QuantToolbox (Python)

Python port of the MATLAB QuantToolbox library: econometrics, portfolio optimization / risk budgeting, distribution utilities, and backtesting tools.

This is a from-scratch redesign, not a line-by-line transliteration. The original MATLAB code relied on:

  • a hand-built "GAUSS-style" primitive layer (rows, cols, sumc, packr, selif, seqa, lag1, ...) — replaced here with native NumPy / pandas operations.
  • global variables for solver configuration (ADMM/CCD tolerances, iteration limits, MVO problem state) — replaced here with explicit config dataclasses passed into functions/classes.
  • many near-duplicate solver variants (e.g. ~40 files implementing risk budgeting under different constraint/algorithm combinations) — consolidated here into single classes parameterized by method= / constraints=.

See docs/migration_map.md for the file-by-file mapping from the original MATLAB source to this package, including specific translation notes.

Install (editable, dev)

pip install -e ".[dev,viz]"

Project layout

src/quanttoolbox/
├── config.py            # dataclasses replacing MATLAB `global` blocks
├── dates/                Excel<->date conversion, rebalancing calendars
├── backtest/              return/price series, drawdown, turnover, reporting
├── stats/                 distributions, moments, regression (OLS/ridge/lasso/robust/kernel)
├── econometrics/          OLS/GMM/ML/Whittle estimation, VAR/VARX, Kalman filter, ADF/Wald tests
├── optim/                 proximal operators, projections, QP wrapper, bisection
├── portfolio/             risk budgeting, mean-variance, tracking error, Black-Litterman
├── mixtures/               Gaussian-mixture & jump-diffusion risk measures
├── svm/                    SVM primal/dual (classification & regression)
├── spline/                cubic smoothing splines, banded solver
├── maths/                  numerical differentiation, GBM simulation
├── linalg/                 vec/vech/xpnd, commutation/duplication matrices
└── viz/                    figure export helpers

Status

Scaffold stage — module structure and public APIs are being ported incrementally from the MATLAB source. See docs/migration_map.md for per-module progress.

Testing

pytest

Project links

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Key dates

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  • Released:
Newer release available (0.3.0)

1 maintainer

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Avatar for lcrmorin from gravatar.com lcrmorin

Credits

Author: Lucas Morin

GitHub Statistics

Data verified by PyPI on Aug 20, 2026
The GitHub source repository was provided by the project maintainers and verified by PyPI at the time of upload. Stars, forks, and open issues/PRs are derived from that repository and have not been independently verified.

License

MIT

Requires

Python >=3.10

Provides Extra

dev sklearn viz

Tags

econometrics finance portfolio-optimization quant risk-parity

Classifiers

Report project as malware

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