Ifelse function in @transform

question

#1

I came across an issue with using ifelse function in @transform, below is a simplified example, I am not sure where the issue comes from. df1 is correct but df2 is wrong.

using DataFrames, DataFramesMeta, Lazy, Distributions

    df = DataFrame(cp_flag = ["call", "call", "put", "put"], strike_price = [1950.0, 1960.0, 1935.0, 1940.0],
    spindx = 1943.09, div = 0.021589, tau = 0.0219178, 
    rate_rf = 0.00390208, GKvolatility = 0.239774)


    function GKdelta(S0, K, r, T, σ, d, Flag = "call") 


        normcdf(x) = cdf(Normal(0, 1), x)
        
        d1=(log(S0/K)+(r-d+σ*σ*0.5)*T)/(σ*sqrt(T))
        Δ=0.0
        if Flag == "call"
        Δ=exp(-d*T)*normcdf(d1)
        else
        Δ=-exp(-d*T)*normcdf(-d1)
        end
    return Δ
    end


    df1 = @>begin
        df 
        @transform(GK_delta = GKdelta.(:spindx, :strike_price,
        :rate_rf, :tau, :GKvolatility, :div, :cp_flag))
    end

    df2 = @>begin
        df 
        @transform(GK_delta = ifelse.(:cp_flag == "call", GKdelta.(:spindx, :strike_price,
        :rate_rf, :tau, :GKvolatility, :div), GKdelta.(:spindx, :strike_price,
        :rate_rf, :tau, :GKvolatility, :div, "put")))
    end

#2

Still have not figured out this issue.


#3

My guess would be that you need to vectorize ifelse, i.e. ifelse.(...) (notice the dot).


#4

Thanks for your reply. I tried this but the issue is still there. If I wrote a new function with if else and use my new function in @transform, there is no issue. However, when I use ifelse in @transform, it does not work. I have came across this issue for many time in different tasks.


#5

If you could provide an example with reproducible code, it would help folks evaluate your issue.


#6

I changed my example. Thanks.


#7

I’m not at a computer to check, but you could try changing:cp_flag == "call" to :cp_flag .== "call".


#8

Thanks so much! By the way, I noticed that ifelse() and ifelse.() seem to have the same result. Why is that?


#9

On Julia v0.6, ifelse() applied to vector(s) is promoted to a broadcast (i.e. ifelse.()). It should provoke a warning about this, but when it’s buried in a chain of macro/function calls like your case, it may not. On Julia v0.7, this promotion is replaced by an error.

Kudos to @tshort for noticing the == which does not promote in this fashion.


#10

This reminds me about this issue:


#11

Has this issue been solved? An non-vectorized in function is very important for me.
It reminds me a function I wrote in R to categorize stocks into 48 industries.
In R we use the %in% function, if non-vectorized in is not available, my function will be much much more verbose.

#Function ff48 categorizes firms into 48 industries on basis of sic, and x is a data frame with a column sic indicating 4-digit sic
ff48 <- function(x){
  
