siat 3.10.132__py3-none-any.whl → 3.11.1__py3-none-any.whl

build/lib/siat/risk_free_rate.py

@@ -1,351 +0,0 @@
-# -*- coding: utf-8 -*-
-"""
-版权：王德宏，北京外国语大学国际商学院
-功能：
-1、基于股票或股票组合计算无风险收益率
-2、绘制无风险收益率的变化趋势图：日，周，月
-3、与实际的无风险收益率比较
-版本：1.0，2021-2-6
-"""
-
-#==============================================================================
-#关闭所有警告
-import warnings; warnings.filterwarnings('ignore')
-import siat.common as com
-from siat.translate import *
-#==============================================================================
-#==============================================================================
-#==============================================================================
-def compare_rf(rf1,col1,rf2,col2,fromdate,todate,power=0,zeroline=True,twinx=False):
-    """
-    功能：比较两个无风险收益率的时间序列，并绘制趋势线
-    """
-    #检查日期期间的合理性
-    result,start,end=com.check_period(fromdate,todate)
-    if not result:
-        print(" Error(compare_rf): invalide date period from",fromdate,"to",todate)
-        return None
-    
-    #检查并筛选两个无风险收益率的时间序列
-    if rf1 is None:
-        print(" Error(compare_rf): 1st risk-free-rate series is empty")
-        return None        
-    if rf2 is None:
-        print(" Error(compare_rf): 2nd risk-free-rate series is empty")
-        return None  
-    df1a=rf1[rf1.index >= start]
-    df1b=df1a[df1a.index <= end]
-    df1b[col1+'%']=df1b[col1]*100.0
-    
-    df2a=rf2[rf2.index >= start]
-    df2b=df2a[df2a.index <= end]
-    df2b[col2+'%']=df2b[col2]*100.0
-
-    #绘制对比图
-    import siat.grafix as g
-    ticker1=g.ticker_name(df1b['ticker'][0])
-    colname1=col1+'%'
-    label1=col1+'%'
-    ticker2=g.ticker_name(df2b['ticker'][0])
-    colname2=col2+'%'
-    label2=col2+'%'   
-    ylabeltxt='无风险收益率%'
-    titletxt="基于CAPM计算的无风险收益率变化趋势"
-    
-    import datetime; today = datetime.date.today()
-    rf1note=df1b['footnote'][0]
-    rf2note=df2b['footnote'][0]
-    footnote="无风险收益率1："+str(rf1note)+ \
-             "\n无风险收益率2："+str(rf2note)+ \
-             "\n数据来源：雅虎财经, "+str(today)
-    
-    g.plot_line2(df1b,ticker1,colname1,label1, \
-               df2b,ticker2,colname2,label2, \
-               ylabeltxt,titletxt,footnote, \
-               power=power,zeroline=zeroline,twinx=twinx)
-
-    return
-
-if __name__=='__main__':
-    df1=get_rf_capm('AAPL','^GSPC','2018-1-1','2020-12-31',window=40)
-    df2=get_rf_capm('MSFT','^GSPC','2018-1-1','2020-12-31',window=40)
-    compare_rf(df1,'Rf',df2,'Rf','2019-1-1','2019-12-31')
-    compare_rf(df1,'Rf',df2,'Rf','2019-1-1','2019-12-31',twinx=True)
-
-    df1['Rf_20']=df1['Rf'].rolling(window=20).mean()
-    compare_rf(df1,'Rf',df1,'Rf_20','2019-1-1','2019-12-31')
-
-#==============================================================================
-
-def calc_rolling_cumret(dfc,col,period='Weekly'):
-    """
-    传入日收益率col的数据表dfc
-    传出不同期间的累计收益率序列cumret
-    """
-    df=dfc.copy()
-    #检查period类型
-    periodlist = ["Weekly","Biweekly","Monthly","Quarterly","Semiannual","Annual"]
-    if not (period in periodlist):
-        print("  Error(calc_rolling_cumret): only supports:",periodlist)
-        return None
-
-    #换算期间对应的实际交易天数
-    perioddays=[5,10,20,60,120,240]
-    rollingnum=perioddays[periodlist.index(period)]      
-    
-    import numpy as np
-    df['logdret']=np.log(df[col]+1)
-    df['cumret']=np.exp(df['logdret'].rolling(rollingnum).sum())-1.0
-    
-    return df['cumret']
-
-#==============================================================================
-
-if __name__ =="__main__":
-    col='Rf'
-    limits=[0.01,0.01]
-    
-def winsor(df,col,limits=[0.01,0.01]):
-    """
-    功能：对于数据表df1中的列col进行下1%（参数1）和上1%（参数2）的处理
-    """
-    import numpy as np
