def create_noop_environment():
oneday = timedelta(days=1)
start = datetime(2006, 1, 1, tzinfo=pytz.utc)
days = []
tr_curves = OrderedDict()
for day in date_gen(start=start, delta=oneday, count=252):
days.append(day)
curve = {
'10year': 0.0799,
'1month': 0.0799,
'1year': 0.0785,
'20year': 0.0765,
'2year': 0.0794,
'30year': 0.0804,
'3month': 0.0789,
'3year': 0.0796,
'5year': 0.0792,
'6month': 0.0794,
'7year': 0.0804,
'tid': 1752
}
tr_curves[day] = curve
bm_returns = pd.Series(index=days, data=0.1)
load_nodata = lambda x: (bm_returns, tr_curves)
return trading.TradingEnvironment(load=load_nodata)
def create_noop_environment():
oneday = timedelta(days=1)
start = datetime(2006, 1, 1, tzinfo=pytz.utc)
bm_returns = []
tr_curves = OrderedDict()
for day in date_gen(start=start, delta=oneday, count=252):
dr = DailyReturn(day, 0.01)
bm_returns.append(dr)
curve = {
'10year': 0.0799,
'1month': 0.0799,
'1year': 0.0785,
'20year': 0.0765,
'2year': 0.0794,
'30year': 0.0804,
'3month': 0.0789,
'3year': 0.0796,
'5year': 0.0792,
'6month': 0.0794,
'7year': 0.0804,
'tid': 1752
}
tr_curves[day] = curve
load_nodata = lambda x: (bm_returns, tr_curves)
return trading.TradingEnvironment(load=load_nodata)