  x <- x%>%mutate(industry = ifelse(sic %in% c(0100:0199, 0200:0299, 0700:0799, 0910:0919, 2048:2048), "Argri",
                                  ifelse(sic %in% c(2000:2009, 2010:2019, 2020:2029, 2030:2039, 2040:2046, 2050:2059, 2060:2063, 2070:2079, 2090:2092, 2095:2095, 2098:2099), "Food",
                                         ifelse(sic %in% c(2064:2068, 2086:2086, 2087:2087, 2096:2096, 2097:2097), "Soda", 
                                                ifelse(sic %in% c(2080:2080, 2082:2082, 2083:2083, 2084:2084, 2085:2085), "Beer",
                                                       ifelse(sic %in% c(2100:2199), "Smoke",
                                                              ifelse(sic %in% c(0920:0999, 3650:3651, 3652:3652, 3732:3732, 3930:3931, 3940:3949), "Toys", 
                                                                     ifelse(sic %in% c(7800:7829, 7830:7833, 7840:7841, 7900:7900, 7910:7911, 7920:7929, 7930:7933, 7940:7949, 7980:7980, 7990:7999), "Fun",
                                                                            ifelse(sic %in% c(2700:2709, 2710:2719, 2720:2729, 2730:2739, 2740:2749, 2770:2771, 2780:2789, 2790:2799), "Books",
                                                                                   ifelse(sic %in% c(2047:2047, 2391:2392, 2510:2519, 2590:2599, 2840:2843, 2844:2844, 3160:3161, 3170:3171, 3172:3172, 3190:3199, 3229:3229, 3260:3260, 3262:3263, 3269:3269, 3230:3231, 3630:3639, 3750:3751,  3800:3800,  3860:3861, 3870:3873, 3910:3911,  3914:3914,  3915:3915,  3960:3962, 3991:3991, 3995:3995), "Hshld",
                                                                                          ifelse(sic %in% c(2300:2390,3020:3021, 3100:3111, 3130:3131, 3140:3149, 3150:3151, 3963:3965), "Clths",
                                                                                                 ifelse(sic %in% c(8000:8099), "Hlth", 
                                                                                                        ifelse(sic %in% c(3693:3693, 3840:3849, 3850:3851), "MedEq",
                                                                                                               ifelse(sic %in% c(2830:2830, 2831:2831, 2833:2833, 2834:2834, 2835:2835, 2836:2836), "Drugs",
                                                                                                                      ifelse(sic %in% c(2800:2809, 2810:2819, 2820:2829, 2850:2859, 2860:2869, 2870:2879, 2890:2899), "Chems",
                                                                                                                             ifelse(sic %in% c(3031:3031, 3041:3041, 3050:3053, 3060:3069, 3070:3079, 3080:3089, 3090:3099), "Rubbr",
                                                                                                                                    ifelse(sic %in% c(2200:2269, 2270:2279, 2280:2284, 2290:2295, 2297:2297, 2298:2298, 2299:2299, 2393:2395, 2397:2399), "Txtls",
                                                                                                                                           ifelse(sic %in% c(0800:0899, 2400:2439, 2450:2459, 2490:2499, 2660:2661, 2950:2952, 3200:3200, 3210:3211, 3240:3241, 3250:3259, 3261:3261, 3264:3264, 3270:3275, 3280:3281, 3290:3293, 3295:3299, 3420:3429, 3430:3433, 3440:3441, 3442:3442, 3446:3446, 3448:3448,  3449:3449,  3450:3451,  3452:3452, 3490:3499, 3996:3996), "BldMt",
                                                                                                                                                  ifelse(sic %in% c(1500:1511, 1520:1529, 1530:1539, 1540:1549, 1600:1699, 1700:1799), "Cnstr",
                                                                                                                                                         ifelse(sic %in% c(3300:3300, 3310:3317, 3320:3325, 3330:3339, 3340:3341, 3350:3357, 3360:3369, 3370:3379, 3390:3399), "Steel", 
                                                                                                                                                                ifelse(sic %in% c(3400:3400, 3443:3443, 3444:3444, 3460:3469, 3470:3479), "FabPr",
                                                                                                                                                                       ifelse(sic %in% c(3510:3519, 3520:3529, 3530:3530, 3531:3531, 3532:3532, 3533:3533, 3534:3534, 3535:3535, 3536:3536, 3538:3538, 3540:3549, 3550:3559, 3560:3569, 3580:3580, 3581:3581, 3582:3582, 3585:3585, 3586:3586, 3589:3589, 3590:3599), "Mach",
                                                                                                                                                                              ifelse(sic %in% c(3600:3600, 3610:3613, 3620:3621, 3623:3629, 3640:3644, 3645:3645, 3646:3646, 3648:3649, 3660:3660, 3690:3690, 3691:3692, 3699:3699), "ElcEq",
                                                                                                                                                                                     ifelse(sic %in% c(2296:2296, 2396:2396, 3010:3011, 3537:3537, 3647:3647, 3694:3694, 3700:3700, 3710:3710, 3711:3711, 3713:3713, 3714:3714, 3715:3715, 3716:3716, 3792:3792, 3790:3791, 3799:3799), "Autos",
                                                                                                                                                                                            ifelse(sic %in% c(3720:3720, 3721:3721, 3723:3724, 3725:3725, 3728:3729), "Aero",
                                                                                                                                                                                                   ifelse(sic %in% c(3730:3731, 3740:3743), "Ships",
