Question

我想计算净值曲线的滚动波动率。

# demo
import pandas as pd

def get_rolling_vol(s: pd.Series) -> float:
    return s.pct_change().iloc[1:].std()

s = pd.Series([1, 1.2, 1.15, 1.19, 1.23, 1.3])
rolling = s.rolling(window=2)
stds = rolling.apply(lambda s: get_rolling_vol(s))

抛出错误：

FutureWarning: Currently, 'apply' passes the values as ndarrays to the applied function. In the future, this will change to passing it as Series objects. You need to specify 'raw=True' to keep the current behaviour, and you can pass 'raw=False' to silence this warning
  stds = rolling.apply(lambda s: get_rolling_vol(s))
... (omits intermediate tracebacks)
AttributeError: 'numpy.ndarray' object has no attribute 'pct_change'

是否有任何方法可以使参数作为Series而不是ndarrays中的apply传递？ FutureWarning说将来会这样，如果我现在想要的话该怎么办？（不想修改get_rolling_vol函数，因为还有许多其他函数也假定参数为Series，而修改所有这些函数将很繁琐。）谢谢。

Answer 1

是的，这是可能的，如警告消息中所述：在raw=False中使用rolling.apply作为参数

这至少在熊猫0.24.1中有效

pandas.series.rolling.apply方法似乎将Series隐式转换为numpy数组

1 个答案: