Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Jump to bottom

Added Support for Mass Action and Standard Incidence Selection and the Models SI, SIS, and SIRS #301

Open
wants to merge 9 commits into
base: master
Choose a base branch
from
Open

Added Support for Mass Action and Standard Incidence Selection and the Models SI, SIS, and SIRS #301

Show file tree
Hide file tree
Changes from all commits
Commits
Show all changes
9 commits
Select commit Hold shift + click to select a range
da96be4
- Added epidemiological models: SI, SIS, and SIRS
M-BSquared Aug 5, 2024
7920f9f
Create Maximilian Boeck.dco
M-BSquared Aug 5, 2024
a5c9b8f
Merge branch 'master' of https://github.com/goldmansachs/gs-quant
M-BSquared Aug 6, 2024
a9a24b7
Updated to release 1.0.106 to ensure all added models work with the n…
M-BSquared Aug 6, 2024
47d6b3c
Merge branch 'goldmansachs:master' into master
M-BSquared Aug 7, 2024
9cc8dea
Fixed FutureWarning, added datetime handling in securities.py, moved DCO
M-BSquared Aug 7, 2024
cc3ad34
Updated yout contribution standards
M-BSquared Aug 11, 2024
a2c94e6
Updated your contribution standards
M-BSquared Aug 11, 2024
391696c
Merge branch 'master' of https://github.com/M-BSquared/gs-quant
M-BSquared Aug 11, 2024
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
9 changes: 9 additions & 0 deletions dco/Maximilian Boeck.dco
View file
Open in desktop
Original file line number Diff line number Diff line change
@@ -0,0 +1,9 @@
1) I, Maximilian Boeck, certify that all work committed with the commit message
"covered by: Maximilian Boeck.dco" is my original work and I own the copyright
to this work. I agree to contribute this code under the Apache 2.0 license.

2) I understand and agree all contribution including all personal
information I submit with it is maintained indefinitely and may be
redistributed consistent with the open source license(s) involved.

This certification is effective for all code contributed from 2024-08-05 to 9999-01-01.
3 changes: 2 additions & 1 deletion docs/classes/gs_quant.models.epidemiology.EpidemicModel.rst
View file
Open in desktop
Original file line number Diff line number Diff line change
@@ -1,4 +1,5 @@
gs\_quant.models.epidemiology.EpidemicModel
.. This product contains code copyright Maximilian Boeck, licensed under Apache 2.0 license
gs\_quant.models.epidemiology.EpidemicModel
===========================================

.. currentmodule:: gs_quant.models.epidemiology
Expand Down
4 changes: 3 additions & 1 deletion docs/classes/gs_quant.models.epidemiology.SEIR.rst
View file
Open in desktop
Original file line number Diff line number Diff line change
@@ -1,4 +1,6 @@
gs\_quant.models.epidemiology.SEIR
.. This product contains code copyright Maximilian Boeck, licensed under Apache 2.0 license

gs\_quant.models.epidemiology.SEIR
==================================

.. currentmodule:: gs_quant.models.epidemiology
Expand Down
25 changes: 25 additions & 0 deletions docs/classes/gs_quant.models.epidemiology.SI.rst
View file
Open in desktop
Original file line number Diff line number Diff line change
@@ -0,0 +1,25 @@
.. This product contains code copyright Maximilian Boeck, licensed under Apache 2.0 license
gs\_quant.models.epidemiology.SI
=================================

.. currentmodule:: gs_quant.models.epidemiology

.. autoclass:: SI


.. automethod:: __init__


.. rubric:: Methods

.. autosummary::

~SI.__init__
~SI.calibrate
~SI.get_parameters






3 changes: 2 additions & 1 deletion docs/classes/gs_quant.models.epidemiology.SIR.rst
View file
Open in desktop
Original file line number Diff line number Diff line change
@@ -1,4 +1,5 @@
gs\_quant.models.epidemiology.SIR
.. This product contains code copyright Maximilian Boeck, licensed under Apache 2.0 license
gs\_quant.models.epidemiology.SIR
=================================

