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app.py -- Gradio UI for Value at Risk Analysis.
"""
import os
import pandas as pd
import gradio as gr
from src.logger import logger
from src.config import TICKERS, LOOKBACK_DAYS, STRESS_START_DATE, STRESS_END_DATE, STRESS_LABEL
from src.historical import historical_var_es_pipeline
from src.parametric import parametric_var_es_pipeline
def calculate_var_analysis(
ticker: str,
end_date_str: str,
portfolio_value: float,
n_days: int,
var_confidence_label: str,
es_confidence_label: str,
method: str,
):
"""Calculate Value at Risk analysis based on Gradio inputs and delegate to the analysis pipeline."""
logger.debug(
f"Analysis requested: {ticker} | VaR={var_confidence_label} ES={es_confidence_label} | {method} | N={n_days} | Date={end_date_str} | PV=${portfolio_value:,.0f}"
)
var_confidence = float(var_confidence_label.strip().replace("%", "")) / 100.0
es_confidence = float(es_confidence_label.strip().replace("%", "")) / 100.0
var_conf_pct = var_confidence_label.strip()
es_conf_pct = es_confidence_label.strip()
today = pd.Timestamp.today().normalize()
try:
end_date = pd.to_datetime(end_date_str, errors="raise").normalize()
except Exception:
gr.Warning("Invalid date selection. Please try again.")
return reset_analysis_results(n_days, var_confidence_label, es_confidence_label, method)
if end_date >= today:
gr.Warning(
"Invalid date selection. VaR estimation requires historical data, so please choose a date prior to today."
)
return reset_analysis_results(n_days, var_confidence_label, es_confidence_label, method)
fy_start = pd.Timestamp(year=today.year - 1, month=4, day=1)
if end_date < fy_start:
gr.Warning(f"VaR Date must be after {fy_start.strftime('%Y-%m-%d')}")
return reset_analysis_results(n_days, var_confidence_label, es_confidence_label, method)
if portfolio_value <= 0:
gr.Warning("Portfolio value must be positive.")
return reset_analysis_results(n_days, var_confidence_label, es_confidence_label, method)
pipeline = historical_var_es_pipeline if method == "Historical VaR" else parametric_var_es_pipeline
result = pipeline(
ticker,
var_confidence,
es_confidence,
LOOKBACK_DAYS,
int(n_days),
portfolio_value,
end_date,
stress_start=STRESS_START_DATE,
stress_end=STRESS_END_DATE,
stress_label=STRESS_LABEL,
)
logger.info(
f"Analysis complete: {ticker} | VaR=${result['var_nd']:,.2f} | ES=${result['es_nd']:,.2f}"
)
return (
gr.update(
label=f"{int(n_days)}-day {var_conf_pct} VaR",
value=f"${result['var_nd']:,.2f}",
),
gr.update(
label=f"{int(n_days)}-day {es_conf_pct} ES",
value=f"${result['es_nd']:,.2f}",
),
gr.update(
label=f"{int(n_days)}-day {var_conf_pct} Stressed VaR",
value=f"${result['stressed_var_nd']:,.2f}",
),
gr.update(
label=f"{int(n_days)}-day {es_conf_pct} Stressed ES",
value=f"${result['stressed_es_nd']:,.2f}",
),
gr.update(value=result["fig_dist"], visible=True),
gr.update(value=result["excel_path"], visible=True),
)
def reset_analysis_results(n_days: float, var_confidence_label: str, es_confidence_label: str, method: str):
"""Reset and hide analysis results when input parameters are modified."""
var_conf_pct = var_confidence_label.strip()
es_conf_pct = es_confidence_label.strip()
method_short = "Historical" if method == "Historical VaR" else "Parametric"
return (
gr.update(value="", label=f"{int(n_days)}-day {var_conf_pct} VaR"),
gr.update(value="", label=f"{int(n_days)}-day {es_conf_pct} ES"),
gr.update(value="", label=f"{int(n_days)}-day {var_conf_pct} Stressed VaR"),
gr.update(value="", label=f"{int(n_days)}-day {es_conf_pct} Stressed ES"),
gr.update(value=None, visible=False),
gr.update(visible=False),
)
def enable_run_button_for_method(method: str):
"""Enable the Run Analysis button only for fully implemented VaR methods."""
