calendar_example.py

__author__ = "saeedamen"  # Saeed Amen

#
# Copyright 2016 Cuemacro
#
# Licensed under the Apache License, Version 2.0 (the "License"); you may not
# use this file except in compliance with the License. You may obtain a copy of
# the License at http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on a "AS IS" BASIS, WITHOUT
# WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
#
# See the License for the specific language governing permissions and
# limitations under the License.
#

if __name__ == "__main__":
    ###### below line CRUCIAL when running Windows, otherwise multiprocessing 
    # doesn"t work! (not necessary on Linux)
    from findatapy.util import SwimPool;

    SwimPool()

    from findatapy.timeseries import Filter, Calendar

    import pandas as pd

    calendar = Calendar()
    filter = Filter()

    # choose run_example = 0 for everything
    # run_example = 1 - get holidays for FX, EUR and EURUSD, as well as 
    #   listing weekends
    # run_example = 2 - get FX delivery dates and FX option expiries for 
    #   various tenors
    # run_example = 3 - get number of days between pandas DatetimeIndex
    # run_example = 4 - filter time series by EURUSD holidays
    # run_example = 4 - option expiries for USDJPY

    run_example = 0

    if run_example == 1 or run_example == 0:
        # Get the holidays (which aren"t weekends)
        print(calendar.get_holidays(start_date="01 Jan 1999 00:50",
                                    end_date="31 Dec 1999", cal="FX"))
        print(calendar.get_holidays(start_date="01 Jan 2000 00:10",
                                    end_date="31 Dec 2000", cal="EUR"))
        print(calendar.get_holidays(start_date="01 Jan 2000 00:10",
                                    end_date="31 Dec 2000", cal="EURUSD"))

        # Get the holidays (which are weekends)
        print(calendar.get_holidays(start_date="01 Jan 1999 00:50",
                                    end_date="31 Dec 1999", cal="WKD"))

    if run_example == 2 or run_example == 0:
        # Get delivery dates for these horizon dates - typically would use 
        # to get forward maturities
        print(calendar.get_delivery_date_from_horizon_date(
            pd.to_datetime([pd.Timestamp("02 Nov 2020")]), "ON", cal="EURUSD"))

        print(calendar.get_delivery_date_from_horizon_date(
            pd.to_datetime([pd.Timestamp("02 Nov 2020")]), "1W", cal="EURUSD"))

        print(calendar.get_delivery_date_from_horizon_date(
            pd.to_datetime([pd.Timestamp("27 Nov 2020")]), "1W", cal="EURUSD"))

        # Get 1M expires for these horizon dates - typically would use to get 
        # option expiries
        print(calendar.get_expiry_date_from_horizon_date(
            pd.to_datetime([pd.Timestamp("26 Oct 2020")]), "1M", cal="EURUSD"))

    if run_example == 3 or run_example == 0:
        # Create a list of business days and one which is + 1 day

        bus_days = pd.bdate_range("1 Jan 2020", "30 Jan 2020")
        bus_days_plus = bus_days + pd.Timedelta(days=7)

        print(calendar.get_delta_between_dates(bus_days, bus_days_plus))

    if run_example == 4 or run_example == 0:
        # Filter a time series by EURUSD holidays

        df = pd.DataFrame(index=pd.bdate_range("1 Jan 2020", "31 Dec 2020"))
        df["Prices"] = 1

        df_filtered = filter.filter_time_series_by_holidays(df, "EURUSD")

        print(len(df.index))
        print(len(df_filtered.index))

    if run_example == 5 or run_example == 0:
        # Get expiry for USDJPY

        # Get 1M expires for these horizon dates - typically would use to get
        # option expiries
        print(calendar.get_expiry_date_from_horizon_date(
            pd.to_datetime([pd.Timestamp("26 Nov 2008")]), "1M", cal="USDJPY"))