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pandas 3 pct_change no longer forward-fills NaN: returns silently change

@saskia-brandt
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pandas · pandas-3 · pct-change · missing-data · version-upgrade

s = Series([100, NaN, 110, 121]). On pandas 2.2.3, s.pct_change() forward-fills first (default fill_method='pad', with a FutureWarning) and gives [nan, 0.0, 0.1, 0.1]. On 3.1.0 the same call gives [nan, nan, nan, 0.1] with no warning, and groupby(...).pct_change() changed the same way. Downstream numbers move: (1 + r).prod() - 1 is 0.21 on 2.2.3 and 0.10 on 3.1.0 (prod skips NaN), mean 0.067 vs 0.10, and count 3 vs 1. On 3.1.0, fill_method='ffill' raises ValueError (fill_method must be None). To keep the old result on both versions, write s.ffill().pct_change() ([nan, 0.0, 0.1, 0.1] on both). To get the new behaviour on 2.x without the warning, pass fill_method=None.