# 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 qf_lib.containers.series.qf_series import QFSeries
[docs]class InSampleReturnStats:
"""
Stores values of stats used to build confidence interval (Cone Chart)
Parameters
----------
mean_log_ret: float
mean log return expressed in the frequency of data samples (usually daily)
std_of_log_ret: float
std of log returns expressed in the frequency of data samples (usually daily)
"""
def __init__(self, mean_log_ret: float = None, std_of_log_ret: float = None):
self.mean_log_ret = mean_log_ret
self.std_of_log_ret = std_of_log_ret
def __str__(self):
return "mean log return: {}, std of log returns: {}".format(self.mean_log_ret, self.std_of_log_ret)
@staticmethod
def get_stats_from_tms(series: QFSeries):
log_ret_tms = series.to_log_returns()
return InSampleReturnStats(log_ret_tms.mean(), log_ret_tms.std())