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BUG: Truncate treasury curves to env min date.

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This commit is contained in:
Eddie Hebert
2016-03-08 17:14:28 -05:00
parent 102f08535e
commit 37d341bb95
1 changed files with 4 additions and 2 deletions
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zipline/data/loader.py
+4 -2
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@@ -156,7 +156,7 @@ def load_market_data(trading_day=trading_day_nyse,
# before this date.
last_date = trading_days[trading_days.get_loc(now, method='ffill') - 2]
benchmark_returns = ensure_benchmark_data(
br = ensure_benchmark_data(
bm_symbol,
first_date,
last_date,
@@ -165,12 +165,14 @@ def load_market_data(trading_day=trading_day_nyse,
# date so that we can compute returns for the first date.
trading_day,
)
treasury_curves = ensure_treasury_data(
tc = ensure_treasury_data(
bm_symbol,
first_date,
last_date,
now,
)
benchmark_returns = br[br.index.slice_indexer(first_date, last_date)]
treasury_curves = tc[tc.index.slice_indexer(first_date, last_date)]
return benchmark_returns, treasury_curves