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MAINT: Move choose_treasury method from risk metrics class to module.
This commit is contained in:
Eddie Hebert
+75
-74
@@ -201,6 +201,79 @@ def search_day_distance(end_date, dt):
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return tdd
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def choose_treasury(treasury_curves, start_date, end_date):
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td = end_date - start_date
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if td.days <= 31:
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treasury_duration = '1month'
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elif td.days <= 93:
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treasury_duration = '3month'
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elif td.days <= 186:
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treasury_duration = '6month'
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elif td.days <= 366:
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treasury_duration = '1year'
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elif td.days <= 365 * 2 + 1:
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treasury_duration = '2year'
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elif td.days <= 365 * 3 + 1:
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treasury_duration = '3year'
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elif td.days <= 365 * 5 + 2:
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treasury_duration = '5year'
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elif td.days <= 365 * 7 + 2:
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treasury_duration = '7year'
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elif td.days <= 365 * 10 + 2:
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treasury_duration = '10year'
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else:
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treasury_duration = '30year'
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end_day = end_date.replace(hour=0, minute=0, second=0)
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search_day = None
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if end_day in treasury_curves:
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rate = get_treasury_rate(treasury_curves,
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treasury_duration,
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end_day)
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if rate is not None:
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search_day = end_day
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if not search_day:
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# in case end date is not a trading day or there is no treasury
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# data, search for the previous day with an interest rate.
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search_days = treasury_curves.keys()
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# Find rightmost value less than or equal to end_day
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i = bisect.bisect_right(search_days, end_day)
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for prev_day in search_days[i - 1::-1]:
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rate = get_treasury_rate(treasury_curves,
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treasury_duration,
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prev_day)
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if rate is not None:
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search_day = prev_day
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search_dist = search_day_distance(end_date, prev_day)
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break
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if search_day:
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if (search_dist is None or search_dist > 1) and \
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search_days[0] <= end_day <= search_days[-1]:
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message = "No rate within 1 trading day of end date = \
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{dt} and term = {term}. Using {search_day}. Check that date doesn't exceed \
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treasury history range."
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message = message.format(dt=end_date,
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term=treasury_duration,
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search_day=search_day)
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log.warn(message)
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if search_day:
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treasury_curves[search_day]
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return rate * (td.days + 1) / 365
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message = "No rate for end date = {dt} and term = {term}. Check \
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that date doesn't exceed treasury history range."
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message = message.format(
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dt=end_date,
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term=treasury_duration
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)
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raise Exception(message)
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class RiskMetricsBase(object):
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def __init__(self, start_date, end_date, returns):
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@@ -235,7 +308,7 @@ class RiskMetricsBase(object):
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self.benchmark_returns)
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self.algorithm_volatility = self.calculate_volatility(
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self.algorithm_returns)
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self.treasury_period_return = self.choose_treasury(
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self.treasury_period_return = choose_treasury(
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self.treasury_curves,
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self.start_date,
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self.end_date
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@@ -427,78 +500,6 @@ class RiskMetricsBase(object):
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return 1.0 - math.exp(max_drawdown)
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def choose_treasury(self, treasury_curves, start_date, end_date):
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td = end_date - start_date
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if td.days <= 31:
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treasury_duration = '1month'
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elif td.days <= 93:
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treasury_duration = '3month'
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elif td.days <= 186:
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treasury_duration = '6month'
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elif td.days <= 366:
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treasury_duration = '1year'
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elif td.days <= 365 * 2 + 1:
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treasury_duration = '2year'
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elif td.days <= 365 * 3 + 1:
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treasury_duration = '3year'
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elif td.days <= 365 * 5 + 2:
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treasury_duration = '5year'
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elif td.days <= 365 * 7 + 2:
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treasury_duration = '7year'
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elif td.days <= 365 * 10 + 2:
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treasury_duration = '10year'
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else:
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treasury_duration = '30year'
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end_day = end_date.replace(hour=0, minute=0, second=0)
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search_day = None
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if end_day in treasury_curves:
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rate = get_treasury_rate(treasury_curves,
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treasury_duration,
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end_day)
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if rate is not None:
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search_day = end_day
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if not search_day:
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# in case end date is not a trading day or there is no treasury
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# data, search for the previous day with an interest rate.
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search_days = self.treasury_curves.keys()
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# Find rightmost value less than or equal to end_day
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i = bisect.bisect_right(search_days, end_day)
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for prev_day in search_days[i - 1::-1]:
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rate = get_treasury_rate(treasury_curves,
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treasury_duration,
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prev_day)
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if rate is not None:
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search_day = prev_day
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search_dist = search_day_distance(end_date, prev_day)
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break
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if search_day:
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if (search_dist is None or search_dist > 1) and \
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search_days[0] <= end_day <= search_days[-1]:
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message = "No rate within 1 trading day of end date = \
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{dt} and term = {term}. Using {search_day}. Check that date doesn't exceed \
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treasury history range."
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message = message.format(dt=end_date,
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term=treasury_duration,
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search_day=search_day)
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log.warn(message)
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if search_day:
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treasury_curves[search_day]
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return rate * (td.days + 1) / 365
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message = "No rate for end date = {dt} and term = {term}. Check \
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that date doesn't exceed treasury history range."
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message = message.format(
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dt=end_date,
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term=treasury_duration
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)
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raise Exception(message)
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class RiskMetricsIterative(RiskMetricsBase):
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"""Iterative version of RiskMetrics.
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@@ -570,7 +571,7 @@ algorithm_returns ({algo_count}) in range {start} : {end}"
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self.calculate_volatility(self.benchmark_returns))
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self.algorithm_volatility.append(
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self.calculate_volatility(self.algorithm_returns))
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self.treasury_period_return = self.choose_treasury(
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self.treasury_period_return = choose_treasury(
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self.treasury_curves,
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self.start_date,
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self.end_date
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