def cal_fhs_garch(wind_code, simulate_count, nav_acc_s):
"""
获取子基金净值，生成csv文件，调用FHSGACH3Py.R文件计算，返回 csv文件
:param wind_code: 基金代码
:return: 压力测试数据 DataFrame, index为日期，column每一组压力测试数据
"""
nav_date_latest = nav_acc_s.index[-1]
input_file_name = '%s_%s.csv' % (wind_code,
nav_date_latest.strftime(DATE_STR_FORMAT))
input_file_path = get_cache_file_path(ANALYSIS_CACHE_FILE_NAME,
input_file_name)
date_index = get_return_rate_csv(nav_acc_s, input_file_path)
if date_index is None:
return None
output_file_name = '%s_simulate_%s.csv' % (
wind_code, nav_date_latest.strftime(DATE_STR_FORMAT))
output_file_path = get_cache_file_path(ANALYSIS_CACHE_FILE_NAME,
output_file_name)
if not ENABLE_CACHE or not path.exists(output_file_path):
# 测试使用，临时将 input_file_name 替换为 样例csv文件
# input_file_name = 'rr_example.csv'
print('invoke fhs_garch.R for', wind_code, simulate_count)
robjects.r.source("fhs_garch.R")
robjects.r['FHSGACH3Py'](input_file_path, output_file_path,
simulate_count)
# 读取 csv文件，重置索引
simulate_df = pd.DataFrame.from_csv(
output_file_path).reset_index().set_index(date_index)
# print('simulate_df.shape', simulate_df.shape)
return simulate_df
def plot_fof_copula(wind_code_list, weighted_list, startdate, enddate,
simulate_count):
start_time = datetime.now()
st = stress_test('Clayton')
dd = st.get_max_drawdown(wind_code_list, startdate, enddate, weighted_list,
simulate_count)
figure_time = datetime.now()
file_name = '%s_%s.png' % ('fof',
figure_time.strftime('%Y_%m_%d %H_%M_%S'))
file_path = get_cache_file_path(ANALYSIS_CACHE_FILE_NAME, file_name)
plt.hist(dd)
# plt.show()
plt.savefig(file_path)
finished_time = datetime.now()
print("time estimate:", finished_time - start_time)
return file_path
def get_cache_file_path(file_name):
return fh_utils.get_cache_file_path(ANALYSIS_CACHE_FILE_NAME, file_name)
def savefig_df(df, file_name):
file_path = get_cache_file_path(ANALYSIS_CACHE_FILE_NAME, file_name)
df.plot(legend=False)
plt.savefig(file_path)
return file_path