Source code for kaxanuk.attribution_analysis.interfaces.factor_model_interface

import abc
import pandas as pd



class FactorModelAttributionInterface(metaclass=abc.ABCMeta):
    def __init__(
            self,
            portfolio_returns: pd.DataFrame,
            benchmark_returns: pd.DataFrame,
            daily_portfolio_weights: pd.DataFrame,
            by_factor_factor_returns: pd.DataFrame,
            # factor_returns: pd.DataFrame,
            asset_returns: pd.DataFrame,


    ):
        self.portfolio_returns = portfolio_returns
        self.benchmark_returns = benchmark_returns
        self.daily_portfolio_weights = daily_portfolio_weights
        self.by_factor_factor_returns = by_factor_factor_returns
        # self.factor_returns = factor_returns
        self.asset_returns = asset_returns



    @abc.abstractmethod
    def multifactor_attribution(self, date: str):
        """
        Calculate the CAPM 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.
        """
        ...