# 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 numpy.ma import exp, append
from qf_lib.containers.series.returns_series import ReturnsSeries
[docs]class LogReturnsSeries(ReturnsSeries):
"""
Series of log-returns.
"""
@property
def _constructor(self):
return LogReturnsSeries
@property
def _constructor_expanddim(self):
from qf_lib.containers.dataframe.log_returns_dataframe import LogReturnsDataFrame
return LogReturnsDataFrame
[docs] def to_log_returns(self) -> "LogReturnsSeries":
return self
[docs] def to_simple_returns(self) -> "SimpleReturnsSeries":
from qf_lib.containers.series.simple_returns_series import SimpleReturnsSeries
simple_rets_values = [exp(log_ret) - 1 for log_ret in self.values]
simple_returns_tms = SimpleReturnsSeries(index=self.index.copy(), data=simple_rets_values).__finalize__(self)
return simple_returns_tms
[docs] def total_cumulative_return(self) -> float:
return np.exp(self.sum()) - 1.0
def _to_prices_values(self, initial_price):
prices_values = self.values.cumsum()
prices_values = exp(prices_values)
prices_values = append([1], prices_values)
return prices_values * initial_price