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

All rolling_* functions works on 1d array. I'm sure one can invent some workarounds for passing 2d arrays, but in your case, you can simply precompute row-wise values for rolling evaluation:

>>> def gm(x,p):
...     return ((np.cumprod(x) - 1)*p)[-1]
...
>>> pd.rolling_apply(tmp['A']+tmp['B']+1, 50, lambda x: gm(x,5))
2001-01-01   NaN
2001-01-02   NaN
2001-01-03   NaN
2001-01-04   NaN
2001-01-05   NaN
2001-01-06   NaN
2001-01-07   NaN
2001-01-08   NaN
2001-01-09   NaN
2001-01-10   NaN
2001-01-11   NaN
2001-01-12   NaN
2001-01-13   NaN
2001-01-14   NaN
2001-01-15   NaN
...
2006-06-09   -0.000062
2006-06-10   -0.000128
2006-06-11    0.000185
2006-06-12   -0.000113
2006-06-13   -0.000962
2006-06-14   -0.001248
2006-06-15   -0.001962
2006-06-16   -0.003820
2006-06-17   -0.003412
2006-06-18   -0.002971
2006-06-19   -0.003882
2006-06-20   -0.003546
2006-06-21   -0.002226
2006-06-22   -0.002058
2006-06-23   -0.000553
Freq: D, Length: 2000