Okama 1.4.0

Okama 1.4.0 introduces investment strategies with contributions and withdrawals in Portfolio class. New methods support discounted cash flows (DCF) and Monte Carlo simulation for portfolio longevity.

New features

DCF methods for contributions and withdrawals in Portfolio class

New Portfolio class attributes (all are optional):

• initial_amount - Portfolio initial investment FV (at last_date)
• cashflow - portfolio monthly cash flow FV (at last_date). Negative value corresponds to withdrawals.
  Positive value corresponds to contributions. Cash flow value is indexed each month by inflation.
• discount_rate - cash flow discount rate required to calculate PV values.

New dcf. methods in Portfolio class:

• dcf.plot_forecast_monte_carlo() method to plot Monte Carlo simulation for portfolio future wealth indexes optionally together with historical wealth index.
• dcf.monte_carlo_survival_period() method to generate a survival period distribution for a portfolio with cash flows by Monte Carlo simulation.
• dcf.wealth_index property to calculate wealth index time series for the portfolio with contributions and
  withdrawals.
• dcf.survival_period property to calculate the period when the portfolio has positive balance considering withdrawals on the historical data.
• dcf.survival_date property to get the date when the portfolio balance become negative considering withdrawals on the historical data.
• dcf.cashflow_pv property to calculate the discounted value (PV) of the cash flow amount at the historical first_date.
• dcf.initial_amount_pv property to calculate the discounted value (PV) of the initial investments at the historical first_date.

New properties in Portfolio class

• assets_dividend_yield property to calculate last twelve months (LTM) dividend yield time series (monthly) for each asset
• dividends_annual property to get calendar year dividends sum time series for each asset.

New methods and properties in AssetList class

• get_rolling_risk_annual() method to calculate annualized risk rolling time series for each asset.
• get_dividend_mean_yield() method to calculate the arithmetic mean for annual dividend yield over a specified period.
• dividend_yield_annual property to calculate last twelve months (LTM) dividend yield annual time series.

Changes in existing methods & properties

• Asset_List.risk_annual returns expanding risk time series (not float)
• Portfolio.recovery_period returns time series of recovery periods over historical data (not a single period)
• describe() method shows the rate of return arithmetic mean (expected return) in Portfolio, AssetList classes
• new xy_text argument in plot_assets() method to position better point labels
  in Portofolio, AssetList classes

New Jupyter Notebooks with examples

• 04 investment portfolios with DCF.ipynb for investment strategies with cash flow - portfolio withdrawals / contributions. Backtest the portfolio and forecast portfolio longevity with Monte Carlo simulation.
• 05 macroeconomics - inflation rates.ipynb to analyze inflation, key rates and other macro indicators historical data.

Bugs fixed

• Duplicate tickers in the assets are no longer allowed and are automatically corrected (AssetList, Portfolio, EfficientFrontier, EfficientFrontierReb)