diff options
Diffstat (limited to 'python/dates.py')
| -rw-r--r-- | python/dates.py | 20 |
1 files changed, 1 insertions, 19 deletions
diff --git a/python/dates.py b/python/dates.py index 1309aa17..0d6fe107 100644 --- a/python/dates.py +++ b/python/dates.py @@ -2,12 +2,7 @@ import datetime import pandas as pd from dateutil.relativedelta import relativedelta, WE -from pandas.tseries.offsets import CustomBusinessDay, Day, QuarterBegin -from pandas.tseries.holiday import get_calendar, HolidayCalendarFactory, GoodFriday - -fed_cal = get_calendar("USFederalHolidayCalendar") -bond_cal = HolidayCalendarFactory("BondCalendar", fed_cal, GoodFriday) -bus_day = CustomBusinessDay(calendar=bond_cal()) +from pandas.tseries.offsets import Day, QuarterBegin def imm_dates(start_date, end_date): @@ -40,19 +35,6 @@ def imm_date(d): return r -def days_accrued(tradedate): - tradedate = pd.Timestamp(tradedate) - start_protection = tradedate + Day() - # we want the the largest twentieth imm date rolled forward such that - # it's less than start_protection - effective_date = pd.Timestamp( - previous_twentieth(bus_day.rollback(start_protection).date()) - ) - effective_date = bus_day.rollforward(effective_date) - delta = start_protection - effective_date - return delta.days - - def isleapyear(date): return (date.year % 4) == 0 & (~(date.year % 100 == 0) | date.year % 400 == 0) |