def get_bus_day_of_month(self, date, cal = 'FX'):
""" get_bus_day_of_month(date = list of dates, cal = calendar name)
returns the business day of the month (ie. 3rd Jan, on a Monday,
would be the 1st business day of the month
"""
filter = Filter()
try:
date = date.normalize() # strip times off the dates - for business dates just want dates!
except: pass
start = pandas.to_datetime(datetime.datetime(date.year[0], date.month[0], 1))
end = datetime.datetime.today()#pandas.to_datetime(datetime.datetime(date.year[-1], date.month[-1], date.day[-1]))
holidays = filter.get_holidays(start, end, cal)
bday = CustomBusinessDay(holidays=holidays, weekmask='Mon Tue Wed Thu Fri')
bus_dates = pandas.date_range(start, end, freq=bday)
month = bus_dates.month
work_day_index = numpy.zeros(len(bus_dates))
work_day_index[0] = 1
for i in range(1, len(bus_dates)):
if month[i] == month[i-1]:
work_day_index[i] = work_day_index[i-1] + 1
else:
work_day_index[i] = 1
bus_day_of_month = work_day_index[bus_dates.searchsorted(date)]
return bus_day_of_month
df_sorted = df_sorted.head(n=n)
return df_sorted
def convert_month_day_to_date_time(self, df, year=1970):
new_index = []
# TODO use map?
for i in range(0, len(df.index)):
x = df.index[i]
new_index.append(datetime.date(year, x[0], int(x[1])))
df.index = pandas.DatetimeIndex(new_index)
return df
if __name__ == '__main__':
# test functions
calc = Calculations()
tsf = Filter()
# test rolling ewma
date_range = pandas.bdate_range('2014-01-01', '2014-02-28')
print(calc.get_bus_day_of_month(date_range))
foo = pandas.DataFrame(numpy.arange(0.0, 13.0))
print(calc.rolling_ewma(foo, span=3))
if month[i] == month[i - 1]:
work_day_index[i] = work_day_index[i - 1] + 1
else:
work_day_index[i] = 1
bus_day_of_month = work_day_index[bus_dates.searchsorted(date)]
return bus_day_of_month
# functions to test class
if __name__ == '__main__':
logger = LoggerManager.getLogger(__name__)
tsf = Filter()
if False:
start = pandas.to_datetime('2000-01-01')
end = pandas.to_datetime('2020-01-01')
logger.info('Get FX holidays')
hols = tsf.get_holidays(start, end, cal='FX')
print(hols)
logger.info('Get business days, excluding holidays')
bus_days = tsf.create_calendar_bus_days(start, end, cal='FX')
print(bus_days)
if False:
logger.info('Remove out of hours')
