repeat() function

[oscarostlundgs]

Describe the problem. Provide a repeat() function that repeats the last available values in a timeseries for missing date.

Describe the solution you'd like repeat(x, mode) function takes a timeseries and a mode argument. The mode argument can be either CALENDAR_DAYS and it then repeats values on all calendar days or WORK_DAYS and then skips Saturdays and Sundays.

Describe alternatives you've considered We considered having a UNION mode that would align the series with the date of another series and fill the missing values but that would be redundant as the align() already supports that use case.

Are you willing to contribute Yes

[francisg77]

Sounds good. One thought might be "mode" supporting a "calendar" parameter instead? We could make it just support a calendar day and work day calendar for now, but later could be for example an NYSE calendar or others?

[andrewphillipsn]

Agreed, just specifying the calendar would work and simplify

[andrewphillipsn]

should probably take this GsCalendar as second param?

[oscarostlundgs]

Makes sense. It seems the default constructor is a workday calendar. Should we create constants for the Calendar day and Work day calendars?

[oscarostlundgs]

We should reuse as much of the interpolate() code as possible. It would to support the other type of interpolations (e.g. linear) out of the box.

I can see two potential implementations:

1. change the signature of interpolate() to also accept a calendar as a second argument (in addition to date arrays and timeseries) Pros: reduce number of functions, reuse code Cons: increases function complexity, though the function could be refactored, increases complexity of signature for users.

2. add another wrapper function (e.g. series_fill() or interpolate_calendar()) that takes a timeseries and a calendar as arguments, constructs the date array based on the calendar and calls interpolate Pros: simpler function code, simpler function signature, good reuse of code Cons: increases number of functions

2 seems like a better approach but we need to carefully consider the naming of the function to make it self-explaining.

[francisg77]

I'd lean towards interpolate() having the calendar parameter, otherwise in seeing the function you will wonder what the equivalent is with calendar support, and seems trickier to know what it should be called.

It can always be the final optional parameter too, so everyone doesn't have to specify.

Agree on having some constants too for the calendars (though constructor should take a string too, as likely don't want to make code changes for each new calendar).