return gr.update(interactive=(method in ("Historical VaR", "Parametric VaR")))
# ------------------------------------------------------------------
# UI builder
# ------------------------------------------------------------------
CUSTOM_CSS = """
.form { border: none !important; box-shadow: none !important; gap: 0 !important; }
.form .block, .form .row, .form > * { border: none !important; box-shadow: none !important; }
#excel-btn, #excel-btn.primary {
background: #f97316 !important;
background-color: #f97316 !important;
color: white !important;
border-color: #9a3412 !important;
border: 1px solid #9a3412 !important;
}
#excel-btn:hover, #excel-btn.primary:hover {
background: #ea580c !important;
background-color: #ea580c !important;
border-color: #9a3412 !important;
border: 1px solid #9a3412 !important;
}
#portfolio-hr {
margin: 2rem 0 0.5rem !important;
border: none !important;
border-top: 1px solid #e5e7eb !important;
}
#portfolio-footer {
width: 100% !important;
max-width: 100% !important;
}
#portfolio-text {
text-align: center !important;
margin: 0 auto !important;
padding: 0.75rem 0 !important;
width: 100% !important;
}
#portfolio-text a {
color: #ffffff !important;
font-weight: 500 !important;
font-size: 0.8rem !important;
font-family: 'Inter', 'Segoe UI', system-ui, sans-serif !important;
letter-spacing: 0.05em !important;
text-decoration: none !important;
cursor: pointer !important;
}
#portfolio-text a:hover {
color: #d1d5db !important;
}
"""
def build_app() -> gr.Blocks:
"""Construct and return the Gradio Blocks application."""
with gr.Blocks(
title="VaR Engine",
) as app:
with gr.Row():
with gr.Column(scale=3):
gr.Markdown("# VaR Engine")
with gr.Column(scale=1, min_width=260):
download_file = gr.DownloadButton(
"Download Excel Report",
variant="primary",
visible=False,
elem_id="excel-btn",
)
with gr.Row():
# Sidebar
with gr.Column(scale=1, min_width=260):
gr.Markdown("### Inputs")
with gr.Group():
ticker_dd = gr.Dropdown(
choices=TICKERS,
value=TICKERS[0],
label="Ticker",
)
end_date_input = gr.DateTime(
include_time=False,
type="datetime",
label="VaR Date",
)
portfolio_val_input = gr.Number(
value=1000000,
label="Portfolio Value ($)",
)
n_days_slider = gr.Slider(
minimum=1,
maximum=15,
step=1,
value=10,
label="N Days for VaR",
)
with gr.Row():
confidence_dd = gr.Dropdown(
choices=["99%", "97.5%", "95%"],
value="99%",
label="VaR Confidence",
min_width=100,
)
es_confidence_dd = gr.Dropdown(
choices=["99%", "97.5%", "95%"],
value="99%",
label="ES Confidence",
min_width=100,
)
method_radio = gr.Radio(
choices=[
"Historical VaR",
"Parametric VaR",
],
value="Historical VaR",
label="Method",
)
run_btn = gr.Button("Run Analysis", variant="primary")
# Enable/disable run button based on method availability
method_radio.change(
fn=enable_run_button_for_method,
inputs=method_radio,
outputs=run_btn,
)
with gr.Column(scale=3):
gr.Markdown("### Results")
with gr.Row():
with gr.Column(scale=1):
var_box = gr.Textbox(
label="10-day 99% VaR",
interactive=False,
)
with gr.Column(scale=1):
es_box = gr.Textbox(
label="10-day 99% ES",
interactive=False,
)
with gr.Row():
with gr.Column(scale=1):
stressed_var_box = gr.Textbox(
label="10-day 99% Stressed VaR",
interactive=False,
)
with gr.Column(scale=1):
stressed_es_box = gr.Textbox(
label="10-day 99% Stressed ES",
interactive=False,
)
plot_dist = gr.Plot(show_label=False, visible=False)
# Wiring
all_outputs = [var_box, es_box, stressed_var_box, stressed_es_box, plot_dist, download_file]
run_btn.click(
fn=calculate_var_analysis,
inputs=[
ticker_dd,
end_date_input,
portfolio_val_input,
n_days_slider,
confidence_dd,
es_confidence_dd,
method_radio,
],
outputs=all_outputs,
)
all_inputs = [
ticker_dd,
end_date_input,
portfolio_val_input,
n_days_slider,
confidence_dd,
es_confidence_dd,
method_radio,
]
label_inputs = [n_days_slider, confidence_dd, es_confidence_dd, method_radio]
for comp in all_inputs:
if comp is n_days_slider:
comp.release(
fn=reset_analysis_results,
inputs=label_inputs,
outputs=all_outputs,
)
else:
comp.change(
fn=reset_analysis_results,
inputs=label_inputs,
outputs=all_outputs,
)
method_radio.change(
fn=enable_run_button_for_method, inputs=method_radio, outputs=run_btn
)
gr.HTML(
'<hr id="portfolio-hr">'
'<p id="portfolio-text">'
'<a href="https://kameshcodes.github.io/portfolio/" target="_blank">'
"\u00a9 kameshcodes"
"</a></p>",
elem_id="portfolio-footer",
)
return app
# ------------------------------------------------------------------
# Entry point
# ------------------------------------------------------------------
if __name__ == "__main__":
port = int(os.environ.get("PORT", 7860))
application = build_app()
application.launch(server_name="0.0.0.0", server_port=port, share=False, theme=gr.themes.Base(), css=CUSTOM_CSS)
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