.. currentmodule:: gs_quant.models.epidemiology
Expand Down
25 changes: 25 additions & 0 deletions docs/classes/gs_quant.models.epidemiology.SIRS.rst
View file
Open in desktop
Original file line number Diff line number Diff line change
@@ -0,0 +1,25 @@
.. This product contains code copyright Maximilian Boeck, licensed under Apache 2.0 license
gs\_quant.models.epidemiology.SIRS
=================================

.. currentmodule:: gs_quant.models.epidemiology

.. autoclass:: SIRS


.. automethod:: __init__


.. rubric:: Methods

.. autosummary::

~SIRS.__init__
~SIRS.calibrate
~SIRS.get_parameters






25 changes: 25 additions & 0 deletions docs/classes/gs_quant.models.epidemiology.SIS.rst
View file
Open in desktop
Original file line number Diff line number Diff line change
@@ -0,0 +1,25 @@
.. This product contains code copyright Maximilian Boeck, licensed under Apache 2.0 license
gs\_quant.models.epidemiology.SIS
=================================

.. currentmodule:: gs_quant.models.epidemiology

.. autoclass:: SIS


.. automethod:: __init__


.. rubric:: Methods

.. autosummary::

~SIS.__init__
~SIS.calibrate
~SIS.get_parameters






3 changes: 2 additions & 1 deletion docs/classes/gs_quant.timeseries.statistics.SEIRModel.rst
View file
Open in desktop
Original file line number Diff line number Diff line change
@@ -1,4 +1,5 @@
gs\_quant.timeseries.statistics.SEIRModel
.. This product contains code copyright Maximilian Boeck, licensed under Apache 2.0 license
gs\_quant.timeseries.statistics.SEIRModel
=========================================

.. currentmodule:: gs_quant.timeseries.statistics
Expand Down
25 changes: 25 additions & 0 deletions docs/classes/gs_quant.timeseries.statistics.SIModel.rst
View file
Open in desktop
Original file line number Diff line number Diff line change
@@ -0,0 +1,25 @@
.. This product contains code copyright Maximilian Boeck, licensed under Apache 2.0 license

gs\_quant.timeseries.statistics.SIModel
========================================

.. currentmodule:: gs_quant.timeseries.statistics

.. autoclass:: SIModel



.. rubric:: Methods
.. autosummary::

~SIModel.beta

~SIModel.i0

~SIModel.predict_i

~SIModel.predict_s

~SIModel.s0


3 changes: 2 additions & 1 deletion docs/classes/gs_quant.timeseries.statistics.SIRModel.rst
View file
Open in desktop
Original file line number Diff line number Diff line change
@@ -1,4 +1,5 @@
gs\_quant.timeseries.statistics.SIRModel
.. This product contains code copyright Maximilian Boeck, licensed under Apache 2.0 license
gs\_quant.timeseries.statistics.SIRModel
========================================

.. currentmodule:: gs_quant.timeseries.statistics
Expand Down
32 changes: 32 additions & 0 deletions docs/classes/gs_quant.timeseries.statistics.SIRSModel.rst
View file
Open in desktop
Original file line number Diff line number Diff line change
@@ -0,0 +1,32 @@
.. This product contains code copyright Maximilian Boeck, licensed under Apache 2.0 license
gs\_quant.timeseries.statistics.SIRSModel
========================================

.. currentmodule:: gs_quant.timeseries.statistics

.. autoclass:: SIRSModel



.. rubric:: Methods
.. autosummary::

~SIRSModel.beta

~SIRSModel.gamma

~SIRSModel.delta

~SIRSModel.i0

~SIRSModel.predict_i

~SIRSModel.predict_r

~SIRSModel.predict_s

~SIRSModel.r0

~SIRSModel.s0


26 changes: 26 additions & 0 deletions docs/classes/gs_quant.timeseries.statistics.SISModel.rst
View file
Open in desktop
Original file line number Diff line number Diff line change
@@ -0,0 +1,26 @@
.. This product contains code copyright Maximilian Boeck, licensed under Apache 2.0 license
gs\_quant.timeseries.statistics.SISModel
========================================

