From 6fb9b0f076b27a94bd35fb426a7bb6ef88a0508a Mon Sep 17 00:00:00 2001 From: Palash Tyagi <23239946+Magnus167@users.noreply.github.com> Date: Tue, 26 Nov 2024 23:59:45 +0000 Subject: [PATCH] wip: hist vol --- notebooks/python-notebook.ipynb | 847 +++----------------------------- src/panel/historic_vol.rs | 218 +++++++- 2 files changed, 284 insertions(+), 781 deletions(-) diff --git a/notebooks/python-notebook.ipynb b/notebooks/python-notebook.ipynb index a5f11d2..0b3f0e3 100644 --- a/notebooks/python-notebook.ipynb +++ b/notebooks/python-notebook.ipynb @@ -33,7 +33,7 @@ }, { "cell_type": "code", - "execution_count": 1, + "execution_count": null, "metadata": {}, "outputs": [], "source": [ @@ -53,7 +53,7 @@ }, { "cell_type": "code", - "execution_count": 2, + "execution_count": null, "metadata": {}, "outputs": [], "source": [ @@ -62,7 +62,7 @@ }, { "cell_type": "code", - "execution_count": 3, + "execution_count": null, "metadata": {}, "outputs": [], "source": [ @@ -74,7 +74,7 @@ }, { "cell_type": "code", - "execution_count": 4, + "execution_count": null, "metadata": {}, "outputs": [], "source": [ @@ -85,48 +85,9 @@ }, { "cell_type": "code", - "execution_count": 5, + "execution_count": null, "metadata": {}, - "outputs": [ - { - "name": "stdout", - "output_type": "stream", - "text": [ - "Time taken to load qdf: 0.0040130615234375\n" - ] - }, - { - "data": { - "text/html": [ - "
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1990-05-01"AUD""CPIC_SA_P1M1ML12"6.4345992.031228
1990-05-02"AUD""CPIC_SA_P1M1ML12"6.4345992.032229
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…………………
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+ .into_iter() + .map(|opt| opt.unwrap_or(0.0)) + .collect(); + + let result_series = match lback_method { + "ma" => { + let mut result = Vec::new(); + for i in 0..(values.len() - lback_periods + 1) { + let window = values.slice(s![i..i + lback_periods]); + let std = flat_std(&window.to_owned(), remove_zeros); + result.push(std); + } + Series::new(col_name.clone(), result) + } + "xma" => { + let half_life = half_life.unwrap(); + let weights = expo_weights(lback_periods, half_life); + let mut result = Vec::new(); + for i in 0..(values.len() - lback_periods + 1) { + let window = values.slice(s![i..i + lback_periods]); + let std = expo_std(&window.to_owned(), &weights, remove_zeros); + result.push(std); + } + Series::new(col_name.clone(), result) + } + _ => return Err("Invalid lookback method.".into()), + }; + + new_df.with_column(result_series)?; } + + Ok(new_df) +} +#[allow(unused_variables)] + +fn freq_period_calc( + dfw: &DataFrame, + lback_periods: usize, + lback_method: &str, + half_life: Option, + remove_zeros: bool, + nan_tolerance: f64, + period: &str, +) -> Result> { + if lback_method == "xma" { + assert!( + half_life.is_some(), + "If lback_method is 'xma', half_life must be provided." + ); + } + + let mut new_df = dfw.clone(); + + for col_name in dfw.get_column_names() { + let series = dfw.column(col_name)?; + let values: Array1 = series + .f64()? + .into_iter() + .map(|opt| opt.unwrap_or(0.0)) + .collect(); + + let result_series = match lback_method { + "ma" => { + let mut result = Vec::new(); + let period_indices = get_period_indices(dfw, period)?; + for &i in &period_indices { + if i >= lback_periods - 1 { + let window = values.slice(s![i + 1 - lback_periods..=i]); + let std = flat_std(&window.to_owned(), remove_zeros); + result.push(std); + } else { + result.push(f64::NAN); + } + } + Series::new(col_name.clone(), result) + } + "xma" => { + let half_life = half_life.unwrap(); + let weights = expo_weights(lback_periods, half_life); + let mut result = Vec::new(); + let period_indices = get_period_indices(dfw, period)?; + for &i in &period_indices { + if i >= lback_periods - 1 { + let window = values.slice(s![i + 1 - lback_periods..