incorporated eomonth in ffill and bfill

More Sharpe tests and ffill/bfill tests

fincal/fincal.py

@@ -145,7 +145,9 @@ class TimeSeries(TimeSeriesCore):
         res_string: str = "First date: {}\nLast date: {}\nNumber of rows: {}"
         return res_string.format(self.start_date, self.end_date, total_dates)
 
-    def ffill(self, inplace: bool = False, limit: int = 1000, skip_weekends: bool = False) -> TimeSeries | None:
+    def ffill(
+        self, inplace: bool = False, limit: int = 1000, skip_weekends: bool = False, eomonth: bool = False
+    ) -> TimeSeries | None:
         """Forward fill missing dates in the time series
 
         Parameters
@@ -164,7 +166,6 @@ class TimeSeries(TimeSeriesCore):
             Returns a TimeSeries object if inplace is False, otherwise None
         """
 
-        eomonth: bool = True if self.frequency.days >= AllFrequencies.M.days else False
         dates_to_fill = create_date_series(
             self.start_date, self.end_date, self.frequency.symbol, eomonth, skip_weekends=skip_weekends
         )
@@ -188,7 +189,9 @@ class TimeSeries(TimeSeriesCore):
 
         return self.__class__(new_ts, frequency=self.frequency.symbol)
 
-    def bfill(self, inplace: bool = False, limit: int = 1000, skip_weekends: bool = False) -> TimeSeries | None:
+    def bfill(
+        self, inplace: bool = False, limit: int = 1000, skip_weekends: bool = False, eomonth: bool = False
+    ) -> TimeSeries | None:
         """Backward fill missing dates in the time series
 
         Parameters
@@ -207,7 +210,6 @@ class TimeSeries(TimeSeriesCore):
             Returns a TimeSeries object if inplace is False, otherwise None
         """
 
-        eomonth: bool = True if self.frequency.days >= AllFrequencies.M.days else False
         dates_to_fill = create_date_series(
             self.start_date, self.end_date, self.frequency.symbol, eomonth, skip_weekends=skip_weekends
         )

tests/test_fincal.py

@@ -164,6 +164,40 @@ class TestTimeSeriesBasics:
         assert "2017-01-15" in bf
         assert bf["2017-01-15"][1] == bf["2017-01-22"][1]
 
+    def test_fill_monthly(self, create_test_data):
+        ts_data = create_test_data(frequency=AllFrequencies.M, num=10)
+        ts_data.pop(2)
+        ts_data.pop(6)
+        ts = TimeSeries(ts_data, frequency="M")
+        assert len(ts) == 8
+
+        ff = ts.ffill()
+        assert len(ff) == 10
+        assert "2017-03-01" in ff
+        assert ff["2017-03-01"][1] == ff["2017-02-01"][1]
+
+        bf = ts.bfill()
+        assert len(bf) == 10
+        assert "2017-08-01" in bf
+        assert bf["2017-08-01"][1] == bf["2017-09-01"][1]
+
+    def test_fill_eomonthly(self, create_test_data):
+        ts_data = create_test_data(frequency=AllFrequencies.M, num=10, eomonth=True)
+        ts_data.pop(2)
+        ts_data.pop(6)
+        ts = TimeSeries(ts_data, frequency="M")
+        assert len(ts) == 8
+
+        ff = ts.ffill()
+        assert len(ff) == 10
+        assert "2017-03-31" in ff
+        assert ff["2017-03-31"][1] == ff["2017-02-28"][1]
+
+        bf = ts.bfill()
+        assert len(bf) == 10
+        assert "2017-08-31" in bf
+        assert bf["2017-08-31"][1] == bf["2017-09-30"][1]
+
 
 class TestReturns:
     def test_returns_calc(self, create_test_data):

tests/test_stats.py

@@ -7,7 +7,7 @@ def test_conf(conf_fun):
 
 
 class TestSharpe:
-    def test_sharpe_daily(self, create_test_data):
+    def test_sharpe_daily_freq(self, create_test_data):
         data = create_test_data(num=1305, frequency=fc.AllFrequencies.D, skip_weekends=True)
         ts = fc.TimeSeries(data, "D")
         sharpe_ratio = fc.sharpe_ratio(
@@ -49,3 +49,26 @@ class TestSharpe:
             return_period_value=6,
         )
         assert round(sharpe_ratio, 4) == 0.8401
+
+    def test_sharpe_weekly_freq(self, create_test_data):
+        data = create_test_data(num=261, frequency=fc.AllFrequencies.W, mu=0.6, sigma=0.7)
+        ts = fc.TimeSeries(data, "W")
+        sharpe_ratio = fc.sharpe_ratio(
+            ts,
+            risk_free_rate=0.052,
+            from_date="2017-01-08",
+            to_date="2021-12-31",
+            return_period_unit="days",
+            return_period_value=7,
+        )
+        assert round(sharpe_ratio, 4) == 0.4533
+
+        sharpe_ratio = fc.sharpe_ratio(
+            ts,
+            risk_free_rate=0.052,
+            from_date="2017-02-05",
+            to_date="2021-12-31",
+            return_period_unit="months",
+            return_period_value=1,
+        )
+        assert round(sharpe_ratio, 4) == 0.4898