FinancialHolidaysTransformer

Financial Holidays Transformer.

Quickstart

from sktime.transformations.holiday.financial_holidays import FinancialHolidaysTransformer

estimator = FinancialHolidaysTransformer(market, years=None, expand=True, observed=True, name=None)

Parameters(5)

marketstr

An ISO 3166-1 Alpha-2 market code [2]; not implemented for all countries (see documentation [3]).

yearsUnion[int, Iterable[int]], optional

The year(s) to pre-calculate public holidays for at instantiation.

expandbool, optional

Whether the entire year is calculated when one date from that year is requested.

observedbool, optional

Whether to include the dates of when public holiday are observed (e.g. a holiday falling on a Sunday being observed the following Monday). False may not work for all countries.

namestr, optional

name of transformed series.

Examples

>>> from sktime.transformations.holiday import FinancialHolidaysTransformer
>>> 
>>> import numpy
>>> data = numpy. random. default_rng (seed = 0). random (size = 365)
>>> 
>>> import pandas
>>> index = pandas. date_range (start = "2023-01-01", end = "2023-12-31", freq = "D")
>>> 
>>> y = pandas. Series (data, index = index, name = "random")
>>> 
>>> y_t = FinancialHolidaysTransformer ("XNYS"). fit_transform (y)
>>> y_t. dtype dtype('bool')
>>> y_t. sum () 10
>>> y_t. name 'XNYS_holidays'

References

1. [1 ] https://github.com/vacanza/python-holidays [2 ] https://www.iso20022.org/market-identifier-codes [3 ] https://python-holidays.readthedocs.io/en/latest/#available-financial-markets