DOC: Add docstring for risk.py:choose_treasury.

2026-08-04 12:45:06 +08:00 · 2015-06-12 10:59:43 -04:00
parent eced4e700d
commit 4aa5072154
1 changed files with 7 additions and 0 deletions
@@ -239,6 +239,13 @@ def select_treasury_duration(start_date, end_date):

 def choose_treasury(select_treasury, treasury_curves, start_date, end_date,
                    compound=True):
+    """
+    Find the latest known interest rate for a given duration within a date
+    range.
+
+    If we find one but it's more than a trading day ago from the date we're
+    looking for, then we log a warning
+    """
    treasury_duration = select_treasury(start_date, end_date)
    end_day = end_date.replace(hour=0, minute=0, second=0, microsecond=0)
    search_day = None