Fix deprecation warning in Pandas method 'pct_change'

robertmartin8 · Nov 3, 2024 · a4e2ee5 · a4e2ee5
1 parent 2940519
commit a4e2ee5
Showing 1 changed file with 2 additions and 2 deletions.
diff --git a/pypfopt/expected_returns.py b/pypfopt/expected_returns.py
@@ -51,9 +51,9 @@ def returns_from_prices(prices, log_returns=False):
     :rtype: pd.DataFrame
     """
     if log_returns:
-        returns = np.log(1 + prices.pct_change()).dropna(how="all")
+        returns = np.log(1 + prices.pct_change(fill_method=None)).dropna(how="all")
     else:
-        returns = prices.pct_change().dropna(how="all")
+        returns = prices.pct_change(fill_method=None).dropna(how="all")
     return returns