ols.py 文件源码

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