added pandas .ffill() as precursor to pct_change() in .value_to_ret()…

… method.

openseries/frame.py

@@ -340,7 +340,7 @@ def value_to_ret(self: Self) -> Self:
  returns.iloc[0] = 0
  new_labels = [ValueType.RTRN] * self.item_count
  arrays = [self.tsdf.columns.get_level_values(0), new_labels]
- returns.columns = MultiIndex.from_arrays(arrays)
+ returns.columns = MultiIndex.from_arrays(arrays=arrays)
  self.tsdf = returns.copy()
  return self
 

openseries/series.py

@@ -346,6 +346,7 @@ def from_fixed_rate(
  - cast(DatetimeIndex, d_range)[:-1]
  ],
  )
+ # noinspection PyTypeChecker
  arr = list(cumprod(insert(1 + deltas * rate / 365, 0, 1.0)))
  dates = [d.strftime("%Y-%m-%d") for d in cast(DatetimeIndex, d_range)]
 
@@ -434,15 +435,12 @@ def value_to_ret(self: Self) -> Self:
  The returns of the values in the series
 
  """
- self.tsdf = self.tsdf.pct_change()
- self.tsdf.iloc[0] = 0
+ returns = self.tsdf.ffill().pct_change()
+ returns.iloc[0] = 0
  self.valuetype = ValueType.RTRN
- self.tsdf.columns = MultiIndex.from_arrays(
- [
- [self.label],
- [self.valuetype],
- ],
- )
+ arrays = [[self.label], [self.valuetype]]
+ returns.columns = MultiIndex.from_arrays(arrays=arrays)
+ self.tsdf = returns.copy()
  return self
 
  def value_to_diff(self: Self, periods: int = 1) -> Self:
@@ -520,6 +518,7 @@ def from_1d_rate_to_cumret(
  arr = array(self.values) / divider
 
  deltas = array([i.days for i in self.tsdf.index[1:] - self.tsdf.index[:-1]])
+ # noinspection PyTypeChecker
  arr = cumprod(insert(1.0 + deltas * arr[:-1] / days_in_year, 0, 1.0))
 
  self.dates = [d.strftime("%Y-%m-%d") for d in self.tsdf.index]
@@ -818,6 +817,7 @@ def timeseries_chain(
 
  dates.extend([x.strftime("%Y-%m-%d") for x in new.tsdf.index])
 
+ # noinspection PyUnresolvedReferences
  if back.__class__.__subclasscheck__(
  OpenTimeSeries,
  ):