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)