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pythonpandasdatetimedataframetime-series

How can I select 'last business day of the month' in Pandas?

I'm trying to subset a DataFrame on the condition that is the last of the month. I used:

df['Month_End'] = df.index.is_month_end
sample = df[df['Month_End'] == 1]

This works, but I'm working with stock market data, so I'm missing all the instances where the actual end of the month is during the weekend, I need a way to select the "last business day of the month".

Solution

  • You can generate a time series with the last business day of each month by passing in freq='BM'.

    For example, to create a series of the last business days of 2014:

    >>> pd.date_range('1/1/2014', periods=12, freq='BM')
[2014-01-31 00:00:00, ..., 2014-12-31 00:00:00]
Length: 12, Freq: BM, Timezone: None

    You could then use this timeseries to subset/reindex your DataFrame.