"""Helper functions for Quantitative Analysis.""" from io import BytesIO from urllib.request import urlopen from zipfile import ZipFile import pandas as pd # ruff: ignore=S310 def get_fama_raw(start_date: str, end_date: str) -> pd.DataFrame: """Get base Fama French data to calculate risk. Returns ------- pd.DataFrame A data with fama french model information """ with urlopen( # nosec # noqa: S310 SIM117 "https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/F-F_Research_Data_Factors_CSV.zip" ) as url: # Download Zipfile and create pandas DataFrame with ZipFile(BytesIO(url.read())) as zipfile: with zipfile.open("F-F_Research_Data_Factors.CSV") as zip_open: df = pd.read_csv( zip_open, header=0, names=["Date", "MKT-RF", "SMB", "HML", "RF"], skiprows=3, ) df = df[df["Date"].apply(lambda x: len(str(x).strip()) == 6)] df["Date"] = df["Date"].astype(str) + "01" df["Date"] = pd.to_datetime(df["Date"], format="%Y%m%d") df["MKT-RF"] = pd.to_numeric(df["MKT-RF"], downcast="float") df["SMB"] = pd.to_numeric(df["SMB"], downcast="float") df["HML"] = pd.to_numeric(df["HML"], downcast="float") df["RF"] = pd.to_numeric(df["RF"], downcast="float") df["MKT-RF"] = df["MKT-RF"] / 100 df["SMB"] = df["SMB"] / 100 df["HML"] = df["HML"] / 100 df["RF"] = df["RF"] / 100 df = df.set_index("Date") dt_start_date = pd.to_datetime(start_date, format="%Y-%m-%d") if dt_start_date > df.index.max(): raise ValueError( f"Start date '{dt_start_date}' is after the last date available for Fama-French '{df.index[-1]}'" ) df = df.loc[start_date:end_date] # type: ignore return df