Test_Formula.py 文件源码

def Join_Inputs(df, df_betas, df_ff_params, df_liq_prox):
    # add beta values & set index to datetime from df_diff
    df = pd.merge(df, df_betas, left_on='cusip_id', 
                  right_on='cusip_id', left_index=True)

    df['trd_exctn_dt_idx'] = pd.to_datetime(df['trd_exctn_dt'],\
                                        format='%Y%m%d')
    df.set_index('trd_exctn_dt_idx', inplace=True)

    # Join with fama-french factors on date index
    df_join_ff = df.join(df_ff_params, lsuffix="_m", rsuffix='_b')
    # Drop any rows where dates in df_diff do not appear in fama-french
    df_join_ff = df_join_ff[pd.notnull(df_join_ff['MKT_b'])]

    # Combine liquidity factor L_t
    df_liq_prox_values = df_liq_prox['residual_term']
    df_join_liq = df_join_ff.join(df_liq_prox_values)
    df_join_liq = df_join_liq[pd.notnull(df_join_liq['residual_term'])]

    return df_join_liq