def cal_fund_regression_exposure_index_all(self,
beg_date,
end_date,
period="D",
fund_pool="指数+主动股票+灵活配置60基金",
file_rewrite=False):
""" 回归基金池内所有基金指数暴露 """
quarter_date = Date().get_last_fund_quarter_date(end_date)
fund_pool = FundPool().get_fund_pool_all(quarter_date, fund_pool)
fund_pool = fund_pool[fund_pool['if_etf'] == "非ETF基金"]
fund_pool = fund_pool[fund_pool['if_a'] == "A类基金"]
fund_pool = fund_pool[fund_pool['if_connect'] == "非联接基金"]
fund_pool = fund_pool[fund_pool['if_hk'] == "非港股基金"]
fund_pool = fund_pool.reset_index(drop=True)
fund_pool.index = fund_pool['wind_code']
print(len(fund_pool))
for i_fund in range(0, len(fund_pool)):
fund_code = fund_pool.index[i_fund]
fund_name = fund_pool.sec_name[i_fund]
file = '%s_%s_%s.csv' % (self.file_prefix, self.folder_name,
fund_code)
out_file = os.path.join(self.index_exposure_path, file)
if not os.path.exists(out_file) or file_rewrite:
print(fund_name, fund_code)
self.cal_fund_regression_exposure_index(
fund_code, beg_date, end_date, period)
def get_etf_fund_data(self, beg_date, end_date):
""" 得到etf数据"""
print("ETF Data %s %s" % (beg_date, end_date))
exchange_share = FundFactor().get_fund_factor("Exchange_Share")
exchange_share = exchange_share.fillna(method='pad', limit=3)
unit_nav = FundFactor().get_fund_factor("Unit_Nav")
unit_nav = unit_nav.fillna(method='pad', limit=1)
exchange_share_date = pd.DataFrame(exchange_share.T[end_date])
exchange_share_date.columns = ['Share']
exchange_share_date_last = pd.DataFrame(exchange_share.T[beg_date])
exchange_share_date_last.columns = ['ShareLast']
unit_nav_date = pd.DataFrame(unit_nav.T[end_date])
unit_nav_date.columns = ['UnitNav']
fund_pool = FundPool().get_fund_pool_all(name="ETF基金", date="20181231")
fund_pool = fund_pool[[
'sec_name', 'wind_code', 'setupdate', 'bench_code', 'bench_name'
]]
fund_pool.index = fund_pool.wind_code
concat_data = pd.concat([
fund_pool, unit_nav_date, exchange_share_date,
exchange_share_date_last
],
axis=1)
concat_data = concat_data.dropna()
concat_data['MvEnd'] = concat_data['Share'] * concat_data['UnitNav']
concat_data['Inflow'] = (
concat_data['Share'] -
concat_data['ShareLast']) * concat_data['UnitNav']
concat_data['MvEnd'] /= 100000000.0
concat_data['Inflow'] /= 100000000.0
return concat_data
