modified return calculation to include motnhs and days
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@ -1,11 +1,17 @@
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from __future__ import annotations
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import datetime
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from typing import List, Union
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from typing import List, Literal, Union
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from dateutil.relativedelta import relativedelta
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from .core import AllFrequencies, TimeSeriesCore, _parse_date, _preprocess_match_options
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from .core import (
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AllFrequencies,
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TimeSeriesCore,
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_interval_to_years,
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_parse_date,
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_preprocess_match_options,
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)
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def create_date_series(
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@ -120,7 +126,8 @@ class TimeSeries(TimeSeriesCore):
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prior_match: str = "closest",
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closest: str = "previous",
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compounding: bool = True,
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years: int = 1,
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interval_type: Literal['years', 'months', 'days'] = 'years',
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interval_value: int = 1,
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date_format: str = None
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) -> float:
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"""Method to calculate returns for a certain time-period as on a particular date
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@ -172,7 +179,7 @@ class TimeSeries(TimeSeriesCore):
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raise ValueError("As on date not found")
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as_on += as_on_delta
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prev_date = as_on - relativedelta(years=years)
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prev_date = as_on - relativedelta(**{interval_type: interval_value})
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while True:
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previous = self.data.get(prev_date, None)
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if previous is not None:
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@ -183,6 +190,7 @@ class TimeSeries(TimeSeriesCore):
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returns = current / previous
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if compounding:
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years = _interval_to_years(interval_type, interval_value)
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returns = returns ** (1 / years)
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return returns - 1
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