def TNWorthToNDebt(
tp_solvency,
factor_solvency,
dependencies=[
'equities_parent_company_owners', 'intangible_assets',
'development_expenditure', 'good_will', 'long_deferred_expense',
'deferred_tax_assets', 'shortterm_loan',
'non_current_liability_in_one_year', 'longterm_loan',
'bonds_payable', 'interest_payable', 'cash_equivalents'
]):
"""
:name:有形净值/净债务
:desc:有形净值/净债务（MRQ）
:unit:
:view_dimension: 0.01
"""
management = tp_solvency.loc[:, dependencies]
management['ta'] = (management.equities_parent_company_owners -
management.intangible_assets -
management.development_expenditure -
management.good_will -
management.long_deferred_expense -
management.deferred_tax_assets)
management['nd'] = (management.shortterm_loan +
management.non_current_liability_in_one_year +
management.longterm_loan +
management.bonds_payable +
management.interest_payable -
management.cash_equivalents)
management['TNWorthToNDebt'] = np.where(
CalcTools.is_zero(management.nd.values), 0,
management.ta.values / management.nd.values)
dependencies = dependencies + ['ta', 'nd']
management = management.drop(dependencies, axis=1)
factor_solvency = pd.merge(factor_solvency,
management,
how='outer',
on="security_code")
return factor_solvency
def LongDebtToAsset(
tp_management,
factor_management,
dependencies=['total_non_current_liability', 'total_assets']):
"""
:name: 长期负债与资产总计之比（MRQ）
:desc: 非流动负债合计MRQ/资产总计MRQ
:unit:
:view_dimension: 0.01
"""
management = tp_management.loc[:, dependencies]
management['LongDebtToAsset'] = np.where(
CalcTools.is_zero(management.total_assets.values), 0,
management.total_non_current_liability.values /
management.total_assets.values)
management = management.drop(dependencies, axis=1)
factor_management = pd.merge(factor_management,
management,
how='outer',
on="security_code")
return factor_management
def QuickRatio(tp_solvency,
factor_solvency,
dependencies=[
'total_current_assets', 'total_current_liability',
'inventories'
]):
"""
:name:速动比率
:desc:（流动资产合计-存货）/流动负债合计（MRQ）
"""
management = tp_solvency.loc[:, dependencies]
management['QuickRatio'] = np.where(
CalcTools.is_zero(management.total_current_liability.values), 0,
(management.total_current_assets.values -
management.inventories.values) /
management.total_current_liability.values)
management = management.drop(dependencies, axis=1)
factor_solvency = pd.merge(factor_solvency,
management,
how='outer',
on="security_code")
return factor_solvency
def OPCToDebtTTM(ttm_solvency,
factor_solvency,
dependencies=[
'net_operate_cash_flow', 'total_current_liability_ttm'
]):
"""
:name:现金流债务比(TTM)
:desc:经营活动现金净流量（TTM）/流动负债（MRQ）
:unit:
:view_dimension: 0.01
"""
cash_flow = ttm_solvency.loc[:, dependencies]
cash_flow['OPCToDebtTTM'] = np.where(
CalcTools.is_zero(cash_flow.total_current_liability_ttm.values), 0,
cash_flow.net_operate_cash_flow.values /
cash_flow.total_current_liability_ttm.values)
cash_flow = cash_flow.drop(dependencies, axis=1)
factor_solvency = pd.merge(factor_solvency,
cash_flow,
how='outer',
on="security_code")
return factor_solvency
def SalesServCashToOR(tp_cash_flow,
factor_cash_flow,
dependencies=[
'goods_sale_and_service_render_cash',
'operating_revenue'
]):
"""
:name: 销售商品和提供劳务收到的现金/营业收入
:desc: 销售商品和提供劳务收到的现金/营业收入
"""
cash_flow = tp_cash_flow.loc[:, dependencies]
cash_flow['SalesServCashToOR'] = np.where(
CalcTools.is_zero(cash_flow.operating_revenue.values), 0,
cash_flow.goods_sale_and_service_render_cash.values /
cash_flow.operating_revenue.values)
cash_flow = cash_flow.drop(dependencies, axis=1)
factor_cash_flow = pd.merge(factor_cash_flow,
