CODEWITHSUNDEEP
pythonpandasdataframe
user1470034
user1470034

Reputation: 691

back filling and forward filling pandas to datetime quarterlies

I'm trying trying to populate the quarterly expiration date based on an expiration date. I'm able to identify the quarterly date when it's on the expiration, but similar as to how I did the monthly expire. I want the quarterly date to back fill and forward fill to the next quarterly expire.

I know I can use libraries outside of Pandas, but is there a way to do this in a pandas dataframe?

import pandas as pd
import pandas.tseries.offsets as offsets
import numpy as np
from datetime import date

expire = ['2022-10-24','2022-10-26','2022-10-28','2022-10-31','2022-11-02','2022-11-04','2022-11-07','2022-11-09','2022-11-11','2022-11-14',
'2022-11-16','2022-11-18','2022-11-21','2022-11-23','2022-11-25','2022-12-02','2022-12-16','2022-12-30','2023-01-20','2023-02-17','2023-03-17',
'2023-03-31','2023-06-16','2023-06-30','2023-09-15','2023-09-29','2023-12-15','2024-01-19','2024-06-21','2024-12-20','2025-01-17']

quarterlies = ['2022-12-30','2023-03-31','2023-06-30','2023-09-29','2023-12-29','2024-03-28','2024-06-28','2024-09-30','2024-12-31','2025-03-31',
'2025-06-30','2025-09-30','2025-12-31']

date_df = pd.DataFrame(expire)
date_df.columns = ["expiration_date"]
date_df = date_df.set_index(date_df["expiration_date"])
date_df["expiration_date"] = pd.to_datetime(date_df["expiration_date"], format="%Y-%m-%d")
date_df.index.name = "expiration_date_idx"

all_third_fridays = pd.DataFrame(pd.date_range(date_df["expiration_date"].min(),
                      date_df["expiration_date"].max()+pd.tseries.offsets.Day(30),
                      freq="WOM-3FRI"),
                      columns=["monthly_exp"])
              
date_df = pd.merge_asof(date_df, all_third_fridays, left_on="expiration_date", right_on="monthly_exp", direction="forward")

df_quarterly = pd.DataFrame(quarterlies)
df_quarterly.columns = ['quarterly_expire']
date_df['quarterly_expire'] = date_df['expiration_date'].isin(df_quarterly['quarterly_expire'])
date_df['quarterly_exp'] = date_df['expiration_date'] + offsets.QuarterEnd() - offsets.Week(weekday=4) #not accurate, so I had to use list
date_df.loc[(date_df['quarterly_expire'] == True), 'quarterly_expiration'] = date_df['expiration_date']
#date_df["quarterly_expiration"].bfill(axis =df_quarterly['quarterly_expiration']) series error

print(date_df)

The bfill would work for all of the options except the ones highlighted toward the bottom where they need to forward fill to the next quarterlies date.

However, I'm getting a the following error and I'm having trouble understanding why? This still doesn't solve the full problem illustrated by the yellow highlights.

ValueError: No axis named quarterly_expiration for object type Series

This is the output that I'm getting:

   expiration_date monthly_exp  quarterly_expire quarterly_exp quarterly_expiration
0       2022-10-24  2022-11-18             False    2022-12-30                  NaT
1       2022-10-26  2022-11-18             False    2022-12-30                  NaT
2       2022-10-28  2022-11-18             False    2022-12-30                  NaT
3       2022-10-31  2022-11-18             False    2022-12-30                  NaT
4       2022-11-02  2022-11-18             False    2022-12-30                  NaT
5       2022-11-04  2022-11-18             False    2022-12-30                  NaT
6       2022-11-07  2022-11-18             False    2022-12-30                  NaT
7       2022-11-09  2022-11-18             False    2022-12-30                  NaT
8       2022-11-11  2022-11-18             False    2022-12-30                  NaT
9       2022-11-14  2022-11-18             False    2022-12-30                  NaT
10      2022-11-16  2022-11-18             False    2022-12-30                  NaT
11      2022-11-18  2022-11-18             False    2022-12-30                  NaT
12      2022-11-21  2022-12-16             False    2022-12-30                  NaT
13      2022-11-23  2022-12-16             False    2022-12-30                  NaT
14      2022-11-25  2022-12-16             False    2022-12-30                  NaT
16      2022-12-16  2022-12-16             False    2022-12-30                  NaT
17      2022-12-30  2023-01-20              True    2022-12-30           2022-12-30
18      2023-01-20  2023-01-20             False    2023-03-24                  NaT
19      2023-02-17  2023-02-17             False    2023-03-24                  NaT
20      2023-03-17  2023-03-17             False    2023-03-24                  NaT
21      2023-03-31  2023-04-21              True    2023-06-23           2023-03-31
22      2023-06-16  2023-06-16             False    2023-06-23                  NaT
23      2023-06-30  2023-07-21              True    2023-09-29           2023-06-30
24      2023-09-15  2023-09-15             False    2023-09-29                  NaT
25      2023-09-29  2023-10-20              True    2023-09-29           2023-09-29
26      2023-12-15  2023-12-15             False    2023-12-29                  NaT
27      2024-01-19  2024-01-19             False    2024-03-29                  NaT
28      2024-06-21  2024-06-21             False    2024-06-28                  NaT
29      2024-12-20  2024-12-20             False    2024-12-27                  NaT
30      2025-01-17  2025-01-17             False    2025-03-28                  NaT

This is the output I'm shooting for:

enter image description here

Perhaps there is a better way to handle this problem that I'm not thinking of. I'm open to suggestions.

Upvotes: 0

Views: 105

Answers (1)

MYousefi
MYousefi

Reputation: 1008

BQuarterEnd offset should do what you need.

date_df.assign(quarterly_expiration=lambda x: x['expiration_date'] + pd.tseries.offsets.BQuarterEnd())

Upvotes: 1

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