From a60d5c99a9d0c9bbd26c39e27abb7ce7f6df0c06 Mon Sep 17 00:00:00 2001 From: Eddie Hebert Date: Wed, 25 Sep 2013 13:31:01 -0400 Subject: [PATCH] MAINT: Use pandas for daily treasury values in risk. --- zipline/finance/risk/cumulative.py | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/zipline/finance/risk/cumulative.py b/zipline/finance/risk/cumulative.py index c646fa8a..344f928f 100644 --- a/zipline/finance/risk/cumulative.py +++ b/zipline/finance/risk/cumulative.py @@ -107,7 +107,7 @@ class RiskMetricsCumulative(object): self.max_drawdown = 0 self.current_max = -np.inf - self.daily_treasury = {} + self.daily_treasury = pd.Series(index=self.trading_days) def get_minute_index(self, sim_params): return pd.date_range(sim_params.first_open, sim_params.last_close, @@ -165,7 +165,7 @@ algorithm_returns ({algo_count}) in range {start} : {end} on {dt}" # curves on every minute. treasury_end = self.algorithm_returns.index[-1].replace( hour=0, minute=0) - if treasury_end not in self.daily_treasury: + if np.isnan(self.daily_treasury[treasury_end]): treasury_period_return = choose_treasury( self.treasury_curves, self.start_date,