def _rolling_rank(self):
dates = self._index
window = self._window
ranks = np.empty(len(dates), dtype=float)
ranks[:] = np.NaN
for i, date in enumerate(dates):
if self._is_rolling and i >= window:
prior_date = dates[i - window + 1]
else:
prior_date = dates[0]
x_slice = self._x.truncate(before=prior_date, after=date).values
if len(x_slice) == 0:
continue
ranks[i] = math.rank(x_slice)
return ranks
ols.py 文件源码
python
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