0.1.2.1 Added simple return calculation

open-risk · Mar 26, 2019 · 9c5f6ba · 9c5f6ba
1 parent 5e80851
commit 9c5f6ba
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Showing 3 changed files with 3,028 additions and 3,002 deletions.
diff --git a/correlationMatrix/utils/preprocessing.py b/correlationMatrix/utils/preprocessing.py
@@ -72,6 +72,7 @@ def construct_log_returns(in_filename, out_filename, drop_columns=None):
  """
  Load a dataframe with level data from file
  Drop a list of columns that are not to be processed
+ Construct log-returns
  Store to file
 
  """
@@ -89,6 +90,28 @@ def construct_log_returns(in_filename, out_filename, drop_columns=None):
  log_return_data.to_csv(out_filename, index=False)
 
 
+def construct_returns(in_filename, out_filename, drop_columns=None):
+ """
+ Load a dataframe with level data from file
+ Drop a list of columns that are not to be processed
+ Construct simple returns
+ Store to file
+
+ """
+ if drop_columns:
+ level_data = pd.read_csv(in_filename).drop(columns=drop_columns)
+ else:
+ level_data = pd.read_csv(in_filename)
+
+ return_data = pd.DataFrame()
+
+ for column in level_data:
+ return_data[column] = level_data[column] - level_data[column].shift(1)
+
+ return_data = return_data.dropna()
+ return_data.to_csv(out_filename, index=False)
+
+
 def normalize_log_returns(in_filename, out_filename):
  """
  Load a dataframe with log-return data from file