cash_flow,
how='outer',
on="security_code")
# factor_cash_flow['SalesServCashToOR'] = cash_flow['SalesServCashToOR']
return factor_cash_flow
def OptOnReToAssetTTM(ttm_cash_flow,
factor_cash_flow,
dependencies=[
'net_operate_cash_flow', 'net_profit',
'total_assets'
]):
"""
:name:(经营活动产生的金流量净额(TTM)-净利润(TTM)) /总资产(TTM)
:desc:(经营活动产生的金流量净额(TTM) - 净利润(TTM)) /总资产(TTM)
"""
cash_flow = ttm_cash_flow.loc[:, dependencies]
cash_flow['OptOnReToAssetTTM'] = np.where(
CalcTools.is_zero(cash_flow.total_assets.values), 0,
(cash_flow.net_operate_cash_flow.values -
cash_flow.net_profit.values) / cash_flow.total_assets.values)
cash_flow = cash_flow.drop(dependencies, axis=1)
factor_cash_flow = pd.merge(factor_cash_flow,
cash_flow,
how='outer',
on="security_code")
# factor_cash_flow['OptOnReToAssetTTM'] = cash_flow['OptOnReToAssetTTM']
return factor_cash_flow
def MktLev(tp_solvency,
factor_solvency,
dependencies=['total_non_current_liability', 'market_cap']):
"""
:name:市场杠杆
:desc:非流动负债合计MRQ/（非流动负债台计MRO+总市值）
:unit:
:view_dimension: 0.01
"""
management = tp_solvency.loc[:, dependencies]
management['MktLev'] = np.where(
CalcTools.is_zero(management.market_cap.values), 0,
management.total_non_current_liability.values /
(management.total_non_current_liability.values +
management.market_cap.values))
management = management.drop(dependencies, axis=1)
factor_solvency = pd.merge(factor_solvency,
management,
how='outer',
on="security_code")
return factor_solvency
def NonCurrAssetRatio(
tp_management,
factor_management,
dependencies=['total_non_current_assets', 'total_assets']):
"""
:name: 非流动资产比率（MRQ）
:desc: 非流动资产/总资产*100%（MRQ）
:unit:
:view_dimension: 0.01
"""
management = tp_management.loc[:, dependencies]
management['NonCurrAssetRatio'] = np.where(
CalcTools.is_zero(management.total_assets.values), 0,
management.total_non_current_assets.values /
management.total_assets.values)
management = management.drop(dependencies, axis=1)
factor_management = pd.merge(factor_management,
management,
how='outer',
on="security_code")
return factor_management
def OptCFToCurrLiabilityTTM(ttm_revenue_quanlity,
revenue_quality,
dependencies=[
'net_operate_cash_flow_indirect',
'total_current_liability'
]):
"""
:name: 经营活动产生的现金流量净额（TTM）/流动负债（TTM）
:desc: 经营活动产生的现金流量净额（TTM）/流动负债（TTM）
:unit:
:view_dimension: 0.01
"""
cash_flow = ttm_revenue_quanlity.loc[:, dependencies]
cash_flow['OptCFToCurrLiabilityTTM'] = np.where(
CalcTools.is_zero(cash_flow.total_current_liability.values), 0,
cash_flow.net_operate_cash_flow_indirect.values /
cash_flow.total_current_liability.values)
cash_flow = cash_flow.drop(dependencies, axis=1)
revenue_quality = pd.merge(revenue_quality,
cash_flow,
how='outer',
on="security_code")
return revenue_quality
def OptToEnterpriseTTM(ttm_cash_flow,
factor_cash_flow,
dependencies=[
'net_operate_cash_flow', 'longterm_loan',
'shortterm_loan', 'market_cap',
'cash_and_equivalents_at_end'
]):
"""
:name: 经营活动产生的现金流量净额(TTM)/企业价值(TTM)
:desc: 经营活动产生的现金流量净额(TTM)/(长期借款(TTM)+ 短期借款(TTM)+ 总市值 - 期末现金及现金等价物(TTM)
"""
cash_flow = ttm_cash_flow.loc[:, dependencies]
cash_flow['OptToEnterpriseTTM'] = np.where(CalcTools.is_zero(
cash_flow.longterm_loan.values + cash_flow.shortterm_loan.values + \
cash_flow.market_cap.values - cash_flow.cash_and_equivalents_at_end.values), 0,
cash_flow.net_operate_cash_flow.values / (cash_flow.longterm_loan.values + cash_flow.shortterm_loan.values + \
cash_flow.market_cap.values - cash_flow.cash_and_equivalents_at_end.values))
cash_flow = cash_flow.drop(dependencies, axis=1)
