FinanceRoutines.jl

commit 5be58b3328a515e879e42f21ab31fa995beb0e65
parent ba26e04f30801d5da6c2debad54a573613b40f55
Author: Erik Loualiche <[email protected]>
Date:   Fri,  6 Jun 2025 10:39:40 -0500

remove dependencies

Diffstat:
M
.github/workflows/CI.yml
 | 
1
-
M
Project.toml
 | 
4
++--
M
src/FinanceRoutines.jl
 | 
10
++++------
M
src/ImportCRSP.jl
 | 
5
+++--
M
src/ImportYields.jl
 | 
2
+-
M
test/runtests.jl
 | 
5
+++--

6 files changed, 13 insertions(+), 14 deletions(-)
diff --git a/.github/workflows/CI.yml b/.github/workflows/CI.yml
@@ -24,7 +24,6 @@ jobs:
       matrix:
         version:
           - "1.11"
-          - "1.10"
         os:
           - ubuntu-latest
         arch:
diff --git a/Project.toml b/Project.toml
@@ -4,6 +4,7 @@ authors = ["Erik Loualiche <[email protected]>"]
 version = "0.4.2"
 
 [deps]
+BazerData = "d6d9bf1d-14ee-42c9-93f7-cccc2a9ff2c2"
 CSV = "336ed68f-0bac-5ca0-87d4-7b16caf5d00b"
 DataFrames = "a93c6f00-e57d-5684-b7b6-d8193f3e46c0"
 DataPipes = "02685ad9-2d12-40c3-9f73-c6aeda6a7ff5"
@@ -17,15 +18,14 @@ LibPQ = "194296ae-ab2e-5f79-8cd4-7183a0a5a0d1"
 LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
 Logging = "56ddb016-857b-54e1-b83d-db4d58db5568"
 Missings = "e1d29d7a-bbdc-5cf2-9ac0-f12de2c33e28"
-PanelShift = "d68e4d5e-4a60-4df1-b225-9a1636c75ae0"
 PeriodicalDates = "276e7ca9-e0d7-440b-97bc-a6ae82f545b1"
-ShiftedArrays = "1277b4bf-5013-50f5-be3d-901d8477a67a"
 Statistics = "10745b16-79ce-11e8-11f9-7d13ad32a3b2"
 Tables = "bd369af6-aec1-5ad0-b16a-f7cc5008161c"
 WeakRefStrings = "ea10d353-3f73-51f8-a26c-33c1cb351aa5"
 ZipFile = "a5390f91-8eb1-5f08-bee0-b1d1ffed6cea"
 
 [compat]
+BazerData = "0.7.4"
 CSV = "0.10"
 DataFrames = "1"
 julia = "1"
diff --git a/src/FinanceRoutines.jl b/src/FinanceRoutines.jl
@@ -2,15 +2,14 @@ module FinanceRoutines
 
 
 # --------------------------------------------------------------------------------------------------
-import Downloads
-import ZipFile
+import BazerData: tlag
 import CSV
 import DataFrames: AbstractDataFrame, AsTable, DataFrame, DataFrameRow, ByRow, groupby, nrow, passmissing, Not,
   rename!, select, select!, subset!, transform!, leftjoin, disallowmissing!
 import DataPipes: @p
 import Dates: Dates, Date, Day, Month, year
 import Decimals: Decimal
-import Downloads: Downloads.download
+import Downloads
 import FlexiJoins
 using FlexiJoins: by_key, by_pred
 import GLM: coef, lm
@@ -20,11 +19,10 @@ import LinearAlgebra: qr
 import Logging: Logging, with_logger, ConsoleLogger, @logmsg, Logging.Debug, Logging.Info, Logging.Warn, Logging.Error
 import Missings: Missings, missing, disallowmissing
 import PeriodicalDates: MonthlyDate
-import PanelShift: panellag!, tlag
-import ShiftedArrays: lag
 import Tables: columntable
 import WeakRefStrings: String3, String7, String15
-import ZipFile: ZipFile.Reader
+import ZipFile
+# import ZipFile: ZipFile.Reader
 # --------------------------------------------------------------------------------------------------
 
 
diff --git a/src/ImportCRSP.jl b/src/ImportCRSP.jl
@@ -189,8 +189,9 @@ function build_MSF!(
     # df_msf_mktcap_lag = @select(df_msf,
     #         :datem = :datem + Month(1), :permno, :l1m_mktcap2 = :mktcap)
     # df_msf = leftjoin(df_msf, df_msf_mktcap_lag, on = [:permno, :datem])
-    panellag!(df, :permno, :datem,
-        :mktcap, :l1m_mktcap, Month(1))
+    # panellag!(df, :permno, :datem, :mktcap, :l1m_mktcap, Month(1))
+    transform!(groupby(df, :permno), 
+        [:mktcap, :datem] => ( (v, t) -> tlag(v, t, n=Month(1)) ) => :l1m_mktcap)
 
 # Adjusted returns (see tidy finance following Bali, Engle, and Murray)
     transform!(df, 
diff --git a/src/ImportYields.jl b/src/ImportYields.jl
@@ -1131,7 +1131,7 @@ function add_returns!(df::DataFrame, maturity::Real;
     for col in param_cols
         lag_col = Symbol("lag_$col")
         transform!(df, [:date, col] => 
-                  ((dates, values) -> tlag(dates, values, time_step)) => 
+                  ((dates, values) -> tlag(values, dates; n=time_step)) => 
                   lag_col)
     end
     
diff --git a/test/runtests.jl b/test/runtests.jl
@@ -13,7 +13,8 @@ import DataPipes: @p
 # --------------------------------------------------------------------------------------------------
 const testsuite = [
     "KenFrench", 
-    "WRDS", "betas",
+    "WRDS", 
+    "betas",
     "Yields", 
 ]
 # --------------------------------------------------------------------------------------------------
@@ -21,7 +22,7 @@ const testsuite = [
 
 # --------------------------------------------------------------------------------------------------
 # To run file locally (where environment variables are not defined by CI)
-env_file = "../.env.gpg"
+env_file = "/Users/loulou/Documents/data/.env/.env.gpg"
 if isfile(env_file)
     io = IOBuffer(); run(pipeline(`which gpg`; stdout=io)); gpg_cmd = strip(String(take!(io)))
     io = IOBuffer();