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SchedulePeriodic

SchedulePeriodic#

class sigtech.framework.schedules.schedule.SchedulePeriodic

Define a simple periodic schedule.

Keyword arguments:

  • start_date: Schedule start date.

  • end_date: Schedule end date.

  • holidays: List of holiday calendars.

  • frequency: '1BD', '2BD', '1W', '2W', '1M', '2M', '3M', '1W-WED', '1W-FRI', '3M_IMM', 'SOM', 'EOM', 'YEARLY', '1DOM' (Day of Month), '15BDOM' (15th Business Day of Month), '[X]M-[Y]DOM' (e.g. '1M-10DOM', '6M-28DOM').

  • offset: Optional input to bump the final dates from the periodic schedule.

  • offset_backwards: If True, applied offset bump backwards otherwise forward.

  • offset_sticky_month_end: If True, applied month end rule in the offset bump.

  • bdc: Business day count convention applied in the periodic schedule ('FOLLOWING' by default).

  • delivery_kwargs: As in ScheduleBase class.

  • include_start_date: If True, schedule includes start_date when start_date is before the first date of the schedule (Default is True).

Example of object creation:

import sigtech.framework.infra.calendar as cal
import datetime as dtm
from sigtech.framework.schedules.schedule import SchedulePeriodic

weekly_schedule = SchedulePeriodic(dtm.date(2012, 2, 1),
                                   dtm.date(2012, 3, 28),
                                   'NYM (T)',
                                   frequency='1W-WED',
                                   offset='1BD',
                                   offset_backwards=True,
                                   bdc=cal.BDC_MODIFIED_FOLLOWING)
get_holidays() → str

Return the union of calendars

all_data_dates() → list[datetime.date]

Return the timestamps of all data dates from calculation_start_date to calculation_end_date inclusive.

all_data_ts() → DatetimeIndex

Return the timestamps of all data dates from calculation_start_date to calculation_end_date inclusive.

all_reference_datetimes()

Timeseries indexed by data dates between start and end with corresponding reference times for that date.

approximate_holidays() → str

A possibly not exact holiday set for this schedule.

calculation_end_date() → date

Return the date on which the calculation of all data dates ends.

calculation_end_ts() → Timestamp

Date on which calculation of all data dates ends.

calculation_start_date() → date

Return the date on which the calculation of all data dates starts.

calculation_start_ts() → Timestamp

Date on which calculation of all data dates starts.

current_next_data_date(d: Union[date, datetime, Timestamp]) → date

Returns the first data date on or after the input date.

Parameters:

d – Input date, datetime or timestamp.

Returns:

date.

current_next_data_ts(d: Union[date, datetime, Timestamp]) → Timestamp

Return the first data date on or after date d.

Parameters:

d – Input date, datetime or timestamp.

Returns:

pandas Timestamp.

current_previous_data_date(d: Union[date, datetime, Timestamp]) → date

Returns the first data date on or before the input date.

Parameters:

d – Input date, datetime or timestamp.

Returns:

date.

current_previous_data_ts(d: Union[date, datetime, Timestamp]) → Timestamp

Return the first data date on or before date d.

Parameters:

d – Input date, datetime or timestamp.

Returns:

pandas Timestamp.

data_dates(start: Optional[Union[date, datetime, Timestamp]] = None, end: Optional[Union[date, datetime, Timestamp]] = None) → list[Union[datetime.datetime, datetime.date]]

List of value dates for which data is published between start and end dates inclusive.

Parameters:

  • start – Start date, datetime or timestamp.

  • end – End date, datetime ot timestamp.

Returns:

date or datetime.

data_ts(start: Optional[Union[date, datetime, Timestamp]] = None, end: Optional[Union[date, datetime, Timestamp]] = None) → DatetimeIndex

List of value dates for which data is published between start and end dates inclusive.

Parameters:

  • start – Start date, datetime or timestamp.

  • end – End date, datetime ot timestamp.

Returns:

pandas DatetimeIndex.

date_increment(d: date, n: int) → Any

Move a given date d exactly n business days forward or backward.

Parameters:

  • d – Input date.

  • n – Number of business days for bump.

Returns:

New bumped date from the input date.

delivery_kwargs()

Return a dict containing the class attributes.

dependencies(input_dependency: Dependency, valuation_currency: str = None, use_start: bool = False) → list[sigtech.framework.internal.infra.mu.graph.registry.factory.Dependency]

Dependencies of this schedule

end_date() → date

Return the last date on which data will be available, typically date.max if no end date is set.

end_ts() → Timestamp

The last date on which data will be available, typically date.max if no end date is set.

get_exact_business_dates(d: date, n: int) → list[datetime.date]

Return n business days after date d.

Parameters:

  • d – Start date.

  • n – Number of days.

Returns:

List of dates.

is_data_date(d: Union[date, datetime, Timestamp]) → bool

Return True if the input date is part of the schedule, otherwise False.

Parameters:

d – Input date, datetime or timestamp.

Returns:

bool.

is_data_ts(d: Union[date, datetime, Timestamp]) → bool

Return True if the input date is part of the schedule, otherwise False.

Parameters:

d – Input date, datetime or timestamp.

Returns:

bool.

next_data_date(d: Union[date, datetime, Timestamp]) → date

Return the first data date after the input date.

Parameters:

d – Input date, datetime or timestamp.

Returns:

date.

next_data_ts(d: Union[date, datetime, Timestamp]) → Timestamp

Return the first data date after the input date.

Parameters:

d – Input date, datetime or timestamp.

Returns:

pandas Timestamp.

prev_reference_date(d: date) → date

Return the past delivery date for the input date.

Parameters:

d – Input date.

Returns:

date.

prev_reference_datetime(d: Union[date, datetime, Timestamp]) → Timestamp

Return the past delivery datetime for the input date.

Parameters:

d – Input date, datetime or timestamp.

Returns:

pandas Timestamp.

previous_data_date(d: Union[date, datetime, Timestamp]) → date

Return the first data date prior to the input date.

Parameters:

d – Input date, datetime or timestamp.

Returns:

date.

previous_data_ts(d: Union[date, datetime, Timestamp]) → Timestamp

Return the first data date prior to the input date.

Parameters:

d – Input date, datetime or timestamp.

Returns:

pandas Timestamp.

reference_datetime(d: Union[date, datetime, Timestamp]) → Timestamp

Return the delivery datetime for the input date.

Parameters:

d – Input date, datetime or timestamp.

Returns:

pandas Timestamp.

reference_datetimes(start: Optional[Union[date, datetime, Timestamp]] = None, end: Optional[Union[date, datetime, Timestamp]] = None)

Return the reference datetimes restricted to data dates between start and end inclusive.

Parameters:

  • start – Input date, datetime or timestamp (optional).

  • end – Input date, datetime or timestamp (optional).

Returns:

pandas Series.

start_date() → date

The first date on which data will be available.

start_ts() → Timestamp

The first date on which data will be available.