                                                                                                                                                                                                          ifelse(sic %in% c(3760:3769,  3795:3795, 3480:3489), "Guns",
                                                                                                                                                                                                                 ifelse(sic %in% c(1040:1049), "Gold",
                                                                                                                                                                                                                        ifelse(sic %in% c(1000:1009, 1010:1019, 1020:1029, 1030:1039, 1050:1059, 1060:1069, 1070:1079, 1080:1089, 1090:1099, 1100:1119, 1400:1499), "Mines",
                                                                                                                                                                                                                               ifelse(sic %in% c(1200:1299), "Coal",
                                                                                                                                                                                                                                      ifelse(sic %in% c(1300:1300, 1310:1319, 1320:1329, 1330:1339, 1370:1379, 1380:1380, 1381:1381, 1382:1382, 1389:1389, 2900:2912, 2990:2999), "Oil",
                                                                                                                                                                                                                                             ifelse(sic %in% c(4900:4900, 4910:4911, 4920:4922, 4923:4923, 4924:4925, 4930:4931, 4932:4932, 4939:4939, 4940:4942), "Util",
                                                                                                                                                                                                                                                    ifelse(sic %in% c(4800:4800, 4810:4813, 4820:4822, 4830:4839, 4840:4841, 4880:4889, 4890:4890, 4891:4891, 4892:4892, 4899:4899), "Telcm",
                                                                                                                                                                                                                                                           ifelse(sic %in% c(7020:7021, 7030:7033, 7200:7200, 7210:7212, 7214:7214, 7215:7216, 7217:7217, 7219:7219, 7220:7221, 7230:7231, 7240:7241, 7250:7251, 7260:7269, 7270:7290, 7291:7291, 7292:7299, 7395:7395, 7500:7500, 7520:7529, 7530:7539, 7540:7549, 7600:7600, 7620:7620, 7622:7622, 7623:7623, 7629:7629,  7630:7631, 7640:7641, 7690:7699, 8100:8199, 8200:8299, 8300:8399, 8400:8499, 8600:8699, 8800:8899, 7510-7515), "PerSv",
                                                                                                                                                                                                                                                                  ifelse(sic %in% c(2750:2759, 3993:3993, 7218:7218, 7300:7300, 7310:7319, 7320:7329, 7330:7339, 7340:7342, 7349:7349, 7350:7351, 7352:7352, 7353:7353, 7359:7359, 7360:7369, 7370:7372, 7374:7374, 7375:7375, 7376:7376, 7377:7377, 7378:7378, 7379:7379, 7380:7380, 7381:7382, 7383:7383, 7384:7384, 7385:7385, 7389:7390, 7391:7391, 7392:7392, 7393:7393, 7394:7394, 7396:7396, 7397:7397, 7399:7399, 7519:7519, 8700:8700, 8710:8713, 8720:8721, 8730:8734, 8740:8748, 8900:8910, 8911:8911, 8920:8999, 4220:4229), "BusSv",
                                                                                                                                                                                                                                                                         ifelse(sic %in% c(3570:3579, 3680:3680, 3681:3681, 3682:3682, 3683:3683, 3684:3684, 3685:3685, 3686:3686, 3687:3687, 3688:3688, 3689:3689, 3695:3695, 73737373), "Comps",
                                                                                                                                                                                                                                                                                ifelse(sic %in% c(3622:3622, 3661:3661, 3662:3662, 3663:3663, 3664:3664, 3665:3665, 3666:3666, 3669:3669, 3670:3679, 3810:3810, 3812:3812), "Chips",
                                                                                                                                                                                                                                                                                       ifelse(sic %in% c(3811:3811, 3820:3820, 3821:3821, 3822:3822, 3823:3823, 3824:3824, 3825:3825, 3826:3826,  3827:3827, 3829:3829, 3830:3839), "LabEq",
                                                                                                                                                                                                                                                                                              ifelse(sic %in% c(2520:2549, 2600:2639, 2670:2699, 2760:2761, 3950:3955), "Paper",
                                                                                                                                                                                                                                                                                                     ifelse(sic %in% c(2440:2449, 2640:2659, 3220:3221, 3410:3412), "Boxes",
