 12 | # either express or implied. See the License for the specific language governing permissions and 13 | # limitations under the License. 14 | 15 | 16 | import unittest 17 | 18 | import scenarioGenerator as cm 19 | 20 | ACCURATE_DIGITS = 7 21 | 22 | 23 | class TestscenarioGenerator(unittest.TestCase): 24 | ''' 25 | Default instance (2x2 identity matrix) 26 | ''' 27 | def test_instantiate_matrix(self): 28 | a = cm.scenarioGenerator() 29 | self.assertAlmostEqual(a[0, 0], 1.0, places=ACCURATE_DIGITS, msg=None, delta=None) 30 | self.assertAlmostEqual(a[0, 1], 0.0, places=ACCURATE_DIGITS, msg=None, delta=None) 31 | self.assertAlmostEqual(a[1, 0], 0.0, places=ACCURATE_DIGITS, msg=None, delta=None) 32 | self.assertAlmostEqual(a[1, 1], 1.0, places=ACCURATE_DIGITS, msg=None, delta=None) 33 | 34 | b = cm.scenarioGenerator([[1.0, 3.0], [1.0, 4.0]]) 35 | self.assertAlmostEqual(b[0, 0], 1.0, places=ACCURATE_DIGITS, msg=None, delta=None) 36 | self.assertAlmostEqual(b[0, 1], 3.0, places=ACCURATE_DIGITS, msg=None, delta=None) 37 | self.assertAlmostEqual(b[1, 0], 1.0, places=ACCURATE_DIGITS, msg=None, delta=None) 38 | self.assertAlmostEqual(b[1, 1], 4.0, places=ACCURATE_DIGITS, msg=None, delta=None) 39 | 40 | def test_csv_io(self): 41 | a = cm.scenarioGenerator() 42 | a.to_csv("test.csv") 43 | b = cm.scenarioGenerator(csv_file="test.csv") 44 | self.assertAlmostEqual(a[0, 0], b[0, 0], places=ACCURATE_DIGITS, msg=None, delta=None) 45 | self.assertAlmostEqual(a[0, 1], b[0, 1], places=ACCURATE_DIGITS, msg=None, delta=None) 46 | self.assertAlmostEqual(a[1, 0], b[1, 0], places=ACCURATE_DIGITS, msg=None, delta=None) 47 | self.assertAlmostEqual(a[1, 1], b[1, 1], places=ACCURATE_DIGITS, msg=None, delta=None) 48 | 49 | def test_json_io(self): 50 | a = cm.scenarioGenerator() 51 | a.to_json("test.json") 52 | b = cm.scenarioGenerator(json_file="test.json") 53 | self.assertAlmostEqual(a[0, 0], b[0, 0], places=ACCURATE_DIGITS, msg=None, delta=None) 54 | self.assertAlmostEqual(a[0, 1], b[0, 1], places=ACCURATE_DIGITS, msg=None, delta=None) 55 | self.assertAlmostEqual(a[1, 0], b[1, 0], places=ACCURATE_DIGITS, msg=None, delta=None) 56 | self.assertAlmostEqual(a[1, 1], b[1, 1], places=ACCURATE_DIGITS, msg=None, delta=None) 57 | 58 | def test_validation(self): 59 | a = cm.scenarioGenerator() 60 | self.assertEqual(a.validate(), True) 61 | b = cm.scenarioGenerator(values=[1.0, 3.0]) 62 | self.assertEqual(b.validate()[0][0], 'Matrix Dimensions Differ: ') 63 | c = cm.scenarioGenerator(values=[[0.75, 0.25], [0.0, 0.9]]) 64 | self.assertEqual(c.validate()[0][0], 'Rowsum not equal to one: ') 65 | d = cm.scenarioGenerator(values=[[0.75, 0.25], [-0.1, 1.1]]) 66 | self.assertEqual(d.validate()[0][0], 'Negative Probabilities: ') 67 | 68 | 69 | if __name__ == "__main__": 70 | 71 | unittest.main() 72 | 73 | --------------------------------------------------------------------------------