From 500e6a9f2478a2c1bfc7a26480f7b334bab0334a Mon Sep 17 00:00:00 2001 From: fawce Date: Sun, 12 Aug 2012 00:48:00 -0400 Subject: [PATCH] fixed #563 --- zipline/finance/risk.py | 17 ++++++++--------- 1 file changed, 8 insertions(+), 9 deletions(-) diff --git a/zipline/finance/risk.py b/zipline/finance/risk.py index 8e52ad3d..5c42cf69 100644 --- a/zipline/finance/risk.py +++ b/zipline/finance/risk.py @@ -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."