def _compute_busday_offsets(announcement_dates):
"""
Compute expected business day offsets from a DataFrame of announcement
dates.
"""
# Column-vector of dates on which factor `compute` will be called.
raw_call_dates = announcement_dates.index.values.astype(
'datetime64[D]'
)[:, None]
# 2D array of dates containining expected nexg announcement.
raw_announce_dates = (
announcement_dates.values.astype('datetime64[D]')
)
# Set NaTs to 0 temporarily because busday_count doesn't support NaT.
# We fill these entries with NaNs later.
whereNaT = raw_announce_dates == NaTD
raw_announce_dates[whereNaT] = make_datetime64D(0)
# The abs call here makes it so that we can use this function to
# compute offsets for both next and previous earnings (previous
# earnings offsets come back negative).
expected = abs(np.busday_count(
raw_call_dates,
raw_announce_dates
).astype(float))
expected[whereNaT] = np.nan
return pd.DataFrame(
data=expected,
columns=announcement_dates.columns,
index=announcement_dates.index,
)
python类busday_count()的实例源码
def test_datetime_busday_holidays_count(self):
holidays = ['2011-01-01', '2011-10-10', '2011-11-11', '2011-11-24',
'2011-12-25', '2011-05-30', '2011-02-21', '2011-01-17',
'2011-12-26', '2012-01-02', '2011-02-21', '2011-05-30',
'2011-07-01', '2011-07-04', '2011-09-05', '2011-10-10']
bdd = np.busdaycalendar(weekmask='1111100', holidays=holidays)
# Validate against busday_offset broadcast against
# a range of offsets
dates = np.busday_offset('2011-01-01', np.arange(366),
roll='forward', busdaycal=bdd)
assert_equal(np.busday_count('2011-01-01', dates, busdaycal=bdd),
np.arange(366))
# Returns negative value when reversed
assert_equal(np.busday_count(dates, '2011-01-01', busdaycal=bdd),
-np.arange(366))
dates = np.busday_offset('2011-12-31', -np.arange(366),
roll='forward', busdaycal=bdd)
assert_equal(np.busday_count(dates, '2011-12-31', busdaycal=bdd),
np.arange(366))
# Returns negative value when reversed
assert_equal(np.busday_count('2011-12-31', dates, busdaycal=bdd),
-np.arange(366))
# Can't supply both a weekmask/holidays and busdaycal
assert_raises(ValueError, np.busday_offset, '2012-01-03', '2012-02-03',
weekmask='1111100', busdaycal=bdd)
assert_raises(ValueError, np.busday_offset, '2012-01-03', '2012-02-03',
holidays=holidays, busdaycal=bdd)
# Number of Mondays in March 2011
assert_equal(np.busday_count('2011-03', '2011-04', weekmask='Mon'), 4)
# Returns negative value when reversed
assert_equal(np.busday_count('2011-04', '2011-03', weekmask='Mon'), -4)
def busday_count_mask_NaT(begindates, enddates, out=None):
"""
Simple of numpy.busday_count that returns `float` arrays rather than int
arrays, and handles `NaT`s by returning `NaN`s where the inputs were `NaT`.
Doesn't support custom weekdays or calendars, but probably should in the
future.
See Also
--------
np.busday_count
"""
if out is None:
out = empty(broadcast(begindates, enddates).shape, dtype=float)
beginmask = isnat(begindates)
endmask = isnat(enddates)
out = busday_count(
# Temporarily fill in non-NaT values.
where(beginmask, _notNaT, begindates),
where(endmask, _notNaT, enddates),
out=out,
)
