# Copyright 2016-present CERN – European Organization for Nuclear Research
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
from math import sqrt
from typing import Union, List
from pandas import Series
from qf_lib.common.enums.frequency import Frequency
[docs]def annualise_with_sqrt(
values: Union[float, Series, List[float]], frequency: Frequency) -> Union[float, Series, List[float]]:
"""
Annualises samples of given frequency by multiplying each value by the square-rooted number of samples in a year
for a given frequency.
Parameters
----------
values: float, Series, List[float]
value(s) to annualise
frequency: Frequency
original sampling frequency for the given value(s)
Returns
-------
loat, Series, List[float]
annualised values
"""
occurrences_in_year = frequency.occurrences_in_year
if isinstance(values, float) or isinstance(values, int):
annualised_values = values * sqrt(occurrences_in_year)
elif isinstance(values, Series):
annualised_values = values.multiply(sqrt(occurrences_in_year))
else:
annualised_values = [value * sqrt(occurrences_in_year) for value in values]
return annualised_values