factor_cash_flow = pd.merge(factor_cash_flow,
cash_flow,
how='outer',
on="security_code")
return factor_cash_flow
def OptIncToEnterpriseValueTTM(valuation_sets, factor_historical_value, dependencies=['operating_revenue',
'shortterm_loan',
'longterm_loan',
'market_cap',
'cash_and_equivalents_at_end',
]):
"""
:name: 营业收入(TTM)/企业价值
:desc: 企业价值= 长期借款+ 短期借款+ 总市值- 现金及现金等价物
:unit:
:view_dimension: 0.01
"""
historical_value = valuation_sets.loc[:, dependencies]
fuc = lambda x: x[1] + x[2] + x[3] - x[4]
historical_value['temp'] = historical_value[dependencies].apply(fuc, axis=1)
historical_value['OptIncToEnterpriseValueTTM'] = np.where(CalcTools.is_zero(historical_value['temp']), 0,
historical_value['operating_revenue'] /
historical_value['temp'])
dependencies = dependencies + ['temp']
historical_value = historical_value.drop(columns=dependencies, axis=1)
factor_historical_value = pd.merge(factor_historical_value, historical_value, how='outer', on="security_code")
return factor_historical_value
def LDebtToWCap(tp_solvency,
factor_solvency,
dependencies=[
'total_current_assets', 'total_current_liability',
'total_non_current_assets'
]):
"""
:name:长期负债与营运资金比率
:desc:非流动负债合计/（流动资产合计-流动负债合计）
"""
management = tp_solvency.loc[:, dependencies]
management['LDebtToWCap'] = np.where(
CalcTools.is_zero(management.total_current_assets.values -
management.total_current_liability.values), 0,
management.total_non_current_assets.values /
(management.total_current_assets.values -
management.total_current_liability.values))
management = management.drop(dependencies, axis=1)
factor_solvency = pd.merge(factor_solvency,
management,
how='outer',
on="security_code")
return factor_solvency
def CashRatioTTM(ttm_solvency,
factor_solvency,
dependencies=[
'cash_and_equivalents_at_end', 'total_current_assets'
]):
"""
:name:期末现金及现金等价物余额（TTM）/流动负债（TTM）
:desc:期末现金及现金等价物余额（TTM）/流动负债（TTM）
:unit:
:view_dimension: 0.01
"""
cash_flow = ttm_solvency.loc[:, dependencies]
cash_flow['CashRatioTTM'] = np.where(
CalcTools.is_zero(cash_flow.total_current_assets.values), 0,
cash_flow.cash_and_equivalents_at_end.values /
cash_flow.total_current_assets.values)
cash_flow = cash_flow.drop(dependencies, axis=1)
factor_solvency = pd.merge(factor_solvency,
cash_flow,
how='outer',
on="security_code")
return factor_solvency
def OptCFToCurrLiability(tp_solvency,
factor_solvency,
dependencies=[
'net_operate_cash_flow_mrq',
'total_current_liability'
]):
"""
:name:经营活动产生的现金流量净额（MRQ）/流动负债（MRQ）
:desc:经营活动产生的现金流量净额（MRQ）/流动负债（MRQ）
:unit:
:view_dimension: 0.01
"""
cash_flow = tp_solvency.loc[:, dependencies]
cash_flow['OptCFToCurrLiability'] = np.where(
CalcTools.is_zero(cash_flow.total_current_liability.values), 0,
cash_flow.net_operate_cash_flow_mrq.values /
cash_flow.total_current_liability.values)
cash_flow = cash_flow.drop(dependencies, axis=1)
factor_solvency = pd.merge(factor_solvency,
cash_flow,
how='outer',
on="security_code")
return factor_solvency
def NetNonOIToTPTTM(ttm_revenue_quanlity,
revenue_quality,
dependencies=[
'total_profit', 'non_operating_revenue',
'non_operating_expense'
]):
"""
:name:营业外收支净额(TTM)/利润总额(TTM)
:desc: 营业外收支净额（TTM）/利润总额（TTM)
:unit:
:view_dimension: 0.01
"""
earning = ttm_revenue_quanlity.loc[:, dependencies]
earning['NetNonOIToTPTTM'] = np.where(
CalcTools.is_zero(earning.total_profit.values), 0,
(earning.non_operating_revenue.values +
earning.non_operating_expense.values) /
earning.total_profit.values)
earning = earning.drop(dependencies, axis=1)
revenue_quality = pd.merge(revenue_quality,
earning,
how='outer',
