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MAINT: use int for groupby #92

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MAINT: use int for groupby #92

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b82150b
MAINT: use int for groupby
Apr 16, 2018
402decd
TST: test that exposures don't depend on index name
Apr 17, 2018
b80d79d
Merge branch 'master' into change-groupby
twiecki Aug 22, 2019
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2 changes: 1 addition & 1 deletion empyrical/perf_attrib.py
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Original file line number Diff line number Diff line change
Expand Up @@ -138,4 +138,4 @@ def compute_exposures(positions, factor_loadings):
2017-01-02 0.821872 1.520515
"""
risk_exposures = factor_loadings.multiply(positions, axis='rows')
return risk_exposures.groupby(level='dt').sum()
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@ssanderson ssanderson Apr 17, 2018

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Is there a test we can add/modify to go along with this change?

return risk_exposures.groupby(level=0).sum()
11 changes: 6 additions & 5 deletions empyrical/tests/test_perf_attrib.py
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Expand Up @@ -27,7 +27,7 @@ def test_perf_attrib_simple(self):
)

index = pd.MultiIndex.from_product(
[dts, tickers], names=['dt', 'ticker'])
[dts, tickers], names=['date', 'ticker'])

positions = pd.Series([0.2857142857142857, 0.7142857142857143,
0.2857142857142857, 0.7142857142857143],
Expand All @@ -40,8 +40,9 @@ def test_perf_attrib_simple(self):
'risk_factor2': [0.25, 0.25, 0.25, 0.25]}
)

expected_index = dts.set_names(['date'])
expected_perf_attrib_output = pd.DataFrame(
index=dts,
index=expected_index,
columns=['risk_factor1', 'risk_factor2', 'common_returns',
'specific_returns', 'total_returns'],
data={'risk_factor1': [0.025, 0.025],
Expand All @@ -52,7 +53,7 @@ def test_perf_attrib_simple(self):
)

expected_exposures_portfolio = pd.DataFrame(
index=dts,
index=expected_index,
columns=['risk_factor1', 'risk_factor2'],
data={'risk_factor1': [0.25, 0.25],
'risk_factor2': [0.25, 0.25]}
Expand All @@ -78,7 +79,7 @@ def test_perf_attrib_simple(self):
factor_loadings)

expected_perf_attrib_output = pd.DataFrame(
index=dts,
index=expected_index,
columns=['risk_factor1', 'risk_factor2', 'common_returns',
'specific_returns', 'total_returns'],
data={'risk_factor1': [0.0, 0.0],
Expand All @@ -89,7 +90,7 @@ def test_perf_attrib_simple(self):
)

expected_exposures_portfolio = pd.DataFrame(
index=dts,
index=expected_index,
columns=['risk_factor1', 'risk_factor2'],
data={'risk_factor1': [0.0, 0.0],
'risk_factor2': [0.0, 0.0]}
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