Sort tenors in finance notation

Question

I have an array of tenors

Tenors = np.array(['10Y', '15Y', '1M', '1Y', '20Y', '2Y', '30Y', '3M', '5Y', '6M', '9M'])

where M stands for month and Y stands for years. The correctly sorted order (ascending) would then be

['1M', '3M', '6M', '9M', '1Y', '2Y', '5Y', '10Y', '15Y', '20Y', '30Y']

How do I achieve that using python with scipy/numpy? As the tenors originate from a pandas dataframe a solution based on pandas would be fine as well.

Asked By: Jost

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Source

Answer 1

You can use str.extract for parsing numbers and values, then convert to int and categories by astype and last sort_values:

df = pd.DataFrame({'a':Tenors})
df[['b','c']] = df.a.str.extract("(d+)([MY])", expand=True)
df.b = df.b.astype(int)
df.c = df.c.astype('category', ordered=True, categories=['M','Y'])
df = df.sort_values(['c','b'])
print (df)
      a   b  c
2    1M   1  M
7    3M   3  M
9    6M   6  M
10   9M   9  M
3    1Y   1  Y
5    2Y   2  Y
8    5Y   5  Y
0   10Y  10  Y
1   15Y  15  Y
4   20Y  20  Y
6   30Y  30  Y

print (df.a.tolist())
['1M', '3M', '6M', '9M', '1Y', '2Y', '5Y', '10Y', '15Y', '20Y', '30Y']

Answered By: jezrael

Answer 2

print sorted(Tenors, key=lambda Tenors: (Tenors[-1], int(Tenors[:-1])))

Sorts by the last character and then by the integer value up to the last character

Answered By: Daniel Lee

Answer 3

Approach #1 Here’s a NumPy based approach using np.core.defchararray.replace –

repl = np.core.defchararray.replace
out = Tenors[repl(repl(Tenors,'M','00'),'Y','0000').astype(int).argsort()]

Approach #2 If you are working with strings like '18M', we need to do a bit more of work, like so –

def generic_case_vectorized(Tenors):
    # Get shorter names for functions
    repl = np.core.defchararray.replace
    isalph = np.core.defchararray.isalpha

    # Get scaling values
    TS1 = Tenors.view('S1')
    scale = repl(repl(TS1[isalph(TS1)],'Y','12'),'M','1').astype(int)

    # Get the numeric values
    vals = repl(repl(Tenors,'M',''),'Y','').astype(int)

    # Finally scale numeric values and use sorted indices for sorting input arr
    return Tenors[(scale*vals).argsort()]

Approach #3 Here’s another approach, though a loopy one to again handle generic cases –

def generic_case_loopy(Tenors):
    arr = np.array([[i[:-1],i[-1]] for i in Tenors])
    return Tenors[(arr[:,0].astype(int)*((arr[:,1]=='Y')*11+1)).argsort()]

Sample run –

In [84]: Tenors
Out[84]: 
array(['10Y', '15Y', '1M', '1Y', '20Y', '2Y', '30Y', '3M', '25M', '5Y',
       '6M', '18M'], 
      dtype='|S3')

In [85]: generic_case_vectorized(Tenors)
Out[85]: 
array(['1M', '3M', '6M', '1Y', '18M', '2Y', '25M', '5Y', '10Y', '15Y',
       '20Y', '30Y'], 
      dtype='|S3')

In [86]: generic_case_loopy(Tenors)
Out[86]: 
array(['1M', '3M', '6M', '1Y', '18M', '2Y', '25M', '5Y', '10Y', '15Y',
       '20Y', '30Y'], 
      dtype='|S3')

Answered By: Divakar

Answer 4

I opted for the long solution since I needed convert_tenors anyway. This also solves Jim’s objection.

import scipy

def convert_tenors(tenors):
    #convert tenors to years
    new_tenors = scipy.zeros_like(tenors,dtype=float)
    for i,o in enumerate(tenors):
        if(o[-1]=='M'):
            new_tenors[i] = int(o[:-1])/12
        else:
            new_tenors[i] = int(o[:-1])
    return new_tenors

def sort_tenors(tenors):
    #sort tenors in ascending order
    idx = scipy.argsort(convert_tenors(tenors))
    return tenors[idx]  

Tenors = scipy.array(['10Y', '15Y', '1M', '1Y', '20Y', '18M', '2Y', '30Y', '3M', '5Y', '6M', '9M'])
print(sort_tenors(Tenors))

returns

['1M' '3M' '6M' '9M' '1Y' '18M' '2Y' '5Y' '10Y' '15Y' '20Y' '30Y']

Answered By: Jost

Answer 5

A straightforward solution — convert the tenors their day equivalent, then sort based on that:

def tenor_to_days(tenor):
    """
    Convert a tenor string (e.g., '1M', '2Y') to a number of days.
    
    Args:
    tenor (str): The tenor string to convert.
    
    Returns:
    int: The number of days in the tenor.
    
    Raises:
    ValueError: If the tenor string is not in a recognized format (e.g., contains invalid characters).
    """
    unit = tenor[-1].lower()
    value = int(tenor[:-1])
    if unit == 'w':
        days = 7 * value
    elif unit == 'm':
        days = 30 * value
    elif unit == 'y':
        days = 365 * value
    else:
        raise ValueError(f"Unrecognized tenor unit: {unit}")
    if days < 0:
        raise ValueError("Tenor must be non-negative")
    return days

tenors = ['10Y', '15Y', '1M', '1Y', '20Y', '2Y', '30Y', '3M', '5Y', '6M', '9M', '18M']
sorted(tenors, key=lambda tenor: tenor_to_days(tenor))
# ['1M', '3M', '6M', '9M', '1Y', '18M', '2Y', '5Y', '10Y', '15Y', '20Y', '30Y']

Answered By: micycle

Sort tenors in finance notation

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