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MAINT: Combine leverage calculations.

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Instead of having two leverage functions, whose differences were the
parameter names, add a `calc_leverage` function, with the calling code
determining whether it is gross or net by the type of exposure passed in.
This commit is contained in:
Eddie Hebert
2015-09-25 13:58:44 -04:00
parent ae97e75388
commit 31d214d8ff
1 changed files with 4 additions and 11 deletions
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zipline/finance/performance/period.py
+4 -11
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@@ -107,16 +107,9 @@ def calc_net_liquidation(ending_cash, long_value, short_value):
return ending_cash + long_value + short_value
def calc_gross_leverage(gross_exposure, net_liq):
def calc_leverage(exposure, net_liq):
if net_liq != 0:
return gross_exposure / net_liq
return np.inf
def calc_net_leverage(net_exposure, net_liq):
if net_liq != 0:
return net_exposure / net_liq
return exposure / net_liq
return np.inf
@@ -125,8 +118,8 @@ def calc_period_stats(pos_stats, ending_cash):
net_liq = calc_net_liquidation(ending_cash,
pos_stats.long_value,
pos_stats.short_value)
gross_leverage = calc_gross_leverage(pos_stats.gross_exposure, net_liq)
net_leverage = calc_net_leverage(pos_stats.net_exposure, net_liq)
gross_leverage = calc_leverage(pos_stats.gross_exposure, net_liq)
net_leverage = calc_leverage(pos_stats.net_exposure, net_liq)
return PeriodStats(
net_liquidation=net_liq,