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Added Support for Mass Action and Standard Incidence Selection and the Models SI, SIS, and SIRS #301

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da96be4
- Added epidemiological models: SI, SIS, and SIRS
M-BSquared Aug 5, 2024
7920f9f
Create Maximilian Boeck.dco
M-BSquared Aug 5, 2024
a5c9b8f
Merge branch 'master' of https://github.com/goldmansachs/gs-quant
M-BSquared Aug 6, 2024
a9a24b7
Updated to release 1.0.106 to ensure all added models work with the n…
M-BSquared Aug 6, 2024
47d6b3c
Merge branch 'goldmansachs:master' into master
M-BSquared Aug 7, 2024
9cc8dea
Fixed FutureWarning, added datetime handling in securities.py, moved DCO
M-BSquared Aug 7, 2024
cc3ad34
Updated yout contribution standards
M-BSquared Aug 11, 2024
a2c94e6
Updated your contribution standards
M-BSquared Aug 11, 2024
391696c
Merge branch 'master' of https://github.com/M-BSquared/gs-quant
M-BSquared Aug 11, 2024
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9 changes: 9 additions & 0 deletions dco/Maximilian Boeck.dco
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1) I, Maximilian Boeck, certify that all work committed with the commit message
"covered by: Maximilian Boeck.dco" is my original work and I own the copyright
to this work. I agree to contribute this code under the Apache 2.0 license.

2) I understand and agree all contribution including all personal
information I submit with it is maintained indefinitely and may be
redistributed consistent with the open source license(s) involved.

This certification is effective for all code contributed from 2024-08-05 to 9999-01-01.
3 changes: 2 additions & 1 deletion docs/classes/gs_quant.models.epidemiology.EpidemicModel.rst
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gs\_quant.models.epidemiology.EpidemicModel
.. This product contains code copyright Maximilian Boeck, licensed under Apache 2.0 license
gs\_quant.models.epidemiology.EpidemicModel
===========================================

.. currentmodule:: gs_quant.models.epidemiology
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4 changes: 3 additions & 1 deletion docs/classes/gs_quant.models.epidemiology.SEIR.rst
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gs\_quant.models.epidemiology.SEIR
.. This product contains code copyright Maximilian Boeck, licensed under Apache 2.0 license

gs\_quant.models.epidemiology.SEIR
==================================

.. currentmodule:: gs_quant.models.epidemiology
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25 changes: 25 additions & 0 deletions docs/classes/gs_quant.models.epidemiology.SI.rst
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.. This product contains code copyright Maximilian Boeck, licensed under Apache 2.0 license
gs\_quant.models.epidemiology.SI
=================================

.. currentmodule:: gs_quant.models.epidemiology

.. autoclass:: SI


.. automethod:: __init__


.. rubric:: Methods

.. autosummary::

~SI.__init__
~SI.calibrate
~SI.get_parameters






3 changes: 2 additions & 1 deletion docs/classes/gs_quant.models.epidemiology.SIR.rst
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gs\_quant.models.epidemiology.SIR
.. This product contains code copyright Maximilian Boeck, licensed under Apache 2.0 license
gs\_quant.models.epidemiology.SIR
=================================

.. currentmodule:: gs_quant.models.epidemiology
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25 changes: 25 additions & 0 deletions docs/classes/gs_quant.models.epidemiology.SIRS.rst
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.. This product contains code copyright Maximilian Boeck, licensed under Apache 2.0 license
gs\_quant.models.epidemiology.SIRS
=================================

.. currentmodule:: gs_quant.models.epidemiology

.. autoclass:: SIRS


.. automethod:: __init__


.. rubric:: Methods

.. autosummary::

~SIRS.__init__
~SIRS.calibrate
~SIRS.get_parameters






25 changes: 25 additions & 0 deletions docs/classes/gs_quant.models.epidemiology.SIS.rst
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.. This product contains code copyright Maximilian Boeck, licensed under Apache 2.0 license
gs\_quant.models.epidemiology.SIS
=================================

.. currentmodule:: gs_quant.models.epidemiology

.. autoclass:: SIS


.. automethod:: __init__


.. rubric:: Methods

.. autosummary::

~SIS.__init__
~SIS.calibrate
~SIS.get_parameters






3 changes: 2 additions & 1 deletion docs/classes/gs_quant.timeseries.statistics.SEIRModel.rst
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gs\_quant.timeseries.statistics.SEIRModel
.. This product contains code copyright Maximilian Boeck, licensed under Apache 2.0 license
gs\_quant.timeseries.statistics.SEIRModel
=========================================

.. currentmodule:: gs_quant.timeseries.statistics
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25 changes: 25 additions & 0 deletions docs/classes/gs_quant.timeseries.statistics.SIModel.rst
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.. This product contains code copyright Maximilian Boeck, licensed under Apache 2.0 license

gs\_quant.timeseries.statistics.SIModel
========================================

.. currentmodule:: gs_quant.timeseries.statistics

.. autoclass:: SIModel



.. rubric:: Methods
.. autosummary::

