Merge pull request #610 from webbsledge/webbsledge-patch-2

Fix deprecation warning in Pandas method 'pct_change'
robertmartin8 · Nov 30, 2024 · f3d2eaa · f3d2eaa
2 parents 2940519 + a4e2ee5
commit f3d2eaa
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