.. currentmodule:: gs_quant.timeseries.statistics

.. autoclass:: SISModel



.. rubric:: Methods
.. autosummary::

~SISModel.beta

~SISModel.delta

~SISModel.i0

~SISModel.predict_i

~SISModel.predict_s

~SISModel.s0


5 changes: 4 additions & 1 deletion docs/models.rst
View file
Open in desktop
Original file line number Diff line number Diff line change
@@ -1,4 +1,4 @@

.. This product contains code copyright Maximilian Boeck, licensed under Apache 2.0 license
Models Package
==============

Expand All @@ -10,7 +10,10 @@ Epidemiology
.. autosummary::
:toctree: classes

SI
SIS
SIR
SIRS
SEIR
EpidemicModel

Expand Down
5 changes: 4 additions & 1 deletion docs/module/models.rst
View file
Open in desktop
Original file line number Diff line number Diff line change
@@ -1,4 +1,4 @@

.. This product contains code copyright Maximilian Boeck, licensed under Apache 2.0 license
Models Package
==============

Expand All @@ -10,7 +10,10 @@ Epidemiology
.. autosummary::
:toctree: classes

SI
SIS
SIR
SIRS
SEIR
EpidemicModel

Expand Down
3 changes: 2 additions & 1 deletion docs/timeseries.rst
View file
Open in desktop
Original file line number Diff line number Diff line change
@@ -1,4 +1,4 @@

.. This product contains code copyright Maximilian Boeck, licensed under Apache 2.0 license
Timeseries Package
==================

Expand Down Expand Up @@ -149,6 +149,7 @@ Statistics

LinearRegression
RollingLinearRegression
SIModel
SIRModel
SEIRModel

Expand Down
4 changes: 2 additions & 2 deletions gs_quant/documentation/00_data/00_datasets/examples/0000_query_dataset.ipynb
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -528,10 +528,10 @@
"pycharm": {
"stem_cell": {
"cell_type": "raw",
"source": [],
"metadata": {
"collapsed": false
}
},
"source": []
}
}
},
Expand Down
9 changes: 6 additions & 3 deletions gs_quant/markets/securities.py
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -12,7 +12,10 @@
KIND, either express or implied. See the License for the
specific language governing permissions and limitations
under the License.

//Portions copyright Maximilian Boeck. Licensed under Apache 2.0 license
"""

import calendar
import datetime
import datetime as dt
Expand Down Expand Up @@ -1521,7 +1524,7 @@ def get_asset(cls,

Get asset by bloomberg id:

>>> gs = SecurityMaster.get_asset("GS UN", AssetIdentifier.BLOOMBERG_ID)
>>> gs = SecurityMaster.get_asset("GS UN", AssetIdentifier.BLOOMBERG_ID, as_of=dt.datetime(2022, 2, 2, 22, 22))

Get asset by ticker and exchange code:

Expand Down Expand Up @@ -1590,7 +1593,7 @@ def _get_security_master_asset(cls,
type_ = id_type.value
params = {
type_: id_value,
'asOfDate': as_of.strftime('%Y-%m-%d') # TODO: update endpoint to take times
'asOfDate': as_of.strftime('%Y-%m-%dT%H:%M:%S') if isinstance(as_of, dt.datetime) else as_of.strftime('%Y-%m-%d')
}
if fields is not None:
request_fields = {
Expand Down Expand Up @@ -1651,7 +1654,7 @@ def get_identifiers(cls, id_values: List[str], id_type: SecurityIdentifier, as_o
params = {
type_: id_values,
'fields': ['id', 'identifiers'],
'asOfDate': as_of.strftime('%Y-%m-%d') # TODO: update endpoint to take times
'asOfDate': as_of.strftime('%Y-%m-%dT%H:%M:%S') if isinstance(as_of, dt.datetime) else as_of.strftime('%Y-%m-%d')
}

r = GsSession.current._get('/markets/securities', payload=params)
Expand Down
Loading