Python pandas rolling_apply two column input into function

Question

Following on from this question Python custom function using rolling_apply for pandas, about using rolling_apply. Although I have progressed with my function, I

Answer 1

Looks like rolling_apply will try to convert input of user func into ndarray (http://pandas.pydata.org/pandas-docs/stable/generated/pandas.stats.moments.rolling_apply.html?highlight=rolling_apply#pandas.stats.moments.rolling_apply).

Workaround based on using aux column ii which is used to select window inside of manipulating function gm:

import pandas as pd
import numpy as np
import random

tmp = pd.DataFrame(np.random.randn(2000,2)/10000, columns=['A','B'])
tmp['date'] = pd.date_range('2001-01-01',periods=2000)
tmp['ii'] = range(len(tmp))            

def gm(ii, df, p):
    x_df = df.iloc[map(int, ii)]
    #print x_df
    v =((((x_df['A']+x_df['B'])+1).cumprod())-1)*p
    #print v
    return v.iloc[-1]

#print tmp.head()
res = pd.rolling_apply(tmp.ii, 50, lambda x: gm(x, tmp, 5))
print res