# Fill in entries where either comparison was NaT with nan in the output.
out[beginmask | endmask] = nan
return out
def test_datetime_busday_holidays_count(self):
holidays = ['2011-01-01', '2011-10-10', '2011-11-11', '2011-11-24',
'2011-12-25', '2011-05-30', '2011-02-21', '2011-01-17',
'2011-12-26', '2012-01-02', '2011-02-21', '2011-05-30',
'2011-07-01', '2011-07-04', '2011-09-05', '2011-10-10']
bdd = np.busdaycalendar(weekmask='1111100', holidays=holidays)
# Validate against busday_offset broadcast against
# a range of offsets
dates = np.busday_offset('2011-01-01', np.arange(366),
roll='forward', busdaycal=bdd)
assert_equal(np.busday_count('2011-01-01', dates, busdaycal=bdd),
np.arange(366))
# Returns negative value when reversed
assert_equal(np.busday_count(dates, '2011-01-01', busdaycal=bdd),
-np.arange(366))
dates = np.busday_offset('2011-12-31', -np.arange(366),
roll='forward', busdaycal=bdd)
assert_equal(np.busday_count(dates, '2011-12-31', busdaycal=bdd),
np.arange(366))
# Returns negative value when reversed
assert_equal(np.busday_count('2011-12-31', dates, busdaycal=bdd),
-np.arange(366))
# Can't supply both a weekmask/holidays and busdaycal
assert_raises(ValueError, np.busday_offset, '2012-01-03', '2012-02-03',
weekmask='1111100', busdaycal=bdd)
assert_raises(ValueError, np.busday_offset, '2012-01-03', '2012-02-03',
holidays=holidays, busdaycal=bdd)
# Number of Mondays in March 2011
assert_equal(np.busday_count('2011-03', '2011-04', weekmask='Mon'), 4)
# Returns negative value when reversed
assert_equal(np.busday_count('2011-04', '2011-03', weekmask='Mon'), -4)
test_datetime.py 文件源码
项目：PyDataLondon29-EmbarrassinglyParallelDAWithAWSLambda
作者: SignalMedia
项目源码
文件源码
阅读 23
收藏 0
点赞 0
评论 0
def test_datetime_busday_holidays_count(self):
holidays = ['2011-01-01', '2011-10-10', '2011-11-11', '2011-11-24',
'2011-12-25', '2011-05-30', '2011-02-21', '2011-01-17',
'2011-12-26', '2012-01-02', '2011-02-21', '2011-05-30',
'2011-07-01', '2011-07-04', '2011-09-05', '2011-10-10']
bdd = np.busdaycalendar(weekmask='1111100', holidays=holidays)
# Validate against busday_offset broadcast against
# a range of offsets
dates = np.busday_offset('2011-01-01', np.arange(366),
roll='forward', busdaycal=bdd)
assert_equal(np.busday_count('2011-01-01', dates, busdaycal=bdd),
np.arange(366))
# Returns negative value when reversed
assert_equal(np.busday_count(dates, '2011-01-01', busdaycal=bdd),
-np.arange(366))
dates = np.busday_offset('2011-12-31', -np.arange(366),
roll='forward', busdaycal=bdd)
assert_equal(np.busday_count(dates, '2011-12-31', busdaycal=bdd),
np.arange(366))
# Returns negative value when reversed
assert_equal(np.busday_count('2011-12-31', dates, busdaycal=bdd),
-np.arange(366))
# Can't supply both a weekmask/holidays and busdaycal
assert_raises(ValueError, np.busday_offset, '2012-01-03', '2012-02-03',
weekmask='1111100', busdaycal=bdd)
assert_raises(ValueError, np.busday_offset, '2012-01-03', '2012-02-03',
holidays=holidays, busdaycal=bdd)
# Number of Mondays in March 2011
assert_equal(np.busday_count('2011-03', '2011-04', weekmask='Mon'), 4)
# Returns negative value when reversed
assert_equal(np.busday_count('2011-04', '2011-03', weekmask='Mon'), -4)
def get_times(now, then):
"""Calculate the remaining time."""
