Skip to content

FIX: Vectorized approach using NumPy searchsorted #318

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Open
VinayakTiwari1103 wants to merge 1 commit into
base: master
Choose a base branch
from
Open

FIX: Vectorized approach using NumPy searchsorted #318

Changes from all commits
Commits
Show all changes
1 commit
Select commit
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
7 changes: 5 additions & 2 deletions gs_quant/timeseries/backtesting.py
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -13,7 +13,7 @@
specific language governing permissions and limitations
under the License.
"""

import numpy as np
from functools import partial

from dateutil.relativedelta import relativedelta as rdelta
Expand Down Expand Up @@ -80,7 +80,10 @@ def backtest_basket(
rebal_dates = [cal[0] + i * rdelta(months=1) for i in range(num_rebals + 1)]

# Convert the hypothetical weekly/monthly rebalance dates to actual calendar days
rebal_dates = [min(cal[cal >= date]) for date in rebal_dates if date < max(cal)]
idxs = cal.searchsorted(rebal_dates) # find insertion indices for all dates at once
idxs = idxs[idxs < len(cal)] # filter out indices beyond last date
rebal_dates = cal[idxs] # map to actual calendar dates


# Create Units dataframe
units = pd.DataFrame(index=cal, columns=series.columns)
Expand Down