Source code for kaxanuk.attribution_analysis.interfaces.brinston_fachler_interface

import abc
import pandas as pd



class BrinstonFachlerInterface(metaclass=abc.ABCMeta):
    def __init__(
            self,
            returns_investible_assets: pd.DataFrame,
            portfolio_weights: pd.DataFrame,
            benchmark_weights: pd.DataFrame
    ):
        self.returns_investible_assets = returns_investible_assets
        self.portfolio_weights = portfolio_weights
        self.benchmark_weights = benchmark_weights



    @abc.abstractmethod
    def brinson_fachler_model(
            self,
            date: str
    ):
        """
        Calculate the Brinson-Fachler attribution model for a given date.

        :param date: The date for which to calculate the attribution.
        :return: A tuple containing the detailed attribution DataFrame and a totals DataFrame.
        """
        ...




    @abc.abstractmethod
    def time_series_calculation(
            self
    ):
        """
        Calculate the time series attribution for the entire period.

        :return: A tuple containing the detailed attribution DataFrame and a totals DataFrame.
        """
        ...