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improved calculate_returns function

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Using find_closest_date function
This commit is contained in:
Gourav Kumar 2022-02-26 00:44:45 +05:30
parent 1be38ce7d4
commit d1f9e3924f
1 changed files with 16 additions and 36 deletions
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52
fincal/fincal.py
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@ -8,6 +8,7 @@ from dateutil.relativedelta import relativedelta
from .core import ( from .core import (
AllFrequencies, AllFrequencies,
TimeSeriesCore, TimeSeriesCore,
_find_closest_date,
_interval_to_years, _interval_to_years,
_parse_date, _parse_date,
_preprocess_match_options, _preprocess_match_options,
@ -189,40 +190,19 @@ class TimeSeries(TimeSeriesCore):
as_on = _parse_date(as_on, date_format) as_on = _parse_date(as_on, date_format)
as_on_delta, prior_delta = _preprocess_match_options(as_on_match, prior_match, closest) as_on_delta, prior_delta = _preprocess_match_options(as_on_match, prior_match, closest)
original_as_on = as_on
while True:
current = self.data.get(as_on, None)
if current is not None:
break
elif not as_on_delta:
if if_not_found == 'fail':
raise ValueError(f"As on date {original_as_on} not found")
elif if_not_found == 'nan':
return as_on, float("NaN")
else:
raise ValueError(f"Invalid argument for if_not_found: {if_not_found}")
as_on += as_on_delta
prev_date = as_on - relativedelta(**{interval_type: interval_value}) prev_date = as_on - relativedelta(**{interval_type: interval_value})
while True: current = _find_closest_date(self.data, as_on, as_on_delta, if_not_found)
previous = self.data.get(prev_date, None) previous = _find_closest_date(self.data, prev_date, prior_delta, if_not_found)
if previous is not None:
break
elif not prior_delta:
if if_not_found == 'fail':
raise ValueError(f"Previous date {previous} not found")
elif if_not_found == 'nan':
return (as_on if return_actual_date else original_as_on), float("NaN")
else:
raise ValueError(f"Invalid argument for if_not_found: {if_not_found}")
prev_date += prior_delta
returns = current / previous if current[1] == str('nan') or previous[1] == str('nan'):
return as_on, float('NaN')
returns = current[1] / previous[1]
if compounding: if compounding:
years = _interval_to_years(interval_type, interval_value) years = _interval_to_years(interval_type, interval_value)
returns = returns ** (1 / years) returns = returns ** (1 / years)
return (as_on if return_actual_date else original_as_on), returns - 1 return (current[0] if return_actual_date else as_on), returns - 1
def calculate_rolling_returns( def calculate_rolling_returns(
self, self,
@ -274,13 +254,13 @@ class TimeSeries(TimeSeriesCore):
if __name__ == "__main__": if __name__ == "__main__":
date_series = [ date_series = [
datetime.datetime(2020, 1, 1), datetime.datetime(2020, 1, 11),
datetime.datetime(2020, 1, 2),
datetime.datetime(2020, 1, 3),
datetime.datetime(2020, 1, 4),
datetime.datetime(2020, 1, 7),
datetime.datetime(2020, 1, 8),
datetime.datetime(2020, 1, 9),
datetime.datetime(2020, 1, 10),
datetime.datetime(2020, 1, 12), datetime.datetime(2020, 1, 12),
datetime.datetime(2020, 1, 13),
datetime.datetime(2020, 1, 14),
datetime.datetime(2020, 1, 17),
datetime.datetime(2020, 1, 18),
datetime.datetime(2020, 1, 19),
datetime.datetime(2020, 1, 20),
datetime.datetime(2020, 1, 22),
] ]