cumulative product for specific groups of observations in pandas - pandas

Question

I have a dataset of the following type
Date ID window var
0 1998-01-28 X -5 8.500e-03
1 1998-01-28 Y -5 1.518e-02
2 1998-01-29 X -4 8.005e-03
3 1998-01-29 Y -4 7.905e-03
4 1998-01-30 X -3 -5.497e-03
... ... ... ...
3339 2016-12-19 Y 3 -4.365e-04
3340 2016-12-20 X 4 3.628e-03
3341 2016-12-20 Y 4 6.608e-03
3342 2016-12-21 X 5 -2.467e-03
3343 2016-12-21 Y 5 -2.651e-03
My aim is to calculate the cumulative product of the variable var according to the variable window. The idea is that for every date, I have identified a window of 5 days around that date /the variable window goes from -5 to 5). Now, I want to calculate the cumulative product in the window that belongs to a specific date. For example, the first date (1998-01-28) has a value of windows of -5, and thus represent the starting point for the calculation of the cumprod. I want to have a new variable called cumprod which is exactly var on the date in which window is -5, then it is the cumprod between the value of varat -5 and -4, and so on until window is equal to 5. This defines the value of cumprod for the first group of dates, where every group is defined by consecutive dates in a way that var starts at -5 and ends at 5. I shall then repeat this for any group of date. I will therefore obtain something like
Date ID window var cumprod
0 1998-01-28 X -5 8.500e-03 8.500e-03
1 1998-01-28 Y -5 1.518e-02 1.518e-02
2 1998-01-29 X -4 8.005e-03 6.80425e-05
3 1998-01-29 Y -4 7.905e-03 0.00011999790000000002
4 1998-01-30 X -3 -5.497e-03
... ... ... ...
3339 2016-12-19 Y 3 -4.365e-04
3340 2016-12-20 X 4 3.628e-03
3341 2016-12-20 Y 4 6.608e-03
3342 2016-12-21 X 5 -2.467e-03
3343 2016-12-21 Y 5 -2.651e-03
where I gave an example in of cumprod for the first 2 dates.
How could I achieve this? I was thinking to find a way to attach an identifier to every group of dates and then run some sort of cumprod() method using .groupby(group_identifier). I can't think of how to do it though. Would it be possible to simplify it by using a rolling function on window? Any other kind of approach is very welcomed.

Answer 1

I suggest the following
import numpy as np
import pandas as pd
np.random.seed(123)
df = pd.DataFrame({"Date": pd.date_range("1998-01-28", freq="d", periods=22),
"window": np.concatenate([np.arange(-5,6,1),np.arange(-5,6,1)]),
"var": np.random.randint(1,10,22)
})
My df is similar to yours:
Date window var
0 1998-01-28 -5 3
1 1998-01-29 -4 3
2 1998-01-30 -3 7
3 1998-01-31 -2 2
4 1998-02-01 -1 4
5 1998-02-02 0 7
6 1998-02-03 1 2
7 1998-02-04 2 1
8 1998-02-05 3 2
9 1998-02-06 4 1
10 1998-02-07 5 1
11 1998-02-08 -5 4
12 1998-02-09 -4 5
Then I create a grouping variable and transform var usingcumprod:
df = df.sort_values("Date") # My df is already sorted by Date given the way
# I created it, but I add this to make sure yours is sorted by date
df["group"] = (df["window"] == -5).cumsum()
df = pd.concat([df, df.groupby("group")["var"].transform("cumprod")], axis=1)
And the result is :
Date window var group var
0 1998-01-28 -5 3 1 3
1 1998-01-29 -4 3 1 9
2 1998-01-30 -3 7 1 63
3 1998-01-31 -2 2 1 126
4 1998-02-01 -1 4 1 504
5 1998-02-02 0 7 1 3528
6 1998-02-03 1 2 1 7056
7 1998-02-04 2 1 1 7056
8 1998-02-05 3 2 1 14112
9 1998-02-06 4 1 1 14112
10 1998-02-07 5 1 1 14112
11 1998-02-08 -5 4 2 4
12 1998-02-09 -4 5 2 20
13 1998-02-10 -3 1 2 20