# 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 typing import Union
from pandas import DatetimeIndex, Timedelta, Index
from qf_lib.containers.series.qf_series import QFSeries
[docs]class ReturnsSeries(QFSeries):
"""
Series of returns. It is a base class for series which specify the type of the returns (e.g. LogReturnsSeries).
This is an abstract class and should not be instantiated.
"""
@property
def _constructor(self):
raise NotImplementedError()
@property
def _constructor_expanddim(self):
raise NotImplementedError()
[docs] def to_prices(self, initial_price: float = None, suggested_initial_date: Union[datetime, int, float] = None,
frequency=None) -> "PricesSeries":
if suggested_initial_date is None:
suggested_initial_date = self._get_initial_date(frequency)
if initial_price is None:
initial_price = 1.0
if suggested_initial_date is not datetime:
prices_dates = Index([suggested_initial_date]).append(self.index.copy()) # if it is numeric or string based
else:
prices_dates = DatetimeIndex([suggested_initial_date]).append(self.index.copy())
prices_values = self._to_prices_values(initial_price)
from qf_lib.containers.series.prices_series import PricesSeries
return PricesSeries(data=prices_values, index=prices_dates).__finalize__(self)
def _get_initial_date(self, frequency=None):
if frequency is None:
interval, _ = self.infer_interval()
else:
interval = Timedelta(frequency.nr_of_calendar_days(), unit='D')
first_date = self.index[0]
return first_date - interval
def _to_prices_values(self, initial_price):
# method must be implemented by classes inheriting from ReturnsSeries
raise NotImplementedError()