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// -------------------------------------------------------------------------------------------------
// Copyright (C) 2015-2026 Nautech Systems Pty Ltd. All rights reserved.
// https://nautechsystems.io
//
// Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
// You may not use this file except in compliance with the License.
// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
//
// Unless required by applicable law or agreed to in writing, software
// distributed under the License is distributed on an "AS IS" BASIS,
// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
// See the License for the specific language governing permissions and
// limitations under the License.
// -------------------------------------------------------------------------------------------------
use std::collections::BTreeMap;
use nautilus_core::python::to_pyvalue_err;
use pyo3::prelude::*;
use super::transform_returns;
use crate::{statistic::PortfolioStatistic, statistics::omega_ratio::OmegaRatio};
#[pymethods]
#[pyo3_stub_gen::derive::gen_stub_pymethods]
impl OmegaRatio {
/// Calculates the Omega ratio of portfolio returns.
///
/// The Omega ratio is the ratio of probability-weighted gains to losses relative
/// to a return threshold `θ`. It captures the entire return distribution (all
/// moments), unlike the Sharpe ratio which only uses the first two:
///
/// `Omega(θ) = sum(max(r - θ, 0)) / sum(max(θ - r, 0))`
///
/// The threshold `θ` defaults to `0` (gains vs losses about zero). A value above
/// `1` means gains above the threshold outweigh losses below it. Returns `NaN`
/// for an empty series, or when there are no returns below the threshold (the
/// ratio is undefined).
///
/// # References
///
/// - Keating, C., & Shadwick, W. F. (2002). "A Universal Performance Measure".
/// *Journal of Performance Measurement*, 6(3), 59-84.
#[new]
#[pyo3(signature = (threshold=None))]
fn py_new(threshold: Option<f64>) -> PyResult<Self> {
Self::new_checked(threshold).map_err(to_pyvalue_err)
}
fn __repr__(&self) -> String {
self.to_string()
}
#[getter]
#[pyo3(name = "name")]
fn py_name(&self) -> String {
self.name()
}
#[pyo3(name = "calculate_from_returns")]
#[expect(clippy::needless_pass_by_value)]
fn py_calculate_from_returns(&mut self, raw_returns: BTreeMap<u64, f64>) -> Option<f64> {
self.calculate_from_returns(&transform_returns(&raw_returns))
}
#[pyo3(name = "calculate_from_realized_pnls")]
fn py_calculate_from_realized_pnls(&mut self, _realized_pnls: Vec<f64>) -> Option<f64> {
None
}
#[pyo3(name = "calculate_from_positions")]
fn py_calculate_from_positions(&mut self, _positions: Vec<Py<PyAny>>) -> Option<f64> {
None
}
}