https://github.com/bashtage/arch
Tip revision: 1de062e7c14a8493ffd1227c6fd5008018ed8b7b authored by Kevin Sheppard on 15 October 2018, 15:33:12 UTC
ENH: Add variance targetting GARCH model
ENH: Add variance targetting GARCH model
Tip revision: 1de062e
setup.py
from __future__ import print_function
import os
import sys
from distutils.errors import CCompilerError, DistutilsExecError, DistutilsPlatformError
import pkg_resources
from setuptools import Command, Extension, find_packages, setup
from setuptools.dist import Distribution
import versioneer
CYTHON_COVERAGE = os.environ.get('ARCH_CYTHON_COVERAGE', '0') in ('true', '1', 'True')
if CYTHON_COVERAGE:
print('Building with coverage for cython modules, ARCH_CYTHON_COVERAGE=' +
os.environ['ARCH_CYTHON_COVERAGE'])
try:
from Cython.Build import cythonize
from Cython.Distutils.build_ext import build_ext as _build_ext
CYTHON_INSTALLED = True
except ImportError:
CYTHON_INSTALLED = False
if CYTHON_COVERAGE:
raise ImportError('cython is required for cython coverage. Unset '
'ARCH_CYTHON_COVERAGE')
class _build_ext(object):
pass
FAILED_COMPILER_ERROR = """
******************************************************************************
* WARNING *
******************************************************************************
Unable to build binary modules for arch. While these are not required to run
any code in the package, it is strongly recommended to either compile the
extension modules or to use numba.
******************************************************************************
* WARNING *
******************************************************************************
"""
cmdclass = versioneer.get_cmdclass()
# prevent setup.py from crashing by calling import numpy before
# numpy is installed
class build_ext(_build_ext):
def build_extensions(self):
numpy_incl = pkg_resources.resource_filename('numpy', 'core/include')
for ext in self.extensions:
if (hasattr(ext, 'include_dirs') and
numpy_incl not in ext.include_dirs):
ext.include_dirs.append(numpy_incl)
_build_ext.build_extensions(self)
SETUP_REQUIREMENTS = {'numpy': '1.12'}
INSTALL_REQUIREMENTS = SETUP_REQUIREMENTS.copy()
INSTALL_REQUIREMENTS.update({'scipy': '0.19',
'pandas': '0.20',
'statsmodels': '0.8',
'cached_property': '1.5.1'})
cmdclass['build_ext'] = build_ext
class BinaryDistribution(Distribution):
def is_pure(self):
return False
class CleanCommand(Command):
user_options = []
def run(self):
raise NotImplementedError('Use git clean -xfd instead')
def initialize_options(self):
pass
def finalize_options(self):
pass
cmdclass['clean'] = CleanCommand
try:
markdown = os.stat('README.md').st_mtime
if os.path.exists('README.rst'):
rst = os.stat('README.rst').st_mtime
else:
rst = markdown - 1
if rst >= markdown:
with open('README.rst', 'r') as rst:
description = rst.read()
else:
import pypandoc
osx_line_ending = '\r'
windows_line_ending = '\r\n'
linux_line_ending = '\n'
description = pypandoc.convert_file('README.md', 'rst+smart')
description = description.replace(windows_line_ending, linux_line_ending)
description = description.replace(osx_line_ending, linux_line_ending)
with open('README.rst', 'w') as rst:
rst.write(description)
except (ImportError, OSError):
import warnings
warnings.warn("Unable to convert README.md to README.rst", UserWarning)
description = open('README.md').read()
def run_setup(binary=True):
if not binary:
extensions = []
else:
directives = {'linetrace': CYTHON_COVERAGE}
macros = [('NPY_NO_DEPRECATED_API', '1'),
('NPY_1_7_API_VERSION', '1')]
if CYTHON_COVERAGE:
macros.append(('CYTHON_TRACE', '1'))
ext_modules = []
ext_modules.append(Extension("arch.univariate.recursions",
["./arch/univariate/recursions.pyx"],
define_macros=macros))
ext_modules.append(Extension("arch.bootstrap._samplers",
["./arch/bootstrap/_samplers.pyx"],
define_macros=macros))
extensions = cythonize(ext_modules,
force=CYTHON_COVERAGE,
compiler_directives=directives)
setup(name='arch',
license='NCSA',
version=versioneer.get_version(),
description='ARCH for Python',
long_description=description,
author='Kevin Sheppard',
author_email='kevin.sheppard@economics.ox.ac.uk',
url='http://github.com/bashtage/arch',
packages=find_packages(),
ext_modules=extensions,
package_dir={'arch': './arch'},
cmdclass=cmdclass,
keywords=['arch', 'ARCH', 'variance', 'econometrics', 'volatility',
'finance', 'GARCH', 'bootstrap', 'random walk', 'unit root',
'Dickey Fuller', 'time series', 'confidence intervals',
'multiple comparisons', 'Reality Check', 'SPA', 'StepM'],
zip_safe=False,
include_package_data=True,
distclass=BinaryDistribution,
classifiers=[
'Development Status :: 5 - Production/Stable',
'Intended Audience :: End Users/Desktop',
'Intended Audience :: Financial and Insurance Industry',
'Programming Language :: Python :: 2.7',
'Programming Language :: Python :: 3.5',
'Programming Language :: Python :: 3.6',
'Programming Language :: Python :: 3.7',
'License :: OSI Approved',
'Operating System :: MacOS :: MacOS X',
'Operating System :: Microsoft :: Windows',
'Operating System :: POSIX',
'Programming Language :: Python',
'Programming Language :: Cython',
'Topic :: Scientific/Engineering',
],
install_requires=[key + '>=' + INSTALL_REQUIREMENTS[key]
for key in INSTALL_REQUIREMENTS],
setup_requires=[key + '>=' + SETUP_REQUIREMENTS[key]
for key in SETUP_REQUIREMENTS],
)
try:
build_binary = '--no-binary' not in sys.argv and CYTHON_INSTALLED
if '--no-binary' in sys.argv:
sys.argv.remove('--no-binary')
run_setup(binary=build_binary)
except (CCompilerError, DistutilsExecError, DistutilsPlatformError, IOError, ValueError):
run_setup(binary=False)
import warnings
warnings.warn(FAILED_COMPILER_ERROR, UserWarning)