-    from scipy.stats.mstats import winsorize
-
-    a = np.array(df[col])
-    aw=winsorize(a,limits=limits)
-    
-    return aw.data
-#==============================================================================
-if __name__=='__main__':
-    ticker='399001.SZ'
-    mktidx='000300.SS'
-    fromdate='2020-1-1'
-    todate='2020-12-31'
-    window=240
-
-def get_rf_capm(ticker,mktidx,fromdate,todate,window=240,sharelist=[]):
-    """
-    功能：计算无风险收益率的时间序列
-    ticker：股票或股票组合
-    mktidx：股票市场指数
-    fromdate：开始时间
-    todate：截止时间
-    window：每次回归的样本个数
-    sharelist：第一个参数为投资组合的持股比例，默认为等权重；为单个股票时无用
-    """
-    #检查日期期间的合理性
-    result,start,end=com.check_period(fromdate,todate)
-    if not result:
-        print(" Error(get_rf_capm): invalide date period from",fromdate,"to",todate)
-        return None
-
-    #提前开始日期，留出回归窗口
-    start1=com.date_adjust(start,adjust=-window*2)
-    
-    #获得股票或股票组合的历史收益率
-    import siat.security_prices as sp
-    #单个股票情形
-    if isinstance(ticker,str):
-        spdf=sp.get_prices(ticker,start1,end)
-    #股票组合情形
-    if isinstance(ticker,list):
-        if sharelist == []:
-            num=len(ticker)
-            sharelist=[1]*num
-        spdf=sp.get_prices_portfolio(ticker,sharelist,start1,end)
-    if spdf is None:
-        print("  Error(get_rf_capm): info not found or unavailable for",ticker)
-        return None
-    
-    spdf['Stock_dailyRet']=spdf['Close'].pct_change()  
-    
-    #获取市场指数的历史收益率
-    rmdf=sp.get_prices(mktidx,start1,end)
-    if rmdf is None:
-        print("  Error(get_rf_capm): info not found or unavailable for",mktidx)
-        return None    
-    rmdf['Market_dailyRet']=rmdf['Close'].pct_change()  
-    
-    #合并股票（组合）与市场指数的收益率为一个数据集
-    import pandas as pd
-    df=pd.merge(rmdf['Market_dailyRet'],spdf['Stock_dailyRet'],how='inner',left_index=True,right_index=True)
-    df['Date']=df.index.strftime("%Y-%m-%d")
-    
-    datelist_ts=list(df.index)    
-    datelist=list(df['Date'])
-    fromdate=start.strftime("%Y-%m-%d")
-    #start_pos=lookup_datelist(datelist,fromdate,direction='more')
-    todate=end.strftime("%Y-%m-%d")
-    #end_pos=lookup_datelist(datelist,todate,direction='less')
-    
-    #用于滚动的日期期间
-    datelist_rolling=[]
-    for d in datelist:
-        if (d >= fromdate) and (d <= todate):
-            datelist_rolling=datelist_rolling+[d]
-    
-    #滚动回归
-    if sharelist == []:
-        #footnote=[ticker,mktidx,fromdate,todate,window]
-        footnote=[ticker,mktidx,window]
-    else:
-        #footnote=[ticker,mktidx,fromdate,todate,window,sharelist]
-        footnote=[ticker,mktidx,window,sharelist]
-    betas=pd.DataFrame(columns=('date','Beta','alpha','R-sqr','p-value','sig','Rf','ticker','footnote'))    
-    from scipy import stats
-    import numpy as np
-    
-    for d in datelist_rolling:
-        pos2=lookup_datelist(datelist,d)
-        pos1=pos2 - window
-        sdate2=datelist_ts[pos2]
-        sdate1=datelist_ts[pos1]
-
-        sampledf=df[df.index >= sdate1].copy()
-        sampledf=sampledf[sampledf.index < sdate2]
-        
-        (beta,alpha,r_value,p_value,std_err)= \
-            stats.linregress(sampledf['Market_dailyRet'],sampledf['Stock_dailyRet'])
-        sig=sig_stars(p_value)
-        try:
-            rf=alpha/(1-beta)
-        except:
-            rf=np.nan    
-        
-        row=pd.Series({'date':sdate2,'Beta':beta,'alpha':alpha, \
-            'R-sqr':r_value**2,'p-value':p_value,'sig':sig,'Rf':rf,'ticker':ticker,'footnote':footnote})
-        try:
-            betas=betas.append(row,ignore_index=True)
-        except:
-            betas=betas._append(row,ignore_index=True)
-    
-    betas.set_index('date',inplace=True)
-    
-    return betas
