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Okama 1.4.3
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@chilango74 chilango74 released this 09 Oct 04:35
· 25 commits to master since this release
v1.4.3
3cfb425

Okama 1.4.3 is dedicated to Cash Flow strategies and Monte Carlos simulations.

New features

3 new classes to set up Cash Flow strategies

Cash flow parameters for investment portfolios are now configured in the corresponding classes.

  • IndexationStrategy for strategies with regular indexed withdrawals / contributions
  • PercentageStrategy for strategies weith regualr fixed percentage withdrawals / contributions
  • TimeSeriesStrategy for strategies with user-defined withdrawals and contributions. Withdrawals, contributions, as well as their dates, are defined in the dictionary.

All 3 classes are inhereted from parent class CashFlow.
Portfolio class does not have cash flow parameters (initial_amount, cashflow, discount_rate) anymore.

New class to set up Monte Carlo simulation parameters

MonteCarlos class has several properties:

  • distribution - the type of a distribution to generate random rate of return
  • period - forecast period in years for portfolio wealth index time series
  • number - number of random wealth indexes to generate with Monte Carlo simulation

All Monte Carlos properties are linked to PortfolioDCF instance and can be accessed by Portfolio().dcf.mc construction. For example the type of random distribution is available through Portfolio().dcf.mc.disctribution.

New methods and properties in PortfolioDCF

PortfolioDCF has a new parameter use_discounted_values (default is False). Id defines whether to use discounted values in backtesting wealth indexes (initial investments, withdrawal or contribution size). discount_rate parameter is shifted from Portfolio to PortfolioDCF.

  • find_the_largest_withdrawals_size - find the largest withdrawals size for Monte Carlo simulation according to Cashflow Strategy. This method works with IndexationStrategy and PercentageStrategy
  • initial_investment_fv property to calculate the future value (FV) of the initial investments at the end of forecast period.
  • initial_investment_pv property to calculate the discounted value (PV) of the initial investments at the historical first date
  • wealth_index_with_assets works as the same property of Portfolio but considers cash flow (contributions and withdrawals)
  • set_mc_parameters method is a shortcut to add Monte Carlo simulation parameters

Changes in methods and properties in PortfolioDCF

  • monte_carlo_survival_period, survival_date_hist and survival_period_hist methods have now new parameter threshold. The threshold defines the percentage of the initial investments when the portfolio balance considered voided
  • plot_forecast_monte_carlo number of parameters is reduced to: backtest and figsize
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