=i]); + let std = expo_std(&window.to_owned(), &weights, remove_zeros); + result.push(std); + } else { + result.push(f64::NAN); + } + } + Series::new(col_name.clone(), result) + } + _ => return Err("Invalid lookback method.".into()), + }; + + new_df.with_column(result_series)?; + } + + Ok(new_df) } +fn get_period_indices( + dfw: &DataFrame, + period: &str, +) -> Result, Box> { + let date_series: &Logical = dfw.column("real_date")?.date()?; + let mut indices = Vec::new(); + + match period { + "weekly" => { + for (i, date) in date_series.into_iter().enumerate() { + if let Some(date) = date { + if let Some(naive_date) = NaiveDate::from_num_days_from_ce_opt(date) { + if naive_date.weekday() == chrono::Weekday::Fri { + indices.push(i); + } + } + } + } + } + "monthly" => { + let mut current_month = None; + for (i, date) in date_series.into_iter().enumerate() { + if let Some(date) = date { + if let Some(naive_date) = NaiveDate::from_num_days_from_ce_opt(date) { + if current_month.is_none() || current_month.unwrap() != naive_date.month() { + current_month = Some(naive_date.month()); + if i > 0 { + indices.push(i - 1); + } + } + } + } + } + if let Some(_) = current_month { + indices.push(date_series.len() - 1); + } + } + _ => return Err("Invalid period specified.".into()), + } + + Ok(indices) +} // #[allow(dead_code)] // fn single_calc( // // end_date: -- naive datetime @@ -105,6 +249,8 @@ fn freq_daily_calc( /// - `remove_zeros`: Whether to remove zero values from the calculation. Defaults to False. /// - `postfix`: A string to append to XCAT of the result series. /// - `nan_tolerance`: The maximum proportion of NaN values allowed in the calculation. +/// +#[allow(unused_variables)] pub fn historic_vol( df: polars::prelude::DataFrame, xcat: String, @@ -121,6 +267,62 @@ pub fn historic_vol( ) -> Result> { println!("Calculating historic volatility with the following parameters:"); println!("xcat: {:?},\ncids: {:?},\nlback_periods: {:?},lback_method: {:?},\nhalf_life: {:?},\nstart: {:?},\nend: {:?},\nest_freq: {:?},\nremove_zeros: {:?},\npostfix: {:?},\nnan_tolerance: {:?}", xcat, cids, lback_periods,lback_method, half_life, start, end, est_freq, remove_zeros, postfix, nan_tolerance); + let mut dfw = pivot_dataframe_by_ticker(df.clone(), Some("value".to_string()))?; - Ok(df.to_owned()) + let lback_periods = lback_periods.unwrap_or(20); + let lback_method = lback_method.unwrap_or("ma".to_string()); + let half_life = half_life; + let start = start.unwrap_or(dfw.column("real_date")?.date()?.min().unwrap().to_string()); + let end = end.unwrap_or(dfw.column("real_date")?.date()?.max().unwrap().to_string()); + let est_freq = est_freq.unwrap_or("D".to_string()); + let remove_zeros = remove_zeros.unwrap_or(false); + let postfix = postfix.unwrap_or("_HISTVOL".to_string()); + let nan_tolerance = nan_tolerance.unwrap_or(0.25); + + let start_date = NaiveDate::parse_from_str(&start, "%Y-%m-%d")?; + let end_date = NaiveDate::parse_from_str(&end, "%Y-%m-%d")?; + + dfw = dfw + .lazy() + .filter( + col("real_date") + .lt_eq(lit(end_date)) + .alias("real_date") + .into(), + ) + .filter( + col("real_date") + .gt_eq(lit(start_date)) + .alias("real_date") + .into(), + ) + .collect()?; + + let period = match est_freq.as_str() { + "W" => "weekly", + "M" => "monthly", + _ => return Err("Invalid frequency specified.".into()), + }; + + let dfw = match est_freq.as_str() { + "D" => freq_daily_calc( + &dfw, + lback_periods, + &lback_method, + half_life, + remove_zeros, + nan_tolerance, + )?, + _ => freq_period_calc( + &dfw, + lback_periods, + &lback_method, + half_life, + remove_zeros, + nan_tolerance, + &period, + )?, + }; + + Ok(dfw) }