diff --git a/zipline/finance/risk.py b/zipline/finance/risk.py index 9e158e85..04c40b1d 100644 --- a/zipline/finance/risk.py +++ b/zipline/finance/risk.py @@ -173,6 +173,18 @@ def alpha(algorithm_period_return, treasury_period_return, (treasury_period_return + beta * (benchmark_period_returns - treasury_period_return)) +########################### +# End Risk Metric Section # +########################### + + +def search_day_distance(end_date, dt): + tdd = trading.environment.trading_day_distance(dt, end_date) + if tdd is None: + return None + assert tdd >= 0 + return tdd + class RiskMetricsBase(object): def __init__(self, start_date, end_date, returns): @@ -438,7 +450,7 @@ class RiskMetricsBase(object): rate = self.get_treasury_rate(prev_day) if rate is not None: search_day = prev_day - search_dist = self.search_day_distance(prev_day) + search_dist = search_day_distance(self.end_date, prev_day) break if search_day: @@ -464,13 +476,6 @@ that date doesn't exceed treasury history range." ) raise Exception(message) - def search_day_distance(self, dt): - tdd = trading.environment.trading_day_distance(dt, self.end_date) - if tdd is None: - return None - assert tdd >= 0 - return tdd - def get_treasury_rate(self, day): rate = None