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MAINT: Remove saving of treasury duration.

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The treasury_duration member in RiskMetrics is never used except
for in unit tests.

Remove the saving of treasury_duration in preparation for the
move of the choose_treasury method out of the RiskMetrics classes.

Down the line, if we do restore the sanving of treasury_duration,
choose_treasury can return a tuple that includes treasury_duration
instead of just returning the rate.
This commit is contained in:
Eddie Hebert
2013-04-04 13:44:22 -04:00
parent 8ea52e0421
commit 39038131db
2 changed files with 14 additions and 20 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/test_risk_compare_batch_iterative.py
-6
View File
@@ -88,12 +88,6 @@ class RiskCompareIterativeToBatch(unittest.TestCase):
self.assertEqual(
risk_metrics_original.end_date,
risk_metrics_refactor.end_date)
self.assertEqual(
risk_metrics_original.treasury_duration,
risk_metrics_refactor.treasury_duration)
self.assertEqual(
risk_metrics_original.treasury_curve,
risk_metrics_refactor.treasury_curve)
self.assertEqual(
risk_metrics_original.treasury_period_return,
risk_metrics_refactor.treasury_period_return)
zipline/finance/risk.py
+14 -14
View File
@@ -429,32 +429,32 @@ class RiskMetricsBase(object):
def choose_treasury(self, start_date, end_date):
td = end_date - start_date
if td.days <= 31:
self.treasury_duration = '1month'
treasury_duration = '1month'
elif td.days <= 93:
self.treasury_duration = '3month'
treasury_duration = '3month'
elif td.days <= 186:
self.treasury_duration = '6month'
treasury_duration = '6month'
elif td.days <= 366:
self.treasury_duration = '1year'
treasury_duration = '1year'
elif td.days <= 365 * 2 + 1:
self.treasury_duration = '2year'
treasury_duration = '2year'
elif td.days <= 365 * 3 + 1:
self.treasury_duration = '3year'
treasury_duration = '3year'
elif td.days <= 365 * 5 + 2:
self.treasury_duration = '5year'
treasury_duration = '5year'
elif td.days <= 365 * 7 + 2:
self.treasury_duration = '7year'
treasury_duration = '7year'
elif td.days <= 365 * 10 + 2:
self.treasury_duration = '10year'
treasury_duration = '10year'
else:
self.treasury_duration = '30year'
treasury_duration = '30year'
end_day = end_date.replace(hour=0, minute=0, second=0)
search_day = None
if end_day in self.treasury_curves:
rate = get_treasury_rate(self.treasury_curves,
self.treasury_duration,
treasury_duration,
end_day)
if rate is not None:
search_day = end_day
@@ -468,7 +468,7 @@ class RiskMetricsBase(object):
i = bisect.bisect_right(search_days, end_day)
for prev_day in search_days[i - 1::-1]:
rate = get_treasury_rate(self.treasury_curves,
self.treasury_duration,
treasury_duration,
prev_day)
if rate is not None:
search_day = prev_day
@@ -482,7 +482,7 @@ class RiskMetricsBase(object):
{dt} and term = {term}. Using {search_day}. Check that date doesn't exceed \
treasury history range."
message = message.format(dt=end_date,
term=self.treasury_duration,
term=treasury_duration,
search_day=search_day)
log.warn(message)
@@ -494,7 +494,7 @@ treasury history range."
that date doesn't exceed treasury history range."
message = message.format(
dt=end_date,
term=self.treasury_duration
term=treasury_duration
)
raise Exception(message)