def _calc_factor_loading(cls, code, calc_date):
"""
计算指定日期、指定个股LNCAP因子载荷
Parameters:
--------
:param code: str
个股代码, 如SH600000, 600000
:param calc_date: datetime-like, str
计算日期, 格式: YYYY-MM-DD
:return: pd.Series
--------
个股的LNCAP因子载荷
0. code
1. lncap
如果计算失败, 返回None
"""
# 取得个股的非复权收盘价
df_secu_quote = Utils.get_secu_daily_mkt(code,
start=calc_date,
fq=False,
range_lookup=True)
if df_secu_quote is None:
return None
secu_close = df_secu_quote['close']
# 取得个股最新的A股总股本数据
cap_struct = Utils.get_cap_struct(code, calc_date)
if cap_struct is None:
return None
total_share = cap_struct.total - cap_struct.liquid_b - cap_struct.liquid_h
# 计算总市值的自然对数值
lncap = np.log(secu_close * total_share)
liquid_cap = secu_close * cap_struct.liquid_a
return pd.Series([Utils.code_to_symbol(code), lncap, liquid_cap],
index=['code', 'lncap', 'liquid_cap'])
def _calc_factor_loading(cls, code, calc_date):
"""
计算指定日期、指定个股的价值因子，包含ep_ttm, bp_lr, ocf_ttm
Parameters:
--------
:param code: str
个股代码：如600000或SH600000
:param calc_date: datetime-like or str
计算日期，格式YYYY-MM-DD, YYYYMMDD
:return: pd.Series
--------
价值类因子值
0. ep_ttm: TTM净利润/总市值
1. bp_lr: 净资产（最新财报）/总市值
2. ocf_ttm: TTM经营性现金流/总市值
若计算失败，返回None
"""
code = Utils.code_to_symbol(code)
calc_date = Utils.to_date(calc_date)
# 读取TTM财务数据
ttm_fin_data = Utils.get_ttm_fin_basic_data(code, calc_date)
if ttm_fin_data is None:
return None
# 读取最新财报数据
report_date = Utils.get_fin_report_date(calc_date)
fin_basic_data = Utils.get_fin_basic_data(code, report_date)
if fin_basic_data is None:
return None
# 计算总市值
mkt_daily = Utils.get_secu_daily_mkt(code,
calc_date,
fq=False,
range_lookup=True)
if mkt_daily.shape[0] == 0:
return None
cap_struct = Utils.get_cap_struct(code, calc_date)
if cap_struct is None:
return None
total_cap = cap_struct.total - cap_struct.liquid_b - cap_struct.liquid_h
total_mkt_cap = total_cap * mkt_daily.close
# 计算价值类因子
ep_ttm = ttm_fin_data[
'NetProfit'] * util_ct.FIN_DATA_AMOUNT_UNIT / total_mkt_cap
ocf_ttm = ttm_fin_data[
'NetOperateCashFlow'] * util_ct.FIN_DATA_AMOUNT_UNIT / total_mkt_cap
bp_lr = fin_basic_data[
'ShareHolderEquity'] * util_ct.FIN_DATA_AMOUNT_UNIT / total_mkt_cap
return Series([round(ep_ttm, 6),
round(bp_lr, 6),
round(ocf_ttm, 6)],
index=['ep_ttm', 'bp_lr', 'ocf_ttm'])
def _calc_factor_loading(cls, code, calc_date):
"""
计算指定日期、指定个股的规模因子值
Parameters:
--------
:param code: str
个股代码，如600000、SH600000
:param calc_date: datetime-like, str
规模因子计算日期，格式YYYY-MM-DD或YYYYMMDD
:return: pd.Series
--------
个股规模因子值，各个index对应的含义如下：
0. LnTotalMktCap: 总市值对数
1. LnLiquidMktCap: 流通市值对数
若计算失败，返回None
"""
# 取得证券截止指定日期最新的非复权行情数据
code = Utils.code_to_symbol(code)
calc_date = Utils.to_date(calc_date)
mkt_daily = Utils.get_secu_daily_mkt(code,
calc_date,
fq=False,
range_lookup=True)
if mkt_daily.shape[0] == 0:
return None
# 取得证券截止指定日期前最新的股本结构数据
cap_struct = Utils.get_cap_struct(code, calc_date)
if cap_struct is None:
return None
# 计算证券的规模因子
scale_factor = Series()
total_cap = cap_struct.total - cap_struct.liquid_b - cap_struct.liquid_h
scale_factor['LnTotalMktCap'] = math.log(total_cap * mkt_daily.close)
scale_factor['LnLiquidMktCap'] = math.log(cap_struct.liquid_a *
mkt_daily.close)
return scale_factor
