setup.py

from setuptools import setup, Extension
from setuptools.command.build_ext import build_ext
import sys
import setuptools
import os

__version__ = "0.6.0"

# Prepare and send a new release to PyPI
if "release" in sys.argv[-1]:
    os.system("python setup.py sdist")
    os.system("twine upload dist/*")
    os.system("rm -rf dist/riskparityportfolio*")
    sys.exit()


class get_pybind_include(object):
    """Helper class to determine the pybind11 include path

    The purpose of this class is to postpone importing pybind11
    until it is actually installed, so that the ``get_include()``
    method can be invoked."""

    def __init__(self, user=False):
        self.user = user

    def __str__(self):
        import pybind11

        return pybind11.get_include(self.user)


ext_modules = [
    Extension(
        "riskparityportfolio.vanilla",
        ["src/riskparityportfolio/vanilla.cpp"],
        include_dirs=[
            # Path to pybind11 headers
            get_pybind_include(),
            get_pybind_include(user=True),
        ],
        #        extra_link_args=["-stdlib=libc++"],
        language="c++",
    ),
]


# As of Python 3.6, CCompiler has a `has_flag` method.
# cf http://bugs.python.org/issue26689
def has_flag(compiler, flagname):
    """Return a boolean indicating whether a flag name is supported on
    the specified compiler.
    """
    import tempfile

    with tempfile.NamedTemporaryFile("w", suffix=".cpp") as f:
        f.write("int main (int argc, char **argv) { return 0; }")
        try:
            compiler.compile([f.name], extra_postargs=[flagname])
        except setuptools.distutils.errors.CompileError:
            return False
    return True


def cpp_flag(compiler):
    """Return the -std=c++[11/14/17] compiler flag.
    The newer version is prefered over c++11 (when it is available).
    """
    if sys.platform == "darwin":
        flags = ["-std=c++14", "-std=c++11"]
    else:
        flags = ["-std=c++20",
                 "-std=c++17",
                 "-std=c++14",
                 "-std=c++11"]

    for flag in flags:
        if has_flag(compiler, flag):
            return flag

    raise RuntimeError("Unsupported compiler -- at least C++11 support " "is needed!")


class BuildExt(build_ext):
    """A custom build extension for adding compiler-specific options."""

    c_opts = {
        "msvc": ["/EHsc"],
        "unix": [],
    }
    l_opts = {
        "msvc": [],
        "unix": [],
    }
    if sys.platform == "darwin":
        darwin_opts = ["-stdlib=libc++", "-mmacosx-version-min=10.9"]
        c_opts["unix"] += darwin_opts
        l_opts["unix"] += darwin_opts

    def build_extensions(self):
        ct = self.compiler.compiler_type
        opts = self.c_opts.get(ct, [])
        link_opts = self.l_opts.get(ct, [])
        if ct == "unix":
            opts.append('-DVERSION_INFO="%s"' % self.distribution.get_version())
            opts.append(cpp_flag(self.compiler))
            if has_flag(self.compiler, "-fvisibility=hidden"):
                opts.append("-fvisibility=hidden")
        elif ct == "msvc":
            opts.append('/DVERSION_INFO=\\"%s\\"' % self.distribution.get_version())
        for ext in self.extensions:
            ext.extra_compile_args = opts
            ext.extra_link_args = link_opts
        # third-party libraries flags
        localincl = "third-party"
        if not os.path.exists(os.path.join(localincl, "eigen_3.3.7", "Eigen", "Core")):
            raise RuntimeError("couldn't find Eigen headers")
        include_dirs = [
            os.path.join(localincl, "eigen_3.3.7"),
        ]
        for ext in self.extensions:
            ext.include_dirs = include_dirs + ext.include_dirs
        # run standard build procedure
        build_ext.build_extensions(self)


setup(
    name="riskparityportfolio",
    version=__version__,
    author="Ze Vinicius & Dani Palomar",
    author_email="jvmirca@gmail.com",
    url="https://github.com/dppalomar/riskparity.py",
    description="Blazingly fast design of risk parity portfolios",
    license="MIT",
    package_dir={"riskparityportfolio": "src/riskparityportfolio"},
    packages=["riskparityportfolio"],
    long_description="",
    ext_modules=ext_modules,
    setup_requires=["pybind11>=2.4",
                    "numpy",
                    "jaxlib",
                    "jax",
                    "quadprog>=0.1.12",
                    "tqdm"],
    cmdclass={"build_ext": BuildExt},
    classifiers=[
        "Development Status :: 3 - Alpha",
        "Intended Audience :: Financial and Insurance Industry",
        "License :: OSI Approved :: MIT License",
        "Operating System :: OS Independent",
        "Programming Language :: Python :: 3.0",
    ],
    zip_safe=False,
    include_package_data=True,
)