                                                                                                                                                                                                                                                                                                            ifelse(sic %in% c(4000:4013, 4040:4049, 4100:4100, 4110:4119, 4120:4121, 4130:4131, 4140:4142, 4150:4151, 4170:4173, 4190:4199, 4200:4200, 4210:4219, 4230:4231, 4240:4249, 4400:4499, 4500:4599, 4600:4699, 4700:4700, 4710:4712, 4720:4729, 4730:4739, 4740:4749, 4780:4780, 4782:4782, 4783:4783, 4784:4784, 4785:4785, 4789:4789), "Trans",
                                                                                                                                                                                                                                                                                                                   ifelse(sic %in% c(5000:5000, 5010:5015, 5020:5023, 5030:5039, 5040:5042, 5043:5043, 5044:5044, 5045:5045, 5046:5046, 5047:5047, 5048:5048, 5049:5049, 5050:5059, 5060:5060, 5063:5063, 5064:5064, 5065:5065, 5070:5078, 5080:5080, 5081:5081, 5082:5082, 5083:5083, 5084:5084, 5085:5085, 5086:5087, 5088:5088, 5090:5090, 5091:5092, 5093:5093, 5094:5094, 5099:5099, 5100:5100, 5110:5113, 5120:5122, 5130:5139, 5140:5149, 5150:5159, 5160:5169, 5170:5172, 5180:5182, 5190:5199), "Whlsl",
                                                                                                                                                                                                                                                                                                                          ifelse(sic %in% c(5200:5200, 5210:5219, 5220:5229, 5230:5231, 5250:5251, 5260:5261, 5270:5271, 5300:5300, 5310:5311, 5320:5320, 5330:5331, 5334:5334, 5340:5349, 5390:5399, 5400:5400, 5410:5411, 5412:5412, 5420:5429, 5430:5439, 5440:5449, 5450:5459, 5460:5469, 5490:5499, 5500:5500, 5510:5529, 5530:5539, 5540:5549, 5550:5559, 5560:5569, 5570:5579, 5590:5599, 5600:5699, 5700:5700, 5710:5719, 5720:5722, 5730:5733, 5734:5734, 5735:5735, 5736:5736, 750:5799, 5900:5900, 5910:5912, 5920:5929, 5930:5932, 5940:5940, 5941:5941, 5942:5942, 5943:5943, 5944:5944, 5945:5945,  5946:5946,  5947:5947, 5948:5948, 5949:5949, 5950:5959, 5960:5969, 5970:5979, 5980:5989, 5990:5990, 5992:5992, 5993:5993, 5994:5994, 5995:5995, 5999:5999), "Rtail",
                                                                                                                                                                                                                                                                                                                                 ifelse(sic %in% c(5800:5819, 5820:5829, 5890:5899, 7000:7000, 7010:7019, 7040:7049, 7213:7213), "Meals",
                                                                                                                                                                                                                                                                                                                                        ifelse(sic %in% c(6000:6000, 6010:6019, 6020:6020, 6021:6021, 6022:6022, 6023:6024, 6025:6025, 6026:6026, 6027:6027, 6028:6029, 6030:6036, 6040:6059, 6060:6062,  6080:6082, 6090:6099, 6100:6100, 6110:6111, 6112:6113, 6120:6129, 6130:6139, 6140:6149, 6150:6159, 6160:6169, 6170:6179, 6190:6199), "Banks",
                                                                                                                                                                                                                                                                                                                                               ifelse(sic %in% c(6300:6300, 6310:6319, 6320:6329, 6330:6331, 6350:6351, 6360:6361, 6370:6379, 6390:6399, 6400:6411), "Insur",
                                                                                                                                                                                                                                                                                                                                                      ifelse(sic %in% c(6500:6500, 6510:6510, 6512:6512, 6513:6513, 6514:6514, 6515:6515, 6517:6519, 6520:6529, 6530:6531, 6532:6532, 6540:6541, 6550:6553, 6590:6599, 6610:6611), "RlEst",
                                                                                                                                                                                                                                                                                                                                                             ifelse(sic %in% c(6200:6299, 6700:6700, 6710:6719, 6720:6722, 6723:6723, 6724:6724, 6725:6725, 6726:6726, 6730:6733, 6740:6779, 6790:6791, 6792:6792, 6793:6793, 6794:6794, 6795:6795, 6798:6798, 6799:6799), "Fin", 
                                                                                                                                                                                                                                                                                                                                                                    "Other"))))))))))))))))))))))))))))))))))))))))))))))))                                                        
  
  
  
  return(x)             
}

#12

It hasn’t. But as a workaround you should be able to define your custom function which operates element wise, and vectorize it using the f.(x) syntax.


#13

Thanks for the reply. How can I do this


@transform(df,  colC = ifelse.(:colA .> mean(:colB), "high", "low")  )

#14

With something like this (untested)?

f(x, y) = x > y ? "high" : "low"
@transform(df,  colC = f.(:colA, colB))