total = then - now
days = total.days
weeks = total.days // 7
bus_days = np.busday_count(now, then)
return weeks, days, bus_days, total
def test_datetime_busday_holidays_count(self):
holidays = ['2011-01-01', '2011-10-10', '2011-11-11', '2011-11-24',
'2011-12-25', '2011-05-30', '2011-02-21', '2011-01-17',
'2011-12-26', '2012-01-02', '2011-02-21', '2011-05-30',
'2011-07-01', '2011-07-04', '2011-09-05', '2011-10-10']
bdd = np.busdaycalendar(weekmask='1111100', holidays=holidays)
# Validate against busday_offset broadcast against
# a range of offsets
dates = np.busday_offset('2011-01-01', np.arange(366),
roll='forward', busdaycal=bdd)
assert_equal(np.busday_count('2011-01-01', dates, busdaycal=bdd),
np.arange(366))
# Returns negative value when reversed
assert_equal(np.busday_count(dates, '2011-01-01', busdaycal=bdd),
-np.arange(366))
dates = np.busday_offset('2011-12-31', -np.arange(366),
roll='forward', busdaycal=bdd)
assert_equal(np.busday_count(dates, '2011-12-31', busdaycal=bdd),
np.arange(366))
# Returns negative value when reversed
assert_equal(np.busday_count('2011-12-31', dates, busdaycal=bdd),
-np.arange(366))
# Can't supply both a weekmask/holidays and busdaycal
assert_raises(ValueError, np.busday_offset, '2012-01-03', '2012-02-03',
weekmask='1111100', busdaycal=bdd)
assert_raises(ValueError, np.busday_offset, '2012-01-03', '2012-02-03',
holidays=holidays, busdaycal=bdd)
# Number of Mondays in March 2011
assert_equal(np.busday_count('2011-03', '2011-04', weekmask='Mon'), 4)
# Returns negative value when reversed
assert_equal(np.busday_count('2011-04', '2011-03', weekmask='Mon'), -4)
def test_datetime_busday_holidays_count(self):
holidays = ['2011-01-01', '2011-10-10', '2011-11-11', '2011-11-24',
'2011-12-25', '2011-05-30', '2011-02-21', '2011-01-17',
'2011-12-26', '2012-01-02', '2011-02-21', '2011-05-30',
'2011-07-01', '2011-07-04', '2011-09-05', '2011-10-10']
bdd = np.busdaycalendar(weekmask='1111100', holidays=holidays)
# Validate against busday_offset broadcast against
# a range of offsets
dates = np.busday_offset('2011-01-01', np.arange(366),
roll='forward', busdaycal=bdd)
assert_equal(np.busday_count('2011-01-01', dates, busdaycal=bdd),
np.arange(366))
# Returns negative value when reversed
assert_equal(np.busday_count(dates, '2011-01-01', busdaycal=bdd),
-np.arange(366))
dates = np.busday_offset('2011-12-31', -np.arange(366),
roll='forward', busdaycal=bdd)
assert_equal(np.busday_count(dates, '2011-12-31', busdaycal=bdd),
np.arange(366))
# Returns negative value when reversed
assert_equal(np.busday_count('2011-12-31', dates, busdaycal=bdd),
-np.arange(366))
# Can't supply both a weekmask/holidays and busdaycal
assert_raises(ValueError, np.busday_offset, '2012-01-03', '2012-02-03',
weekmask='1111100', busdaycal=bdd)
assert_raises(ValueError, np.busday_offset, '2012-01-03', '2012-02-03',
holidays=holidays, busdaycal=bdd)
# Number of Mondays in March 2011
assert_equal(np.busday_count('2011-03', '2011-04', weekmask='Mon'), 4)
# Returns negative value when reversed
assert_equal(np.busday_count('2011-04', '2011-03', weekmask='Mon'), -4)
def test_datetime_busday_holidays_count(self):
holidays = ['2011-01-01', '2011-10-10', '2011-11-11', '2011-11-24',
'2011-12-25', '2011-05-30', '2011-02-21', '2011-01-17',
