saporitigianni / russellcapping

Single level implementation of the FTSE Russell Capping Methodology

russellcapping: Single level FTSE Russell Capping Methodology implementation

Installation

To install russellcapping, simply use pip:

$ pip install russellcapping

or install directly from source to include latest changes:

$ pip install git+https://github.com/saporitigianni/russellcapping.git

or clone and then install:

$ git clone https://github.com/saporitigianni/russellcapping.git
$ cd russellcapping
$ python3 setup.py install

Usage

import russellcapping as rc

# Constructor takes in total market cap, data for the individual constituents and a capping percentage
item = rc.RussellCapping(total_mc=sample_mc, raw_data=sample_data, capping_percent=10)

# Run capping method which returns the data adjusted for the capping percent and the new market cap
new_data, new_mc = item.russell_capping()

Acknowledgements

An original publication of the FTSE Russell capping methodology can be found here.

Contributing

Please read the CONTRIBUTING document before making changes that you would like adopted in the code.

Code of Conduct

Everyone interacting in the russellcapping project's codebase, issue trackers, chat rooms, and mailing lists is expected to follow the PyPA Code of Conduct.

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