~SIModel.beta

~SIModel.i0

~SIModel.predict_i

~SIModel.predict_s

~SIModel.s0


3 changes: 2 additions & 1 deletion docs/classes/gs_quant.timeseries.statistics.SIRModel.rst
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gs\_quant.timeseries.statistics.SIRModel
.. This product contains code copyright Maximilian Boeck, licensed under Apache 2.0 license
gs\_quant.timeseries.statistics.SIRModel
========================================

.. currentmodule:: gs_quant.timeseries.statistics
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32 changes: 32 additions & 0 deletions docs/classes/gs_quant.timeseries.statistics.SIRSModel.rst
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.. This product contains code copyright Maximilian Boeck, licensed under Apache 2.0 license
gs\_quant.timeseries.statistics.SIRSModel
========================================

.. currentmodule:: gs_quant.timeseries.statistics

.. autoclass:: SIRSModel



.. rubric:: Methods
.. autosummary::

~SIRSModel.beta

~SIRSModel.gamma

~SIRSModel.delta

~SIRSModel.i0

~SIRSModel.predict_i

~SIRSModel.predict_r

~SIRSModel.predict_s

~SIRSModel.r0

~SIRSModel.s0


26 changes: 26 additions & 0 deletions docs/classes/gs_quant.timeseries.statistics.SISModel.rst
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.. This product contains code copyright Maximilian Boeck, licensed under Apache 2.0 license
gs\_quant.timeseries.statistics.SISModel
========================================

.. currentmodule:: gs_quant.timeseries.statistics

.. autoclass:: SISModel



.. rubric:: Methods
.. autosummary::

~SISModel.beta

~SISModel.delta

~SISModel.i0

~SISModel.predict_i

~SISModel.predict_s

~SISModel.s0


5 changes: 4 additions & 1 deletion docs/models.rst
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.. This product contains code copyright Maximilian Boeck, licensed under Apache 2.0 license
Models Package
==============

Expand All @@ -10,7 +10,10 @@ Epidemiology
.. autosummary::
:toctree: classes

SI
SIS
SIR
SIRS
SEIR
EpidemicModel

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5 changes: 4 additions & 1 deletion docs/module/models.rst
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.. This product contains code copyright Maximilian Boeck, licensed under Apache 2.0 license
Models Package
==============

Expand All @@ -10,7 +10,10 @@ Epidemiology
.. autosummary::
:toctree: classes

SI
SIS
SIR
SIRS
SEIR
EpidemicModel

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3 changes: 2 additions & 1 deletion docs/timeseries.rst
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.. This product contains code copyright Maximilian Boeck, licensed under Apache 2.0 license
Timeseries Package
==================

Expand Down Expand Up @@ -149,6 +149,7 @@ Statistics

LinearRegression
RollingLinearRegression
SIModel
SIRModel
SEIRModel

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4 changes: 2 additions & 2 deletions gs_quant/documentation/00_data/00_datasets/examples/0000_query_dataset.ipynb
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Expand Up @@ -528,10 +528,10 @@
"pycharm": {
"stem_cell": {
"cell_type": "raw",
"source": [],
"metadata": {
"collapsed": false
}
},
"source": []
}
}
},
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9 changes: 6 additions & 3 deletions gs_quant/markets/securities.py
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Expand Up @@ -12,7 +12,10 @@
KIND, either express or implied. See the License for the
specific language governing permissions and limitations
under the License.

//Portions copyright Maximilian Boeck. Licensed under Apache 2.0 license
"""

import calendar
import datetime
import datetime as dt
Expand Down Expand Up @@ -1521,7 +1524,7 @@ def get_asset(cls,

Get asset by bloomberg id:

>>> gs = SecurityMaster.get_asset("GS UN", AssetIdentifier.BLOOMBERG_ID)
>>> gs = SecurityMaster.get_asset("GS UN", AssetIdentifier.BLOOMBERG_ID, as_of=dt.datetime(2022, 2, 2, 22, 22))

Get asset by ticker and exchange code:

Expand Down Expand Up @@ -1590,7 +1593,7 @@ def _get_security_master_asset(cls,
type_ = id_type.value
params = {
type_: id_value,
'asOfDate': as_of.strftime('%Y-%m-%d') # TODO: update endpoint to take times
'asOfDate': as_of.strftime('%Y-%m-%dT%H:%M:%S') if isinstance(as_of, dt.datetime) else as_of.strftime('%Y-%m-%d')
}
if fields is not None:
request_fields = {
Expand Down Expand Up @@ -1651,7 +1654,7 @@ def get_identifiers(cls, id_values: List[str], id_type: SecurityIdentifier, as_o
params = {
type_: id_values,
'fields': ['id', 'identifiers'],
'asOfDate': as_of.strftime('%Y-%m-%d') # TODO: update endpoint to take times
'asOfDate': as_of.strftime('%Y-%m-%dT%H:%M:%S') if isinstance(as_of, dt.datetime) else as_of.strftime('%Y-%m-%d')
}

r = GsSession.current._get('/markets/securities', payload=params)
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