# 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.
import numpy as np
from qf_lib.containers.series.qf_series import QFSeries
[docs]def tail_events(benchmark_tms: QFSeries, examined_tms: QFSeries, tail_percentile: float) -> [QFSeries, QFSeries]:
"""
Gets tail events of the benchmark and corresponding events in the examined timeseries. Both benchmark_tms
and examined_tms must be of the same length. Moreover, events on each position in both series must be corresponding.
Example: for the tail_percentile = 16 all the events of the benchmark with values to the left from one standard
deviation will be returned (along with corresponding events from examined_tms).
Parameters
----------
benchmark_tms: QFSeries
timeseries corresponding to the benchmark
examined_tms: QFSeries
timeseries corresponding to the examined asset
tail_percentile: float
Percentile to compute. Must be a number from range [0,100]
Returns
-------
Tuple[QFSeries, QFSeries]
(benchmark_tail_tms, examined_tail_tms) - tail events of the benchmark, events from the
examined series corresponding to the benchmark's tail events
"""
assert benchmark_tms.index.equals(examined_tms.index)
percentile = np.percentile(benchmark_tms, tail_percentile)
indices_of_tail_events = benchmark_tms < percentile
benchmark_tail_tms = benchmark_tms[indices_of_tail_events]
examined_tail_tms = examined_tms[indices_of_tail_events]
return benchmark_tail_tms, examined_tail_tms