# 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.dataframe.qf_dataframe import QFDataFrame
[docs]class SimpleReturnsDataFrame(QFDataFrame):
"""
DataFrame containing simple returns.
"""
@property
def _constructor_sliced(self):
from qf_lib.containers.series.simple_returns_series import SimpleReturnsSeries
return SimpleReturnsSeries
@property
def _constructor(self):
return SimpleReturnsDataFrame
def aggregate_by_year(self):
from qf_lib.common.utils.returns.get_aggregate_returns import get_aggregate_returns
from qf_lib.common.enums.frequency import Frequency
def agg_series_by_year(series):
return get_aggregate_returns(series=series, convert_to=Frequency.YEARLY)
annual_returns_df = self.apply(agg_series_by_year, axis=0)
return annual_returns_df
[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
"""
return self