pyproject.toml

[build-system]
requires = ["setuptools>=77", "wheel"]
build-backend = "setuptools.build_meta"

[project]
name = "goal-based-allocation"
version = "0.3.1"
description = "Analytical dynamic mean-variance allocation and terminal-wealth risk under regime-switching jump-diffusions"
readme = "README.md"
license = "MIT"
requires-python = ">=3.10"
authors = [
    {name = "Artur Sepp"},
]
keywords = [
    "portfolio-optimization",
    "mean-variance",
    "regime-switching",
    "jump-diffusion",
    "goal-based-investing",
    "laplace-transform",
    "option-pricing",
    "quantitative-finance",
    "asset-allocation",
    "wealth-management",
    "absorbing-barrier",
]
classifiers = [
    "Development Status :: 4 - Beta",
    "Intended Audience :: Financial and Insurance Industry",
    "Intended Audience :: Science/Research",
    "Programming Language :: Python :: 3",
    "Programming Language :: Python :: 3.10",
    "Programming Language :: Python :: 3.11",
    "Programming Language :: Python :: 3.12",
    "Programming Language :: Python :: 3.13",
    "Programming Language :: Python :: 3.14",
    "Topic :: Office/Business :: Financial :: Investment",
    "Topic :: Scientific/Engineering :: Mathematics",
]
dependencies = [
    "numpy>=1.24",
    "scipy>=1.10",
    "matplotlib>=3.7",
]

[project.optional-dependencies]
docs = ["sphinx>=7", "myst-parser>=2", "sphinx-sitemap>=2"]

[dependency-groups]
test = ["pytest"]
lint = ["black", "ruff==0.16.2"]

[tool.pytest.ini_options]
testpaths = ["tests"]
markers = [
    "slow: slower tests such as Monte Carlo cross-checks",
]

[project.urls]
Homepage = "https://github.com/ArturSepp/GoalBasedAllocation"
Repository = "https://github.com/ArturSepp/GoalBasedAllocation"
Issues = "https://github.com/ArturSepp/GoalBasedAllocation/issues"
Documentation = "https://goalbasedallocation.readthedocs.io"
Changelog = "https://github.com/ArturSepp/GoalBasedAllocation/blob/main/CHANGELOG.md"
Paper = "https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6534579"

[tool.setuptools]
package-dir = {"" = "src"}

[tool.setuptools.packages.find]
where = ["src"]
include = ["goal_based_allocation*"]
exclude = ["goal_based_allocation.run*"]

# `papers/` reproduces published code and is left exactly as-is.
[tool.ruff]
line-length = 100
exclude = ["papers"]

[tool.ruff.lint]
# The stack's scientific-import convention is intentionally not isort's grouping convention.
select = ["E", "F", "W"]
extend-select = ["TID251", "TID253", "ICN"]
# Existing numerical modules contain long equations and messages; do not expand this waiver.
extend-ignore = ["E501"]

[tool.ruff.lint.flake8-tidy-imports.banned-api]
# A1: this package is a standalone leaf and imports no other package in the OSS stack.
"qis".msg = "A1: goal-based-allocation is standalone and must not depend on stack packages."
"optimalportfolios".msg = "A1: goal-based-allocation is standalone and must not depend on stack packages."
"factorlasso".msg = "A1: goal-based-allocation is standalone and must not depend on stack packages."
"bbg_fetch".msg = "A1: goal-based-allocation is standalone and must not depend on stack packages."
"trendfollowing".msg = "A1: goal-based-allocation is standalone and must not depend on stack packages."
"stochvolmodels".msg = "A1: goal-based-allocation is standalone and must not depend on stack packages."
"vanilla_option_pricers".msg = "A1: goal-based-allocation is standalone and must not depend on stack packages."
"privateassets".msg = "A1: goal-based-allocation is standalone and must not depend on stack packages."

[tool.ruff.lint.flake8-tidy-imports]
# A3: optional libraries stay behind guarded local imports, never package import time.
banned-module-level-imports = [
    "pandas",
    "pandas_datareader",
    "plotly",
    "pyarrow",
    "pybloqs",
    "psycopg2",
    "sklearn",
    "sqlalchemy",
    "statsmodels",
    "yfinance",
    "yaml",
]

[tool.ruff.lint.flake8-import-conventions.aliases]
# This replaces Ruff's default alias map; matplotlib is legitimately `plt` in runners.
numpy = "np"
pandas = "pd"

[tool.ruff.lint.per-file-ignores]
# The package root intentionally re-exports the documented public API.
"src/goal_based_allocation/__init__.py" = ["F401"]
# Narrow waivers record pre-existing style debt in published numerical modules. New files must
# pass the full configured rules, and these lists must not be expanded to make a change green.
"src/goal_based_allocation/client_solver.py" = [
    "E701", "E702", "E722", "F401", "F541", "F841", "W293",
]
"src/goal_based_allocation/laplace_inversion.py" = ["W293"]
"src/goal_based_allocation/mandate_utils.py" = ["E702", "F841"]
"src/goal_based_allocation/opportunity_set.py" = [
    "E701", "E702", "E722", "E741", "W293",
]
"src/goal_based_allocation/regime_switch_paper.py" = ["F841"]
"src/goal_based_allocation/riccati_solver.py" = ["E701", "E702", "F401", "F841"]
"src/goal_based_allocation/vanilla_option_pricer.py" = ["F401", "W292"]