Fixed error in common_model.py geo_ret_func() (#43)

* update * Fixed error in common_model.py geo_ret_func()
CaptorAB · Sep 10, 2023 · bc7f188 · bc7f188
1 parent 887c0b2
commit bc7f188
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diff --git a/.pre-commit-config.yaml b/.pre-commit-config.yaml
@@ -5,7 +5,7 @@ repos:
       - id: ruff
         args: [ --fix, --exit-non-zero-on-fix ]
   - repo: https://github.com/psf/black
-    rev: 23.7.0
+    rev: 23.9.0
     hooks:
       - id: black
         language: system

diff --git a/.test_durations b/.test_durations
diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -7,10 +7,17 @@ this log will cover all changes, and I will not attempt to go back very far in h
 At some point I will also start documenting changes in release documentation instead.
 
 
+## Version [1.3.2] - 2023-09-10
+
+Found a mistake in geo_ret_func that was made when it was consolidated into the common_model.py
+from frame.py and series.py. The function has worked as intended for any situations where no
+arguments were provided, and therefore the geo_ret property has not been compromised.
+
 ## Version [1.3.1] - 2023-09-05
 
 Validation of raw dates and values with a minimum of 2 items caused significant issues
-downstream in our fund company because the OpenTimeSeries subclass is used as a validator also for fetching single date price data to be used in some valuations.
+downstream in our fund company because the OpenTimeSeries subclass is used as a validator
+also for fetching single date price data to be used in some valuations.
 Because of this the validation now only requires 1 data point.
 
 ## Version [1.3.0] - 2023-09-05

diff --git a/SECURITY.md b/SECURITY.md
@@ -4,26 +4,14 @@
 
 Given the almost non-existent audience for this project I typically only maintain the
 latest version. However, please reach out if support is needed for an earlier version.
+Without an x next to a version below you can assume that it works as intended.
 
 | Version | Supported          |
 |---------|--------------------|
-| 1.3.1   | :white_check_mark: |
+| 1.3.2   | :white_check_mark: |
 | 1.3.0   | :x:                |
-| 1.2.9   | :white_check_mark: |
-| 1.2.8   | :white_check_mark: |
-| 1.2.7   | :white_check_mark: |
-| 1.2.6   | :white_check_mark: |
-| 1.2.5   | :white_check_mark: |
-| 1.2.4   | :white_check_mark: |
-| 1.2.3   | :white_check_mark: |
-| 1.2.2   | :white_check_mark: |
-| 1.2.1   | :white_check_mark: |
 | 1.2.0   | :x:                |
-| 1.1.7   | :white_check_mark: |
-| 1.1.6   | :white_check_mark: |
 | 1.1.5   | :x:                |
-| 1.0.1   | :white_check_mark: |
-| 1.0.0   | :white_check_mark: |
 | < 1.0.0 | :x:                |
 
 ## Reporting a Vulnerability

diff --git a/openseries/common_model.py b/openseries/common_model.py
@@ -1120,7 +1120,7 @@ def geo_ret_func(
                 "value being zero or a negative value.",
             )
 
-        result = (self.tsdf.iloc[-1] / self.tsdf.iloc[0]) ** (1 / fraction) - 1
+        result = (self.tsdf.loc[later] / self.tsdf.loc[earlier]) ** (1 / fraction) - 1
 
         if self.tsdf.shape[1] == 1:
             return float(result.iloc[0])

diff --git a/poetry.lock b/poetry.lock
diff --git a/pyproject.toml b/pyproject.toml
@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "openseries"
-version = "1.3.1"
+version = "1.3.2"
 description = "Package for simple financial time series analysis."
 authors = ["Martin Karrin <[email protected]>"]
 repository = "https://github.com/CaptorAB/OpenSeries"
@@ -45,12 +45,12 @@ scipy = "^1.11.2"
 statsmodels = "^0.14.0"
 
 [tool.poetry.group.dev.dependencies]
-black = "23.7.0"
-coverage = {extras = ["toml"], version = "^7.3.0"}
+black = "23.9.0"
+coverage = {extras = ["toml"], version = "^7.3.1"}
 coverage-badge = "^1.1.0"
 mypy = "^1.5.1"
 pre-commit = "^3.4.0"
-pytest = "^7.4.1"
+pytest = "^7.4.2"
 pytest-split = "^0.8.1"
 ruff = "^0.0.287"
 toml = "^0.10.2"

diff --git a/tests/test_series.py b/tests/test_series.py
@@ -946,11 +946,14 @@ def test_all_calc_properties(self: TestOpenTimeSeries) -> None:
 
     def test_all_calc_functions(self: TestOpenTimeSeries) -> None:
         """Test all calculation methods."""
+        excel_geo_ret = (1.02447195802235 / 1.0102975774591) ** (
+            1 / ((dt.date(2019, 6, 28) - dt.date(2015, 6, 26)).days / 365.25)
+        ) - 1
         checks = {
             "arithmetic_ret_func": f"{0.00885255100:.11f}",
             "cvar_down_func": f"{-0.01331889836:.11f}",
             "downside_deviation_func": f"{0.07335125856:.11f}",
-            "geo_ret_func": f"{0.00605432007:.11f}",
+            "geo_ret_func": f"{excel_geo_ret:.11f}",
             "kurtosis_func": f"{-0.16164566028:.11f}",
             "max_drawdown_func": f"{-0.20565775282:.11f}",
             "positive_share_func": f"{0.50645481629:.11f}",