Coverage for cvx/simulator/utils/rescale.py: 100%

1# Copyright 2023 Stanford University Convex Optimization Group 

2# 

3# Licensed under the Apache License, Version 2.0 (the "License"); 

4# you may not use this file except in compliance with the License. 

5# You may obtain a copy of the License at 

6# 

7# http://www.apache.org/licenses/LICENSE-2.0 

8# 

9# Unless required by applicable law or agreed to in writing, software 

10# distributed under the License is distributed on an "AS IS" BASIS, 

11# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. 

12# See the License for the specific language governing permissions and 

13# limitations under the License. 

14import pandas as pd 

15 

16 

17def _rescale(r: pd.Series): 

18 """ 

19 Rescale a time series to start at 1 

20 """ 

21 r = r.dropna() 

22 a = (r + 1).cumprod() 

23 return a / a.iloc[0] 

24 

25 

26def returns2prices(returns: pd.DataFrame): 

27 """ 

28 Convert returns to prices 

29 """ 

30 prices = returns.apply(_rescale, axis=0) 

31 return prices