From fc244c395f6a768a3ec943c39f4fb9958f777d7e Mon Sep 17 00:00:00 2001 From: Eddie Hebert Date: Thu, 3 Oct 2013 11:20:48 -0400 Subject: [PATCH] MAINT: Use pd.normalize_date in cumulative risk module. Also, normalize the period close when checking trading days, so that an extra value isn't added to the index for the returns containers. --- zipline/finance/risk/cumulative.py | 8 ++++++-- 1 file changed, 6 insertions(+), 2 deletions(-) diff --git a/zipline/finance/risk/cumulative.py b/zipline/finance/risk/cumulative.py index f62a3532..45059f81 100644 --- a/zipline/finance/risk/cumulative.py +++ b/zipline/finance/risk/cumulative.py @@ -21,6 +21,8 @@ import numpy as np import zipline.finance.trading as trading import pandas as pd +from pandas.tseries.tools import normalize_date + from . risk import ( alpha, @@ -71,9 +73,11 @@ class RiskMetricsCumulative(object): (all_trading_days <= self.end_date)) self.trading_days = all_trading_days[mask] - if sim_params.period_end not in self.trading_days: + + last_day = normalize_date(sim_params.period_end) + if last_day not in self.trading_days: last_day = pd.tseries.index.DatetimeIndex( - [sim_params.period_end] + [last_day] ) self.trading_days = self.trading_days.append(last_day)