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fixed #563

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fawce
2012-08-12 00:48:00 -04:00
parent 706a4e9e8f
commit 500e6a9f24
1 changed files with 8 additions and 9 deletions
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zipline/finance/risk.py
+8 -9
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@@ -307,16 +307,15 @@ class RiskMetrics():
for i in xrange(7):
if(self.treasury_curves.has_key(self.end_date + i * one_day)):
curve = self.treasury_curves[self.end_date + i * one_day]
break
if curve:
self.treasury_curve = curve
rate = self.treasury_curve[self.treasury_duration]
#1month note data begins in 8/2001, so we can use 3month instead.
if rate == None and self.treasury_duration == '1month':
rate = self.treasury_curve['3month']
if rate != None:
return rate * (td.days + 1) / 365
if curve:
self.treasury_curve = curve
rate = self.treasury_curve[self.treasury_duration]
#1month note data begins in 8/2001, so we can use 3month instead.
if rate == None and self.treasury_duration == '1month':
rate = self.treasury_curve['3month']
if rate != None:
return rate * (td.days + 1) / 365
message = "no rate for end date = {dt} and term = {term}. Check \
that date doesn't exceed treasury history range."