def comp_daily_returns(self):
"""Computes the daily returns (percentage change) of all
stocks in the portfolio. See ``finquant.returns.daily_returns``.
:Output:
:ret: a ``pandas.DataFrame`` of daily percentage change of Returns
of given stock prices.
"""
return daily_returns(self.data)
def test_daily_returns():
orig = [[1.0, 1.0 / 2, 1.0 / 3, 1.0 / 4], [1.0 / 9, 1.0 / 10, 1.0 / 11, 1.0 / 12]]
l1 = range(1, 6)
l2 = [10 * 0.2 + i * 0.25 for i in range(1, 6)]
d = {"1": l1, "2": l2}
df = pd.DataFrame(d)
ret = daily_returns(df)
assert all(abs(ret["1"].values - orig[0]) <= 1e-15)
assert all(abs(ret["2"].values - orig[1]) <= 1e-15)
def comp_cov(self):
"""Compute and return a ``pandas.DataFrame`` of the covariance matrix
of the portfolio.
:Output:
:cov: a ``pandas.DataFrame`` of the covariance matrix of the portfolio.
"""
# get the covariance matrix of the mean returns of the portfolio
returns = daily_returns(self.data)
return returns.cov()
def comp_daily_returns(self):
"""Computes the daily returns (percentage change).
See ``finquant.returns.daily_returns``.
"""
return daily_returns(self.data)