mirror of
https://github.com/OpenBB-finance/OpenBB.git
synced 2026-11-09 02:42:36 +00:00
009699928f
* Relink sdk/sdk -> platform/platform * Relink sdk -> platform * Rename folders * Fix dev_install script * Fix test generators * Fix test generators * Fix test generators * Organize imports
54 lines
1.8 KiB
Python
54 lines
1.8 KiB
Python
"""Helper functions for QA"""
|
|
|
|
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
|