Added tests for expand

README.md

@@ -31,4 +31,8 @@ Fincal aims to simplify things by allowing you to:
 - [ ] Sharpe ratio
 - [ ] Jensen's Alpha
 - [ ] Beta
-- [x] Max drawdown
+- [x] Max drawdown
+
+### Pending implementation
+- [ ] Use limit parameter in ffill and bfill
+- [ ] Implementation of ffill and bfill may be incorrect inside expand, check and correct

fincal/fincal.py

@@ -130,7 +130,7 @@ 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 = None) -> Union[TimeSeries, None]:
+    def ffill(self, inplace: bool = False, limit: int = None, skip_weekends: bool = False) -> Union[TimeSeries, None]:
         """Forward fill missing dates in the time series
 
         Parameters
@@ -141,18 +141,23 @@ class TimeSeries(TimeSeriesCore):
         limit : int, optional
             Maximum number of periods to forward fill
 
+        skip_weekends: bool, optional, default false
+            Skip weekends while forward filling daily data
+
         Returns
         -------
             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)
+        dates_to_fill = create_date_series(
+            self.start_date, self.end_date, self.frequency.symbol, eomonth, skip_weekends=skip_weekends
+        )
 
         new_ts = dict()
         for cur_date in dates_to_fill:
             try:
-                cur_val = self.data[cur_date]
+                cur_val = self.get(cur_date, closest="previous")
             except KeyError:
                 pass
             new_ts.update({cur_date: cur_val})
@@ -163,7 +168,7 @@ class TimeSeries(TimeSeriesCore):
 
         return self.__class__(new_ts, frequency=self.frequency.symbol)
 
-    def bfill(self, inplace: bool = False, limit: int = None) -> Union[TimeSeries, None]:
+    def bfill(self, inplace: bool = False, limit: int = None, skip_weekends: bool = False) -> Union[TimeSeries, None]:
         """Backward fill missing dates in the time series
 
         Parameters
@@ -174,13 +179,18 @@ class TimeSeries(TimeSeriesCore):
         limit : int, optional
             Maximum number of periods to back fill
 
+        skip_weekends: bool, optional, default false
+            Skip weekends while forward filling daily data
+
         Returns
         -------
             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)
+        dates_to_fill = create_date_series(
+            self.start_date, self.end_date, self.frequency.symbol, eomonth, skip_weekends=skip_weekends
+        )
         dates_to_fill.append(self.end_date)
 
         bfill_ts = dict()
@@ -574,9 +584,9 @@ class TimeSeries(TimeSeriesCore):
         output_ts: TimeSeries = TimeSeries(new_ts, frequency=to_frequency.symbol)
 
         if method == "ffill":
-            output_ts.ffill(inplace=True)
+            output_ts.ffill(inplace=True, skip_weekends=skip_weekends)
         elif method == "bfill":
-            output_ts.bfill(inplace=True)
+            output_ts.bfill(inplace=True, skip_weekends=skip_weekends)
         else:
             raise NotImplementedError(f"Method {method} not implemented")
 

tests/test_fincal.py

@@ -298,6 +298,60 @@ class TestReturns:
         with pytest.raises(DateNotFoundError):
             ts.calculate_returns("2020-11-25", return_period_unit="days", return_period_value=90, closest_max_days=10)
 
+    def test_rolling_returns(self):
+        # Yet to be written
+        return True
+
+
+class TestExpand:
+    def test_weekly_to_daily(self):
+        ts_data = create_test_data(AllFrequencies.W, 10)
+        ts = TimeSeries(ts_data, "W")
+        expanded_ts = ts.expand("D", "ffill")
+        assert len(expanded_ts) == 64
+        assert expanded_ts.frequency.name == "daily"
+        assert expanded_ts.iloc[0][1] == expanded_ts.iloc[1][1]
+
+    def test_weekly_to_daily_no_weekends(self):
+        ts_data = create_test_data(AllFrequencies.W, 10)
+        ts = TimeSeries(ts_data, "W")
+        expanded_ts = ts.expand("D", "ffill", skip_weekends=True)
+        assert len(expanded_ts) == 45
+        assert expanded_ts.frequency.name == "daily"
+        assert expanded_ts.iloc[0][1] == expanded_ts.iloc[1][1]
+
+    def test_monthly_to_daily(self):
+        ts_data = create_test_data(AllFrequencies.M, 6)
+        ts = TimeSeries(ts_data, "M")
+        expanded_ts = ts.expand("D", "ffill")
+        assert len(expanded_ts) == 152
+        assert expanded_ts.frequency.name == "daily"
+        assert expanded_ts.iloc[0][1] == expanded_ts.iloc[1][1]
+
+    def test_monthly_to_daily_no_weekends(self):
+        ts_data = create_test_data(AllFrequencies.M, 6)
+        ts = TimeSeries(ts_data, "M")
+        expanded_ts = ts.expand("D", "ffill", skip_weekends=True)
+        assert len(expanded_ts) == 109
+        assert expanded_ts.frequency.name == "daily"
+        assert expanded_ts.iloc[0][1] == expanded_ts.iloc[1][1]
+
+    def test_monthly_to_weekly(self):
+        ts_data = create_test_data(AllFrequencies.M, 6)
+        ts = TimeSeries(ts_data, "M")
+        expanded_ts = ts.expand("W", "ffill")
+        assert len(expanded_ts) == 22
+        assert expanded_ts.frequency.name == "weekly"
+        assert expanded_ts.iloc[0][1] == expanded_ts.iloc[1][1]
+
+    def test_yearly_to_monthly(self):
+        ts_data = create_test_data(AllFrequencies.Y, 5)
+        ts = TimeSeries(ts_data, "Y")
+        expanded_ts = ts.expand("M", "ffill")
+        assert len(expanded_ts) == 49
+        assert expanded_ts.frequency.name == "monthly"
+        assert expanded_ts.iloc[0][1] == expanded_ts.iloc[1][1]
+
 
 class TestReturnsAgain:
     data = [