# 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 datetime import datetime
from typing import Sequence, Callable
from qf_lib.containers.series.returns_series import ReturnsSeries, QFSeries
[docs]def aggregate_returns(
returns: ReturnsSeries, start_dates: Sequence[datetime], end_dates: Sequence[datetime]) -> Sequence[float]:
"""
Aggregates returns using custom start dates and end dates.
Parameters
----------
returns: ReturnsSeries
returns to be aggregated
start_dates: Sequence[datetime]
list of start dates for aggregations
end_dates: Sequence[datetime]
list of end dates for aggregations (of the same length as start_dates)
Returns
-------
Sequence[float]
list of aggregated returns corresponding to given start dates and end dates (it has the same length)
"""
assert len(start_dates) == len(end_dates)
aggregated_returns = []
for start_date, end_date in zip(start_dates, end_dates):
series_fragment = returns.loc[start_date:end_date]
aggregated_ret = series_fragment.total_cumulative_return()
aggregated_returns.append(aggregated_ret)
return aggregated_returns
def custom_series_aggregation(
series: QFSeries, start_dates: Sequence[datetime], end_dates: Sequence[datetime], func: Callable)\
-> Sequence[float]:
"""
Aggregates returns using custom start dates and end dates.
Parameters
----------
series
returns or prices to be aggregated
start_dates
list of start dates for aggregations
end_dates
list of end dates for aggregations (of the same length as start_dates)
func
function to be called on each slice of the data in order to aggregate it.
It only takes one argument: slice of the series
Returns
-------
list of aggregated values corresponding to given start dates and end dates (it has the same length)
"""
assert len(start_dates) == len(end_dates)
aggregated_values = []
for start_date, end_date in zip(start_dates, end_dates):
series_fragment = series.loc[start_date:end_date]
aggregated_ret = func(series_fragment)
aggregated_values.append(aggregated_ret)
return aggregated_values