1 files changed, 12 insertions, 4 deletions
diff --git a/python/dates.py b/python/dates.py
index 5d5470a5..fbdc7d98 100644
--- a/python/dates.py
+++ b/python/dates.py
@@ -1,11 +1,10 @@
 import datetime
 import pandas as pd
+import unittest
+
+from dateutil.relativedelta import relativedelta
 from pandas.tseries.offsets import CustomBusinessDay, Day, QuarterBegin
 from pandas.tseries.holiday import get_calendar, HolidayCalendarFactory, GoodFriday
-import sys
-sys.path.append('analytics')
-from utils import previous_twentieth
-import unittest
 
 fed_cal = get_calendar('USFederalHolidayCalendar')
 bond_cal = HolidayCalendarFactory('BondCalendar', fed_cal, GoodFriday)
@@ -19,6 +18,15 @@ def imm_dates(start_date, end_date):
             shift(19, freq='D').
             shift(0, bus_day))
 
+def previous_twentieth(d):
+    r = datetime.date(d.year, d.month, 20)
+    if r > d:
+        r -= relativedelta(months=1)
+    mod = r.month % 3
+    if mod != 0:
+        r -= relativedelta(months = mod)
+    return r
+
 def days_accrued(tradedate):
     tradedate = pd.Timestamp(tradedate)
     start_protection = tradedate + Day()