on="security_code")
return revenue_quality
def NOCFToOpt(tp_cash_flow,
factor_cash_flow,
dependencies=[
'net_operate_cash_flow', 'total_operating_revenue',
'total_operating_cost'
]):
"""
:name: 经营活动产生的现金流量净额/(营业总收入-营业总成本)
:desc: 经营活动产生的现金流量净额/(营业总收入-营业总成本)
"""
cash_flow = tp_cash_flow.loc[:, dependencies]
cash_flow['NOCFToOpt'] = np.where(
CalcTools.is_zero((cash_flow.total_operating_revenue.values -
cash_flow.total_operating_cost.values)), 0,
cash_flow.net_operate_cash_flow.values /
(cash_flow.total_operating_revenue.values -
cash_flow.total_operating_cost.values))
cash_flow = cash_flow.drop(dependencies, axis=1)
factor_cash_flow = pd.merge(factor_cash_flow,
cash_flow,
how='outer',
on="security_code")
# factor_cash_flow['NOCFToOpt'] = cash_flow['NOCFToOpt']
return factor_cash_flow
def FixAssetsRt(tp_management,
factor_management,
dependencies=[
'fixed_assets', 'construction_materials',
'constru_in_process', 'total_assets'
]):
"""
:name: 固定资产比率
:desc: (固定资产*MRQ+工程物资MRQ+在建工程MRQ）/资产总计MRQ；分母为NAN的科目记为0
"""
management = tp_management.loc[:, dependencies]
management['FixAssetsRt'] = np.where(
CalcTools.is_zero(management.total_assets.values), 0,
(management.fixed_assets.values +
management.construction_materials.values +
management.constru_in_process.values) /
management.total_assets.values)
management = management.drop(dependencies, axis=1)
factor_management = pd.merge(factor_management,
management,
how='outer',
on="security_code")
return factor_management
def DTE(tp_solvency,
factor_solvency,
dependencies=[
'total_liability', 'total_current_liability',
'fixed_assets_netbook'
]):
"""
:name:有形净值债务率
:desc:负债合计/有形净值（MRQ）
:unit:
:view_dimension: 0.01
"""
contrarian = tp_solvency.loc[:, dependencies]
contrarian['DTE'] = np.where(
CalcTools.is_zero(contrarian['total_current_liability'] +
contrarian['fixed_assets_netbook']), 0,
contrarian['total_current_liability'] /
(contrarian['total_current_liability'] +
contrarian['fixed_assets_netbook']))
contrarian = contrarian.drop(dependencies, axis=1)
factor_solvency = pd.merge(factor_solvency,
contrarian,
on="security_code")
return factor_solvency
def InterestCovTTM(ttm_solvency,
factor_solvency,
dependencies=[
'total_profit', 'financial_expense',
'interest_income'
]):
"""
:name: 利息保障倍数
:desc:息税前利润/利息费用，息税前利润=利润总额+利息费用，利息费用=利息支出-利息收入
"""
earning = ttm_solvency.loc[:, dependencies]
earning['InterestCovTTM'] = np.where(
CalcTools.is_zero(earning.financial_expense.values -
earning.interest_income.values), 0,
(earning.total_profit.values + earning.financial_expense.values -
earning.interest_income.values) /
(earning.financial_expense.values -
earning.interest_income.values))
earning = earning.drop(dependencies, axis=1)
factor_solvency = pd.merge(factor_solvency,
earning,
how='outer',
on="security_code")
return factor_solvency
def OperatingNIToTPTTM(ttm_revenue_quanlity,
revenue_quality,
dependencies=[
'total_operating_revenue',
'total_operating_cost', 'total_profit'
]):
"""
:name: 经营活动净收益/利润总额(TTM)
:desc: 经营活动净收益(TTM)/利润总额（TTM)*100%（注，对于非金融企业 经营活动净收益=营业总收入-营业总成本； 对于金融企业 经营活动净收益=营业收入-公允价值变动损益-投资收益-汇兑损益-营业支出 此处以非金融企业的方式计算）
:unit:
:view_dimension: 0.01
"""
earning = ttm_revenue_quanlity.loc[:, dependencies]
earning['OperatingNIToTPTTM'] = np.where(
CalcTools.is_zero(earning.total_profit.values), 0,
(earning.total_operating_revenue.values -
earning.total_operating_cost.values) /
earning.total_profit.values)
earning = earning.drop(dependencies, axis=1)
revenue_quality = pd.merge(revenue_quality,
earning,
how='outer',
on="security_code")
return revenue_quality