DOC: Demonstrate custom rolling indexer with Businessday (#34947)

Author: mroeschke

doc/source/user_guide/computation.rst

@@ -561,7 +561,7 @@ For example, if we have the following ``DataFrame``:
    df
 
 and we want to use an expanding window where ``use_expanding`` is ``True`` otherwise a window of size
-1, we can create the following ``BaseIndexer``:
+1, we can create the following ``BaseIndexer`` subclass:
 
 .. code-block:: ipython
 
@@ -593,6 +593,8 @@ and we want to use an expanding window where ``use_expanding`` is ``True`` other
    3     3.0
    4    10.0
 
+You can view other examples of ``BaseIndexer`` subclasses `here <https://github.com/pandas-dev/pandas/blob/master/pandas/core/window/indexers.py>`__
+
 .. versionadded:: 1.1
 
 For some problems knowledge of the future is available for analysis. For example, this occurs when

pandas/core/window/indexers.py

@@ -1,11 +1,14 @@
 """Indexer objects for computing start/end window bounds for rolling operations"""
+from datetime import timedelta
 from typing import Dict, Optional, Tuple, Type, Union
 
 import numpy as np
 
 from pandas._libs.window.indexers import calculate_variable_window_bounds
 from pandas.util._decorators import Appender
 
+from pandas.tseries.offsets import Nano
+
 get_window_bounds_doc = """
 Computes the bounds of a window.
 
@@ -104,6 +107,88 @@ def get_window_bounds(
         )
 
 
+class NonFixedVariableWindowIndexer(BaseIndexer):
+    """Calculate window boundaries based on a non-fixed offset such as a BusinessDay"""
+
+    def __init__(
+        self,
+        index_array: Optional[np.ndarray] = None,
+        window_size: int = 0,
+        index=None,
+        offset=None,
+        **kwargs,
+    ):
+        super().__init__(index_array, window_size, **kwargs)
+        self.index = index
+        self.offset = offset
+
+    @Appender(get_window_bounds_doc)
+    def get_window_bounds(
+        self,
+        num_values: int = 0,
+        min_periods: Optional[int] = None,
+        center: Optional[bool] = None,
+        closed: Optional[str] = None,
+    ) -> Tuple[np.ndarray, np.ndarray]:
+
+        # if windows is variable, default is 'right', otherwise default is 'both'
+        if closed is None:
+            closed = "right" if self.index is not None else "both"
+
+        right_closed = closed in ["right", "both"]
+        left_closed = closed in ["left", "both"]
+
+        if self.index[num_values - 1] < self.index[0]:
+            index_growth_sign = -1
+        else:
+            index_growth_sign = 1
+
+        start = np.empty(num_values, dtype="int64")
+        start.fill(-1)
+        end = np.empty(num_values, dtype="int64")
+        end.fill(-1)
+
+        start[0] = 0
+
+        # right endpoint is closed
+        if right_closed:
+            end[0] = 1
+        # right endpoint is open
+        else:
+            end[0] = 0
+
+        # start is start of slice interval (including)
+        # end is end of slice interval (not including)
+        for i in range(1, num_values):
+            end_bound = self.index[i]
+            start_bound = self.index[i] - index_growth_sign * self.offset
+
+            # left endpoint is closed
+            if left_closed:
+                start_bound -= Nano(1)
+
+            # advance the start bound until we are
+            # within the constraint
+            start[i] = i
+            for j in range(start[i - 1], i):
+                if (self.index[j] - start_bound) * index_growth_sign > timedelta(0):
+                    start[i] = j
+                    break
+
+            # end bound is previous end
+            # or current index
+            if (self.index[end[i - 1]] - end_bound) * index_growth_sign <= timedelta(0):
+                end[i] = i + 1
+            else:
+                end[i] = end[i - 1]
+
+            # right endpoint is open
+            if not right_closed:
+                end[i] -= 1
+
+        return start, end
+
+
 class ExpandingIndexer(BaseIndexer):
     """Calculate expanding window bounds, mimicking df.expanding()"""
 

pandas/tests/window/test_base_indexer.py

@@ -1,10 +1,12 @@
 import numpy as np
 import pytest
 
-from pandas import DataFrame, Series
+from pandas import DataFrame, Series, date_range
 import pandas._testing as tm
 from pandas.api.indexers import BaseIndexer, FixedForwardWindowIndexer
-from pandas.core.window.indexers import ExpandingIndexer
+from pandas.core.window.indexers import ExpandingIndexer, NonFixedVariableWindowIndexer
+
+from pandas.tseries.offsets import BusinessDay
 
 
 def test_bad_get_window_bounds_signature():
@@ -234,3 +236,20 @@ def test_rolling_forward_cov_corr(func, expected):
     expected = Series(expected)
     expected.name = result.name
     tm.assert_equal(result, expected)
+
+
+@pytest.mark.parametrize(
+    "closed,expected_data",
+    [
+        ["right", [0.0, 1.0, 2.0, 3.0, 7.0, 12.0, 6.0, 7.0, 8.0, 9.0]],
+        ["left", [0.0, 0.0, 1.0, 2.0, 5.0, 9.0, 5.0, 6.0, 7.0, 8.0]],
+    ],
+)
+def test_non_fixed_variable_window_indexer(closed, expected_data):
+    index = date_range("2020", periods=10)
+    df = DataFrame(range(10), index=index)
+    offset = BusinessDay(1)
+    indexer = NonFixedVariableWindowIndexer(index=index, offset=offset)
+    result = df.rolling(indexer, closed=closed).sum()
+    expected = DataFrame(expected_data, index=index)
+    tm.assert_frame_equal(result, expected)