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MAINT: Make returns frequency and returns index class members.

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Hold on to the values set for the returns frequency and the cont
index, mainly for debugging purposes mid-process.

It was useful to have these values when debugging why there was
an extra non-midnight time in the index.
This commit is contained in:
Eddie Hebert
2013-10-03 12:30:57 -04:00
parent fc244c395f
commit 5041f3e83b
1 changed files with 4 additions and 0 deletions
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zipline/finance/risk/cumulative.py
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@@ -86,11 +86,15 @@ class RiskMetricsCumulative(object):
if returns_frequency is None:
returns_frequency = self.sim_params.emission_rate
self.returns_frequency = returns_frequency
if returns_frequency == 'daily':
cont_index = self.get_daily_index()
elif returns_frequency == 'minute':
cont_index = self.get_minute_index(sim_params)
self.cont_index = cont_index
self.algorithm_returns_cont = pd.Series(index=cont_index)
self.benchmark_returns_cont = pd.Series(index=cont_index)