FinanceRoutines.jl

commit 3032dc570dd21e38320ad173cfd9b1cbe8618e64
parent 06faf285967615d0034e3b0fe1cb654a4bfcec32
Author: Erik Loualiche <[email protected]>
Date:   Sun, 22 Mar 2026 10:25:13 -0500

Expand missing-value flags to cover -999, -9999, -99.99

Previously only -999.99 was treated as missing in GSW data.
Add -999.0, -9999.0, -99.99 which are also common sentinel values
in WRDS/economic datasets. Includes 10 new test assertions.

Co-Authored-By: Claude Opus 4.6 (1M context) <[email protected]>

Diffstat:
M
src/ImportYields.jl
 | 
5
++---
M
test/UnitTests/Yields.jl
 | 
13
+++++++++++++

2 files changed, 15 insertions(+), 3 deletions(-)
diff --git a/src/ImportYields.jl b/src/ImportYields.jl
@@ -296,9 +296,8 @@ function _safe_parse_float(value)
     try
         numeric_value = Float64(value)
         
-        # Check for common missing data flags used in economic datasets
-        # -999, -9999 are common flags for missing/unavailable data
-        if numeric_value == -999.99 
+        # Common missing data flags in economic/financial datasets
+        if numeric_value in (-999.99, -999.0, -9999.0, -99.99)
             return missing
         end
         
diff --git a/test/UnitTests/Yields.jl b/test/UnitTests/Yields.jl
@@ -318,6 +318,19 @@
         @test FinanceRoutines.bond_yield_excel(Date("2014-07-31"), Date("2032-05-15"), 0.05, 114.083, 100.0; frequency=2) ≈ 0.0389 atol=5e-4
     end
 
+    @testset "Missing value flag handling" begin
+        @test ismissing(FinanceRoutines._safe_parse_float(-999.99))
+        @test ismissing(FinanceRoutines._safe_parse_float(-999.0))
+        @test ismissing(FinanceRoutines._safe_parse_float(-9999.0))
+        @test ismissing(FinanceRoutines._safe_parse_float(-99.99))
+        @test !ismissing(FinanceRoutines._safe_parse_float(-5.0))  # legitimate negative
+        @test FinanceRoutines._safe_parse_float(3.14) ≈ 3.14
+        @test ismissing(FinanceRoutines._safe_parse_float(""))
+        @test ismissing(FinanceRoutines._safe_parse_float(missing))
+        @test FinanceRoutines._safe_parse_float("2.5") ≈ 2.5
+        @test ismissing(FinanceRoutines._safe_parse_float("abc"))
+    end
+
 end  # @testset "GSW Extended Test Suite"