Covariance

import qcs
from qcs import AllocationSnapshot, Context

currency = "EUR"
positions = [
    {"ticker": "EQUITYEUR68", "size": 100.0},
    {"ticker": "EQUITYEUR70", "size": 200.0},
]

benchmark_snapshot = AllocationSnapshot(currency=currency, positions=positions)
snapshot = AllocationSnapshot(
    currency=currency, positions=positions, benchmark=benchmark_snapshot
)

assets = [
    {
        "code": "<EQUITYEUR68>",
        "label": "Equity EUR n. 68",
        "type": "EQT",
        "currency": "EUR",
        "alias1": "EQUITYEUR68",
        "formula": "RTHST([CODE],[LABEL],[CURRENCY],[HISTORY],'116',[OTHER])",
        "country": "USA",
        "sector": "Materials",
        "history": "EQUITYEUR68",
    },
    {
        "code": "<EQUITYEUR70>",
        "label": "Equity EUR n. 70",
        "type": "EQT",
        "currency": "EUR",
        "alias1": "EQUITYEUR70",
        "formula": "RTHST([CODE],[LABEL],[CURRENCY],[HISTORY],'116',[OTHER])",
        "country": "USA",
        "sector": "Information Technology",
        "history": "EQUITYEUR70",
    },
]

histories = [
    {
        "code": "EQUITYEUR68",
        "label": "EQUITYEUR68",
        "currency": "EUR",
        "time_series": [
            {"date": "2021-09-27", "value": 800.1},
            {"date": "2021-09-28", "value": 802.1},
            {"date": "2021-09-29", "value": 780.56},
        ],
    },
    {
        "code": "EQUITYEUR70",
        "label": "EQUITYEUR70",
        "currency": "EUR",
        "time_series": [
            {"date": "2021-09-27", "value": 45.26},
            {"date": "2021-09-28", "value": 48.22},
            {"date": "2021-09-29", "value": 47.11},
        ],
    },
]

context = Context(
    date="2023-10-19",
    horizon="1d",
    local_db={"assets": assets, "histories": histories},
)

covariance_output = qcs.get_covariance(
    context,
    unit="LVL",
    currency="EUR",
    xtickers=["EQUITYEUR68", "EQUITYEUR70"],
    ytickers=["EUR", "GBP", "INVALID_TICKER"],
)
df_covariance_matrix = covariance_output.covariance
df_meta = covariance_output.meta_info
print("Covariance matrix:\n", df_covariance_matrix)
print("Covariance meta info:\n", df_meta)
print("Covariance context:\n", covariance_output.context)