-
-if __name__=='__main__':   
-    df1=get_rf_capm('399001.SZ','000001.SS','2020-1-1','2020-12-31',window=240)
-    df1['Rf'].plot()
-
-    df2=get_rf_capm('000001.SS','399001.SZ','2020-1-1','2020-12-31',window=240)
-    df2['Rf'].plot()
-
-    df3=get_rf_capm('000001.SS','000300.SS','2020-1-1','2020-12-31',window=240)
-    df3['Rf'].plot()    
-
-    df4=get_rf_capm('AAPL','^GSPC','2020-1-1','2020-12-31',window=240)
-    df4['Rf'].plot()  
-
-    df5=get_rf_capm('^DJI','^GSPC','2020-1-1','2020-12-31',window=240)
-    df5['Rf'].plot()  
-#==============================================================================
-if __name__=='__main__':   
-    datelist=['2019-12-30','2019-12-31','2020-01-02','2020-01-03','2020-01-06']
-    adate='2020-01-01'
-    adate='2020-01-04'
-    direction='less'
-    direction='more'
-    
-def lookup_datelist(datelist,adate,direction='less'):
-    """
-    功能：在日期列表datelist查找与日期adate最接近日期的位置
-    direction='more'：若无匹配的日期，则往日期增加的方向查找最接近日期的位置
-    direction='less'：若无匹配的日期，则往日期减少的方向查找最接近日期的位置
-    """
-    i=0
-    found=False
-    while not found:
-        try:
-            pos=datelist.index(adate)
-        except:
-            if direction == 'more':
-                i=i+1
-            else:
-                i=i-1
-            adate=com.date_adjust(adate,adjust=i)
-        else:
-            found=True    
-
-    return pos
-
-#==============================================================================
-if __name__=='__main__':   
-    p_value=0.07
-    p_value=0.02
-    p_value=0.0009
-    criteria='accounting'
-    criteria='financial'
-    
-def sig_stars(p_value,criteria='accounting'):
-    """
-    功能：基于p_value给出星号的个数
-    p_value：显著性水平
-    criteria='accounting'：默认的显著性基准，<0.1为一颗星；若为'financial'，<0.05为一颗星
-    """
-    sig=''
-    if criteria == 'accounting':
-        if p_value < 0.1: sig='*'*1
-        if p_value < 0.05: sig='*'*2
-        if p_value < 0.01: sig='*'*3
-    else:
-        if p_value < 0.05: sig='*'*1
-        if p_value < 0.01: sig='*'*2
-        if p_value < 0.001: sig='*'*3        
-
-    return sig
-
-if __name__=='__main__': 
-    sig_stars(0.1)
-    sig_stars(0.07)
-    sig_stars(0.04)
-    sig_stars(0.009)
-
-#==============================================================================
-def calc_capm_rf(rmdf,rdf):
-    """
-    功能：CAPM回归
-    返回：截距项，贝塔系数，无风险收益率
-    """
-    #OLS回归
-    from scipy import stats 
-    (beta,alpha,r_value,p_value,std_err)=stats.linregress(rmdf,rdf)    
-    
-    rf=alpha/(1-beta)
-    
-    return [beta,alpha,r_value,p_value,std_err,rf]
-
-#==============================================================================
-#==============================================================================
-#==============================================================================
-#==============================================================================
-if __name__=='__main__': 
-    start='2018-1-1'
-    end='2020-12-31'
-    scope='US'
-    freq='daily'
-
-def get_rf_kfdl(start,end,scope='US',freq='daily'):
-    """
-    功能：从Kenneth R. French's Data Library获得无风险收益率
-    start/end：日期期间
-    scope：国家/地区，支持美国/北美/欧洲/日本/不含日本的亚太/不含美国的全球。全球
-    freq：支持日/月/年收益率，其中美国还支持周数据
-    返回：无风险收益率，市场收益率
-    """
-    import siat.fama_french as ff
-    factor='FF3'
-    df=ff.get_ff_factors(start,end,scope,factor,freq)
-    
-    df['Market_dailyRet']=df['Mkt-RF']+df['RF']
-    df['Rf']=df['RF']
-    df['ticker']=scope
-    footnote=[scope,freq]
-    df['footnote']=df['ticker'].apply(lambda x:footnote)
-    
-    df1=df[['Market_dailyRet','Rf','ticker','footnote']]
-    
-    return df1
-
-
-#==============================================================================