'2011-12-26', '2012-01-02', '2011-02-21', '2011-05-30',
'2011-07-01', '2011-07-04', '2011-09-05', '2011-10-10']
bdd = np.busdaycalendar(weekmask='1111100', holidays=holidays)
# Validate against busday_offset broadcast against
# a range of offsets
dates = np.busday_offset('2011-01-01', np.arange(366),
roll='forward', busdaycal=bdd)
assert_equal(np.busday_count('2011-01-01', dates, busdaycal=bdd),
np.arange(366))
# Returns negative value when reversed
assert_equal(np.busday_count(dates, '2011-01-01', busdaycal=bdd),
-np.arange(366))
dates = np.busday_offset('2011-12-31', -np.arange(366),
roll='forward', busdaycal=bdd)
assert_equal(np.busday_count(dates, '2011-12-31', busdaycal=bdd),
np.arange(366))
# Returns negative value when reversed
assert_equal(np.busday_count('2011-12-31', dates, busdaycal=bdd),
-np.arange(366))
# Can't supply both a weekmask/holidays and busdaycal
assert_raises(ValueError, np.busday_offset, '2012-01-03', '2012-02-03',
weekmask='1111100', busdaycal=bdd)
assert_raises(ValueError, np.busday_offset, '2012-01-03', '2012-02-03',
holidays=holidays, busdaycal=bdd)
# Number of Mondays in March 2011
assert_equal(np.busday_count('2011-03', '2011-04', weekmask='Mon'), 4)
# Returns negative value when reversed
assert_equal(np.busday_count('2011-04', '2011-03', weekmask='Mon'), -4)
def get_time_delta(today, date_list, trading_calendar=True):
delta_list = []
if trading_calendar:
year = 252
calendar = USTradingCalendar()
for date in date_list:
trading_holidays = calendar.holidays(today, date).tolist()
delta = np.busday_count(today, date, holidays=trading_holidays) + 1
delta_list.append(delta)
else:
year = 365
for date in date_list:
delta = abs((today - date).days) + 1
delta_list.append(delta)
delta_list = np.array(delta_list)
normalized = delta_list / float(year)
return delta_list, normalized
# Get tape
def test_datetime_busday_holidays_count(self):
holidays = ['2011-01-01', '2011-10-10', '2011-11-11', '2011-11-24',
'2011-12-25', '2011-05-30', '2011-02-21', '2011-01-17',
'2011-12-26', '2012-01-02', '2011-02-21', '2011-05-30',
'2011-07-01', '2011-07-04', '2011-09-05', '2011-10-10']
bdd = np.busdaycalendar(weekmask='1111100', holidays=holidays)
# Validate against busday_offset broadcast against
# a range of offsets
dates = np.busday_offset('2011-01-01', np.arange(366),
roll='forward', busdaycal=bdd)
assert_equal(np.busday_count('2011-01-01', dates, busdaycal=bdd),
np.arange(366))
# Returns negative value when reversed
assert_equal(np.busday_count(dates, '2011-01-01', busdaycal=bdd),
-np.arange(366))
dates = np.busday_offset('2011-12-31', -np.arange(366),
roll='forward', busdaycal=bdd)
assert_equal(np.busday_count(dates, '2011-12-31', busdaycal=bdd),
np.arange(366))
# Returns negative value when reversed
assert_equal(np.busday_count('2011-12-31', dates, busdaycal=bdd),
-np.arange(366))
# Can't supply both a weekmask/holidays and busdaycal
assert_raises(ValueError, np.busday_offset, '2012-01-03', '2012-02-03',
weekmask='1111100', busdaycal=bdd)
assert_raises(ValueError, np.busday_offset, '2012-01-03', '2012-02-03',
holidays=holidays, busdaycal=bdd)
# Number of Mondays in March 2011
assert_equal(np.busday_count('2011-03', '2011-04', weekmask='Mon'), 4)
# Returns negative value when reversed
assert_equal(np.busday_count('2011-04', '2011-03', weekmask='Mon'), -4)
