Merge remote-tracking branch 'origin/dev' into dev

app/pypfopt/efficient_frontier.py

@@ -375,7 +375,7 @@ class EfficientFrontier(base_optimizer.BaseConvexOptimizer):
 
         return self._solve_cvxpy_opt_problem()
 
-    def efficient_return(self, target_return, market_neutral=False):
+    def efficient_return(self, target_return, target_drawdown, market_neutral=False):
         """
         Calculate the 'Markowitz portfolio', minimising volatility for a given target return.
 
@@ -405,12 +405,13 @@ class EfficientFrontier(base_optimizer.BaseConvexOptimizer):
 
         self.objective = cp.quad_form(self._w, self.cov_matrix)
         ret = self.expected_returns.T @ self._w
+        drawdown = self.expected_drawdown.T @ self._w
 
         for obj in self._additional_objectives:
             self._objective += obj
 
         self._constraints.append(ret >= target_return)
-
+        self._constraints.append(drawdown <= target_drawdown)
         # The equality constraint is either "weights sum to 1" (default), or
         # "weights sum to 0" (market neutral).
         if market_neutral:

app/service/data_service.py

@@ -183,13 +183,13 @@ class UserCustomerDataAdaptor:
                 if len(last_nav_data) < 1:
                     cnav_df.loc[confirm_share_date, cur_fund_id] = row["nav"]
                 else:
-                    diff_nav = row["nav"] - last_nav_data.values[0]
+                    diff_nav = Decimal(row["nav"]) - last_nav_data.values[0]
                     cur_cnav = last_cnav_data.values[0] + diff_nav
                     cnav_df.loc[confirm_share_date, cur_fund_id] = cur_cnav
             else:
                 confirm_date_nav_data = p_nav_df[p_nav_df.index == confirm_share_date][cur_fund_id].tail(1)
                 confirm_date_cnav_data = p_cnav_df[p_cnav_df.index == confirm_share_date][cur_fund_id].tail(1)
-                diff_nav = row["nav"] - confirm_date_nav_data.values[0]
+                diff_nav = Decimal(row["nav"]) - confirm_date_nav_data.values[0]
                 cur_cnav = confirm_date_cnav_data.values[0] + diff_nav
                 cnav_df.loc[confirm_share_date, cur_fund_id] = cur_cnav
 
@@ -278,13 +278,13 @@ class UserCustomerDataAdaptor:
                 if len(last_nav_data) < 1:
                     cnav_df.loc[confirm_share_date, cur_fund_id] = row["nav"]
                 else:
-                    diff_nav = row["nav"] - last_nav_data.values[0]
+                    diff_nav = Decimal(row["nav"]) - last_nav_data.values[0]
                     cur_cnav = last_cnav_data.values[0] + diff_nav
                     cnav_df.loc[confirm_share_date, cur_fund_id] = cur_cnav
             else:
                 confirm_date_nav_data = p_nav_df[p_nav_df.index == confirm_share_date][cur_fund_id].tail(1)
                 confirm_date_cnav_data = p_cnav_df[p_cnav_df.index == confirm_share_date][cur_fund_id].tail(1)
-                diff_nav = row["nav"] - confirm_date_nav_data.values[0]
+                diff_nav = Decimal(row["nav"]) - confirm_date_nav_data.values[0]
                 cur_cnav = confirm_date_cnav_data.values[0] + diff_nav
                 cnav_df.loc[confirm_share_date, cur_fund_id] = cur_cnav
 

app/utils/fund_rank.py

@@ -8,7 +8,7 @@
 import logging
 logging.basicConfig(level=logging.INFO)
 
-from app.api.engine import tamp_fund_engine, TAMP_SQL
+from app.api.engine import tamp_fund_engine, TAMP_SQL, tamp_product_engine
 from app.utils.week_evaluation import *