commit 68bf2cdc78a73a6d641d3b42940d8df190e3b401
parent df019bc8c49fe441548c351144b6569ad97709bf
Author: Erik Loualiche <eloualic@umn.edu>
Date: Sun, 15 Feb 2026 19:32:36 -0600
Fix documentation: broken examples, outdated content, copy-paste errors
- README: fix import_FF3(:daily) → import_FF3(frequency=:daily)
- index.md: update installation (package is registered in loulouJL),
add links to yield curve guide and SIZ-to-CIZ demo
- wrds_advanced.md: fix undefined variable postgre_query_msenames_columns
- beta.md: replace emptymissing (unimported BazerData) with plain mean/median
- crsp_siz_to_ciz.md: fix get_postgres_table → _get_postgres_table,
remove duplicate DataPipes import, clean up developer note
- make.jl: remove duplicate deploydocs call
- yield_curve_gsw.md: remove empty API stub header
- betas.jl: fix docstring argument order (y,x) → (X,y)
- ImportCRSP.jl: fix build_MSF! docstring (said "compustat" / "funda")
- Add CLAUDE.md with release workflow and testing instructions
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
Diffstat:
10 files changed, 53 insertions(+), 21 deletions(-)
diff --git a/CLAUDE.md b/CLAUDE.md
@@ -0,0 +1,28 @@
+# CLAUDE.md
+
+## Project
+
+FinanceRoutines.jl — Julia package for financial data (WRDS/CRSP, Compustat, Fama-French, GSW yield curves, bond pricing).
+
+- **Registry**: https://github.com/LouLouLibs/loulouJL (manual updates, no registrator bot)
+- **Julia compat**: 1.10+
+
+## Release workflow
+
+1. Bump `version` in `Project.toml`
+2. Commit, push, and tag: `git tag vX.Y.Z && git push origin vX.Y.Z`
+3. Update the LouLouLibs registry (`F/FinanceRoutines/` in `LouLouLibs/loulouJL`):
+ - **Versions.toml**: Add entry with `git-tree-sha1` (get via `git rev-parse vX.Y.Z^{tree}`)
+ - **Deps.toml**: Update if deps changed (use version ranges to scope additions/removals)
+ - **Compat.toml**: Update if compat bounds changed
+ - Can update via GitHub API (`gh api ... -X PUT`) without cloning
+
+## Testing
+
+```bash
+julia --project=. -e 'using Pkg; Pkg.test()'
+```
+
+- WRDS tests require `WRDS_USERNAME` and `WRDS_PWD` environment variables
+- Local env loaded from `/Users/loulou/Documents/data/.env/.env.gpg` via gpg in `test/runtests.jl`
+- Test suites: KenFrench, WRDS, betas, Yields
diff --git a/README.md b/README.md
@@ -80,7 +80,7 @@ This downloads directly data from Ken French's website and formats the data
```julia
df_FF3 = import_FF3()
# there is an option to download the daily factors
-df_FF3_daily = import_FF3(:daily)
+df_FF3_daily = import_FF3(frequency=:daily)
```
### Estimate treasury bond returns
diff --git a/docs/make.jl b/docs/make.jl
@@ -28,11 +28,6 @@ makedocs(
]
)
-deploydocs(
- repo="github.com/louloulibs/FinanceRoutines.jl.git",
- target = "build",
-)
-
deploydocs(;
repo="github.com/louloulibs/FinanceRoutines.jl.git",
target = "build",
diff --git a/docs/src/demo/beta.md b/docs/src/demo/beta.md
@@ -109,9 +109,9 @@ insertcols!(df_msf, :a=>missing, :bMKT=>missing, :bSMB=>missing, :bHML=>missing)
end
import Statistics: median, mean
-@p df_msf |> groupby(__, :datem) |>
- combine(__, :bMKT .=>
- [(x-> emptymissing(mean)(skipmissing(x))) (x-> emptymissing(median)(skipmissing(x)))] .=>
+@p df_msf |> groupby(__, :datem) |>
+ combine(__, :bMKT .=>
+ [(x-> mean(skipmissing(x))) (x-> median(skipmissing(x)))] .=>
[:bMKT_mean :bMKT_median])
```
Go make some coffee ... this takes a little while (~ 15mn on M2max macbook pro).
diff --git a/docs/src/demo/crsp_siz_to_ciz.md b/docs/src/demo/crsp_siz_to_ciz.md
@@ -16,7 +16,7 @@ These tables are available from the WRDS postgres server
```julia
using FinanceRoutines
-using DataPipes, DataFrames, DataFramesMeta, DataPipes
+using DataPipes, DataFrames, DataFramesMeta
import LibPQ: LibPQ.execute, LibPQ.Connection # to connect directly to the server
import Tables: columntable
@@ -25,7 +25,7 @@ see(df) = show(df, allcols=true, allrows=true, truncate=0) # to view df without
```
```julia
-const get_postgres_table = FinanceRoutines.get_postgres_table
+const get_postgres_table = FinanceRoutines._get_postgres_table
# main table for converting columns
siz_to_ciz = get_postgres_table("crsp", "metasiztociz"; wrds_conn=wrds_conn) |> DataFrame
# flag information
@@ -164,9 +164,8 @@ stock_info_hist_subset = @rsubset(stock_info_hist,
groupby(__, [:shrcd, :sharetype, :securitytype, :securitysubtype, :usincflg, :issuertype]) |>
combine(__, nrow)
```
-!!There still seems to be some discrepancy!!
