[Numpy-discussion] datetime business day API

Mark Wiebe mwwiebe@gmail....
Fri Jun 10 17:49:18 CDT 2011


I've implemented the busday_offset function with support for the weekmask
and roll parameters, the commits are tagged 'datetime-bday' in the pull
request here:

https://github.com/numpy/numpy/pull/87

-Mark

On Thu, Jun 9, 2011 at 5:23 PM, Mark Wiebe <mwwiebe@gmail.com> wrote:

> Here's a possible design for a business day API for numpy datetimes:
>
>
> The 'B' business day unit will be removed. All business day-related
> calculations will be done using the 'D' day unit.
>
> A class *BusinessDayDef* to encapsulate the definition of the business
> week and holidays. The business day functions will either take one of these
> objects, or separate weekmask and holidays parameters, to specify the
> business day definition. This class serves as both a performance
> optimization and a way to encapsulate the weekmask and holidays together,
> for example if you want to make a dictionary mapping exchange names to their
> trading days definition.
>
> The weekmask can be specified in a number of ways, and internally becomes a
> boolean array with 7 elements with True for the days Monday through Sunday
> which are valid business days. Some different notations are for the 5-day
> week include [1,1,1,1,1,0,0], "1111100" "MonTueWedThuFri". The holidays are
> always specified as a one-dimensional array of dtype 'M8[D]', and are
> internally used in sorted form.
>
>
> A function *is_busday*(datearray, weekmask=, holidays=, busdaydef=)
> returns a boolean array matching the input datearray, with True for the
> valid business days.
>
> A function *busday_offset*(datearray, offsetarray,
> roll='raise', weekmask=, holidays=, busdaydef=) which first applies the
> 'roll' policy to start at a valid business date, then offsets the date by
> the number of business days specified in offsetarray. The arrays datearray
> and offsetarray are broadcast together. The 'roll' parameter can be
> 'forward'/'following', 'backward'/'preceding', 'modifiedfollowing',
> 'modifiedpreceding', or 'raise' (the default).
>
> A function *busday_count*(datearray1, datearray2, weekmask=, holidays=,
> busdaydef=) which calculates the number of business days between datearray1
> and datearray2, not including the day of datearray2.
>
>
> For example, to find the first Monday in Feb 2011,
>
> >>>np.busday_offset('2011-02', 0, roll='forward', weekmask='Mon')
>
> or to find the number of weekdays in Feb 2011,
>
> >>>np.busday_count('2011-02', '2011-03')
>
> This set of three functions appears to be powerful enough to express the
> business-day computations that I've been shown thus far.
>
> Cheers,
> Mark
>
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