Merge branch 'main' into add_dummy_variables

Author: dppalomar

.github/workflows/pythonpackage.yml

@@ -9,7 +9,7 @@ jobs:
     strategy:
       max-parallel: 9
       matrix:
-        python-version: ["3.7", "3.8", "3.9", "3.10"]
+        python-version: ["3.9", "3.10", "3.11"]
         os: [macos-latest, ubuntu-latest, windows-latest]
 
     steps:
@@ -19,12 +19,12 @@ jobs:
       with:
         python-version: ${{ matrix.python-version }}
     - name: Install Dependencies (Windows)
-      run: pip install "jax[cpu]===0.3.14" -f https://whls.blob.core.windows.net/unstable/index.html --use-deprecated legacy-resolver
+      run: pip install "jax[cpu]===0.4.12" -f https://whls.blob.core.windows.net/unstable/index.html --use-deprecated legacy-resolver
       if: matrix.os == 'windows-latest'
     - name: Install dependencies
       run: |
         python -m pip install --upgrade pip
-        pip install -r requirements.txt
+        pip install pybind11>=2.4 numpy jaxlib jax quadprog>=0.1.12 tqdm
     - name: Test with pytest
       run: |
         pip install -e .

MANIFEST.in

@@ -1,2 +1,3 @@
 include LICENSE README.md
+include src/riskparityportfolio/*.h
 graft third-party

pyproject.toml

@@ -0,0 +1,22 @@
+[build-system]
+requires = [
+  "setuptools>=40.6.0",
+  "wheel",
+  "setuptools_scm",
+  "oldest-supported-numpy",
+  "pybind11>=2.4",
+]
+build-backend = "setuptools.build_meta"
+
+[tool.black]
+line-length = 79
+
+[tool.isort]
+line_length = 79
+multi_line_output = 3
+include_trailing_comma = true
+force_grid_wrap = 0
+use_parentheses = true
+
+[tool.pytest.ini_options]
+addopts = "-v"

requirements.txt

@@ -4,7 +4,7 @@
 import setuptools
 import os
 
-__version__ = "0.4"
+__version__ = "0.5.1"
 
 # Prepare and send a new release to PyPI
 if "release" in sys.argv[-1]:
@@ -33,7 +33,7 @@ def __str__(self):
 ext_modules = [
     Extension(
         "riskparityportfolio.vanilla",
-        ["riskparityportfolio/vanilla.cpp"],
+        ["src/riskparityportfolio/vanilla.cpp"],
         include_dirs=[
             # Path to pybind11 headers
             get_pybind_include(),
@@ -69,7 +69,10 @@ def cpp_flag(compiler):
     if sys.platform == "darwin":
         flags = ["-std=c++14", "-std=c++11"]
     else:
-        flags = ["-std=c++17", "-std=c++14", "-std=c++11"]
+        flags = ["-std=c++20",
+                 "-std=c++17",
+                 "-std=c++14",
+                 "-std=c++11"]
 
     for flag in flags:
         if has_flag(compiler, flag):
@@ -129,12 +132,16 @@ def build_extensions(self):
     url="https://github.com/dppalomar/riskparity.py",
     description="Blazingly fast design of risk parity portfolios",
     license="MIT",
-    package_dir={"riskparityportfolio": "riskparityportfolio"},
+    package_dir={"riskparityportfolio": "src/riskparityportfolio"},
     packages=["riskparityportfolio"],
     long_description="",
     ext_modules=ext_modules,
-    install_requires=["pybind11>=2.4", "numpy", "jaxlib", "jax", "quadprog", "tqdm"],
-    setup_requires=["pybind11>=2.4", "numpy", "jaxlib", "jax", "quadprog", "tqdm"],
+    setup_requires=["pybind11>=2.4",
+                    "numpy",
+                    "jaxlib",
+                    "jax",
+                    "quadprog>=0.1.12",
+                    "tqdm"],
     cmdclass={"build_ext": BuildExt},
     classifiers=[
         "Development Status :: 3 - Alpha",

riskparityportfolio/version.py

@@ -0,0 +1 @@
+__version__ = "0.5.1"