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MAINT: Factor out start and end date choose_treasury parameters.

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Preparing for move of method to a module level function.
This commit is contained in:
Eddie Hebert
2013-04-04 13:44:21 -04:00
parent b461c0d91c
commit 8ea52e0421
1 changed files with 14 additions and 8 deletions
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zipline/finance/risk.py
+14 -8
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@@ -235,7 +235,10 @@ class RiskMetricsBase(object):
self.benchmark_returns)
self.algorithm_volatility = self.calculate_volatility(
self.algorithm_returns)
self.treasury_period_return = self.choose_treasury()
self.treasury_period_return = self.choose_treasury(
self.start_date,
self.end_date
)
self.sharpe = self.calculate_sharpe()
self.sortino = self.calculate_sortino()
self.information = self.calculate_information()
@@ -423,8 +426,8 @@ class RiskMetricsBase(object):
return 1.0 - math.exp(max_drawdown)
def choose_treasury(self):
td = self.end_date - self.start_date
def choose_treasury(self, start_date, end_date):
td = end_date - start_date
if td.days <= 31:
self.treasury_duration = '1month'
elif td.days <= 93:
@@ -446,7 +449,7 @@ class RiskMetricsBase(object):
else:
self.treasury_duration = '30year'
end_day = self.end_date.replace(hour=0, minute=0, second=0)
end_day = end_date.replace(hour=0, minute=0, second=0)
search_day = None
if end_day in self.treasury_curves:
@@ -469,7 +472,7 @@ class RiskMetricsBase(object):
prev_day)
if rate is not None:
search_day = prev_day
search_dist = search_day_distance(self.end_date, prev_day)
search_dist = search_day_distance(end_date, prev_day)
break
if search_day:
@@ -478,7 +481,7 @@ class RiskMetricsBase(object):
message = "No rate within 1 trading day of end date = \
{dt} and term = {term}. Using {search_day}. Check that date doesn't exceed \
treasury history range."
message = message.format(dt=self.end_date,
message = message.format(dt=end_date,
term=self.treasury_duration,
search_day=search_day)
log.warn(message)
@@ -490,7 +493,7 @@ treasury history range."
message = "No rate for end date = {dt} and term = {term}. Check \
that date doesn't exceed treasury history range."
message = message.format(
dt=self.end_date,
dt=end_date,
term=self.treasury_duration
)
raise Exception(message)
@@ -566,7 +569,10 @@ algorithm_returns ({algo_count}) in range {start} : {end}"
self.calculate_volatility(self.benchmark_returns))
self.algorithm_volatility.append(
self.calculate_volatility(self.algorithm_returns))
self.treasury_period_return = self.choose_treasury()
self.treasury_period_return = self.choose_treasury(
self.start_date,
self.end_date
)
self.excess_returns.append(
self.algorithm_period_returns[-1] - self.treasury_period_return)
self.beta.append(self.calculate_beta()[0])