# 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
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from qf_lib.containers.dataframe.qf_dataframe import QFDataFrame
[docs]class PricesDataFrame(QFDataFrame):
"""
DataFrame containing prices (for example prices of the SPY).
"""
@property
def _constructor_sliced(self):
from qf_lib.containers.series.prices_series import PricesSeries
return PricesSeries
@property
def _constructor(self):
return PricesDataFrame
[docs] def to_simple_returns(self) -> "SimpleReturnsDataFrame":
"""
Converts dataframe to the dataframe of simple returns. First date of prices in the returns timeseries won't
be present.
Returns
-------
SimpleReturnsDataFrame
dataframe of simple returns
"""
from qf_lib.containers.dataframe.simple_returns_dataframe import SimpleReturnsDataFrame
returns = self.pct_change(fill_method=None)
return SimpleReturnsDataFrame(data=returns.iloc[1:], index=self.index[1:]).__finalize__(self)