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fincal.expand now works by using .get and closest=previous

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This commit is contained in:
Gourav Kumar 2022-03-25 08:43:28 +05:30
parent 8be3359437
commit 3b96d231f4
1 changed files with 8 additions and 3 deletions
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11
fincal/fincal.py
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@ -552,7 +552,10 @@ class TimeSeries(TimeSeriesCore):
return max_drawdown return max_drawdown
def expand( def expand(
self, to_frequency: Literal["D", "W", "M", "Q", "H"], method: Literal["ffill", "bfill", "interpolate"] self,
to_frequency: Literal["D", "W", "M", "Q", "H"],
method: Literal["ffill", "bfill", "interpolate"],
skip_weekends: bool = False,
) -> TimeSeries: ) -> TimeSeries:
try: try:
to_frequency: Frequency = getattr(AllFrequencies, to_frequency) to_frequency: Frequency = getattr(AllFrequencies, to_frequency)
@ -562,8 +565,10 @@ class TimeSeries(TimeSeriesCore):
if to_frequency.days >= self.frequency.days: if to_frequency.days >= self.frequency.days:
raise ValueError("TimeSeries can be only expanded to a higher frequency") raise ValueError("TimeSeries can be only expanded to a higher frequency")
new_dates = create_date_series(self.start_date, self.end_date, frequency=to_frequency.symbol) new_dates = create_date_series(
new_ts: dict = {dt: self.data.get(dt, None) for dt in new_dates} self.start_date, self.end_date, frequency=to_frequency.symbol, skip_weekends=skip_weekends
)
new_ts: dict = {dt: self.get(dt, closest="previous")[1] for dt in new_dates}
output_ts: TimeSeries = TimeSeries(new_ts, frequency=to_frequency.symbol) output_ts: TimeSeries = TimeSeries(new_ts, frequency=to_frequency.symbol)
if method == "ffill": if method == "ffill":