# 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.
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from qf_lib.common.enums.frequency import Frequency
from qf_lib.common.utils.returns.get_aggregate_returns import get_aggregate_returns
from qf_lib.containers.dataframe.qf_dataframe import QFDataFrame
from qf_lib.containers.dataframe.simple_returns_dataframe import SimpleReturnsDataFrame
[docs]def convert_dataframe_frequency(dataframe: QFDataFrame, frequency: Frequency) -> SimpleReturnsDataFrame:
"""
Converts each column in the dataframe to the specified frequency.
ValueError is raised when a column has a lower frequency than the one we are converting to.
"""
# Verify that all columns in the dataframe have a lower frequency.
data_frequencies = dataframe.get_frequency()
for column, col_frequency in data_frequencies.items():
if col_frequency < frequency:
raise ValueError("Column '{}' cannot be converted to '{}' frequency because its frequency is '{}'.".format(
column, frequency, col_frequency))
if frequency == Frequency.DAILY:
return dataframe.to_simple_returns()
filled_df = dataframe.to_prices().fillna(method="ffill")
new_columns = {}
for column in filled_df:
new_columns[column] = get_aggregate_returns(filled_df[column], frequency)
return SimpleReturnsDataFrame(new_columns)