-If we do not want to worry, we simply use the [CRSP cross reference guide](https://www.crsp.org/wp-content/uploads/guides/CRSP_Cross_Reference_Guide_1.0_to_2.0.pdf) which leads us to this [mapping table](https://www.crsp.org/wp-content/uploads/ShareCode.html
-)
+There still seems to be some discrepancy in the mapping.
+If we do not want to worry, we simply use the [CRSP cross reference guide](https://www.crsp.org/wp-content/uploads/guides/CRSP_Cross_Reference_Guide_1.0_to_2.0.pdf) which leads us to this [mapping table](https://www.crsp.org/wp-content/uploads/ShareCode.html).
### Exchange Filters
diff --git a/docs/src/demo/wrds_advanced.md b/docs/src/demo/wrds_advanced.md
@@ -29,7 +29,7 @@ postgre_query_columns= """
WHERE table_schema = 'crsp'
AND table_name = 'StkSecurityInfoHist';
"""
-msenames_columns = @p LibPQ.execute(wrds_conn, postgre_query_msenames_columns) |>
+msenames_columns = @p LibPQ.execute(wrds_conn, postgre_query_columns) |>
DataFrame |> __.column_name |> sort
```
diff --git a/docs/src/index.md b/docs/src/index.md
@@ -14,10 +14,17 @@ This is still very much work in progress: file [issues](https://github.com/loulo
## Installation
-`FinanceRoutines.jl` is a not yet a registered package.
-You can install it from github via
+`FinanceRoutines.jl` is a registered package in the [`loulouJL`](https://github.com/LouLouLibs/loulouJL) registry.
+You can install it via the Julia package manager:
```julia
+using Pkg
+pkg"registry add https://github.com/LouLouLibs/loulouJL.git"
+Pkg.add("FinanceRoutines")
+```
+
+Or install directly from GitHub:
+```julia
import Pkg
Pkg.add("https://github.com/louloulibs/FinanceRoutines.jl")
```
@@ -26,6 +33,10 @@ Pkg.add("https://github.com/louloulibs/FinanceRoutines.jl")
- Using WRDS (CRSP, Compustat, etc)
+ See the [WRDS User Guide](@ref) for an introduction to using the package to download data from WRDS
+ + See [Transitioning to the new CRSP file format](@ref) for a guide on converting from SIZ to CIZ
+
+ - Treasury yield curves
+ + See the [Import Yield Curve Data](@ref) guide for GSW yield curve parameters and bond return calculations
- Demos to how this integrates into standard estimations
+ See how to estimate asset pricing betas in the [Estimating Stock Betas](@ref) demo.
diff --git a/docs/src/man/yield_curve_gsw.md b/docs/src/man/yield_curve_gsw.md
@@ -205,7 +205,6 @@ stats = combine(
```
-## API
## Data Source
GSW yield curve parameters are downloaded from the Federal Reserve Economic Data (FRED):
diff --git a/src/ImportCRSP.jl b/src/ImportCRSP.jl
@@ -150,10 +150,10 @@ end
Clean up the CRSP Monthly Stock File (see `import_MSF`)
# Arguments
-- `df::DataFrame`: A standard dataframe with compustat data (minimum variables are in `import_Funda`)
+- `df::DataFrame`: A standard dataframe with CRSP MSF data (minimum variables are in `import_MSF`)
# Keywords
-- `save::String`: Save a gzip version of the data on path `\$save/funda.csv.gz`; Default does not save the data.
+- `save::String`: Save a gzip version of the data on path `\$save/msf.csv.gz`; Default does not save the data.
- `trim_cols::Bool`: Only keep a subset of relevant columns in the final dataset
- `clean_cols::Bool`: Clean up the columns of the dataframe to be of type Float64; Default is `false` and leaves the Decimal type intact
diff --git a/src/betas.jl b/src/betas.jl
@@ -10,7 +10,7 @@
# --------------------------------------------------------------------------------------------------
"""
- calculate_rolling_betas(y, x; window=60)
+ calculate_rolling_betas(X, y; window=60, min_data=nothing, method=:linalg)
Calculate rolling betas using `window` months of returns.
"""
