# 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 warnings import warn
from qf_lib.common.enums.frequency import Frequency
[docs]def get_grouping_for_frequency(frequency):
"""
Returns a proper grouping function which can then be applied in the series.groupby() or dataframe.groupby().
"""
warn('get_grouping_for_frequency is deprecated and will be removed in a future version of qf-lib',
DeprecationWarning, stacklevel=2)
if frequency == Frequency.DAILY:
grouping = [lambda x: x.day, lambda x: x.month, lambda x: x.year]
elif frequency == Frequency.WEEKLY:
# by ISO standards first week of the year is the first one that contains Thursday. Each ISO week starts with
# Monday. E.g. 2014-12-29 (Monday) is the first day of the first week in 2015, because Thursday of that week
# belongs to the 2015 (it's 2015-01-01).
def get_weekly_freq(x):
return datetime(x.year, x.month, x.day).isocalendar()[:2]
grouping = get_weekly_freq
elif frequency == Frequency.MONTHLY:
grouping = [lambda x: x.year, lambda x: x.month]
elif frequency == Frequency.YEARLY:
def get_yearly_freq(x):
return x.year
grouping = get_yearly_freq
else:
raise ValueError('convert_to must be {}, {}, {} or {}'.format(
Frequency.DAILY, Frequency.WEEKLY, Frequency.MONTHLY, Frequency.YEARLY))
return grouping