added a filter for nan values in risk data relay

This commit is contained in:
fawce
2012-06-19 15:52:47 -04:00
parent ba05335b2c
commit 5d97469a24
+3 -1
View File
@@ -126,7 +126,7 @@ class RiskMetrics():
Returns a dict object of the form:
"""
period_label = self.end_date.strftime("%Y-%m")
return {
rval = {
'trading_days' : self.trading_days,
'benchmark_volatility' : self.benchmark_volatility,
'algo_volatility' : self.algorithm_volatility,
@@ -141,6 +141,8 @@ class RiskMetrics():
'period_label' : period_label
}
return {k:None if np.isnan(v) else v for k,v in rval.iteritems()}
def __repr__(self):
statements = []
metrics = [