wbfdm 1.56.3__tar.gz → 1.56.5__tar.gz

{wbfdm-1.56.3 → wbfdm-1.56.5}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: wbfdm
-Version: 1.56.3
+Version: 1.56.5
 Summary: The workbench module ensures rapid access to diverse financial data (market, fundamental, forecasts, ESG), with features for storing instruments, classifying them, and conducting financial analysis.
 Author-email: Christopher Wittlinger <c.wittlinger@stainly.com>
 Requires-Dist: roman==4.*

{wbfdm-1.56.3 → wbfdm-1.56.5}/wbfdm/contrib/qa/dataloaders/market_data.py

@@ -169,20 +169,22 @@ class DatastreamMarketDataDataloader(MarketDataProtocol, Dataloader):
                 if MarketData.SHARES_OUTSTANDING in values:
                     row["outstanding_shares"] = (row["market_capitalization"] / row["close"]) if row["close"] else None
                 if target_currency:
-                    try:
-                        if target_currency == row["currency"]:
-                            fx_rate = 1.0
-                        else:
-                            fx_rate = fx_rates[f'{row["currency"]}{target_currency}'][row["valuation_date"]] or 1.0
-                        if apply_fx_rate:
-                            for e in MarketData:
-                                if e != MarketData.SHARES_OUTSTANDING and e.value in row and row[e.value]:
-                                    row[e.value] = row[e.value] * fx_rate
-                            row["currency"] = target_currency
-                        row["fx_rate"] = fx_rate
-                    except KeyError:
-                        # if we don't find the fx rate but we asked for it, we invalid that row and do not return it
-                        continue
+                    if target_currency == row["currency"]:
+                        fx_rate = 1.0
+                    else:
+                        currency_fx_rates = fx_rates[f'{row["currency"]}{target_currency}']
+                        try:
+                            fx_rate = currency_fx_rates[row["valuation_date"]] or 1.0
+                        except KeyError:
+                            max_idx = max(currency_fx_rates.keys())
+                            fx_rate = currency_fx_rates[max_idx]
+                    if apply_fx_rate:
+                        for e in MarketData:
+                            if e != MarketData.SHARES_OUTSTANDING and e.value in row and row[e.value]:
+                                row[e.value] = row[e.value] * fx_rate
+                        row["currency"] = target_currency
+                    row["fx_rate"] = fx_rate
+
                 yield row
 
             cursor.execute(MSSQLQuery.drop_table(mapping).get_sql())

{wbfdm-1.56.3 → wbfdm-1.56.5}/wbfdm/models/instruments/querysets.py

@@ -253,6 +253,7 @@ class InstrumentQuerySet(QuerySet):
             else:
                 fx_rate_df = pd.DataFrame(np.ones(prices_df.shape), index=prices_df.index, columns=prices_df.columns)
             returns = prices_to_returns(fx_rate_df * prices_df, drop_inceptions_nan=False, fill_nan=True)
+
             return {
                 ts.date(): row for ts, row in prices_df.replace([np.nan], None).to_dict("index").items()
             }, returns.replace([np.inf, -np.inf, np.nan], 0)