diff options
Diffstat (limited to 'python/exploration/dispersion.py')
| -rw-r--r-- | python/exploration/dispersion.py | 3 |
1 files changed, 2 insertions, 1 deletions
diff --git a/python/exploration/dispersion.py b/python/exploration/dispersion.py index 01f29a89..e4e1c1e6 100644 --- a/python/exploration/dispersion.py +++ b/python/exploration/dispersion.py @@ -1,3 +1,4 @@ +import bottleneck as bn import datetime import numpy as np import pandas as pd @@ -17,7 +18,7 @@ def get_dispersion(index_type, series, end_date=datetime.date.today()): dispersion = [] for d in dr: index.value_date = d - dispersion.append(np.log(index.spreads()).std()) + dispersion.append(bn.nanstd(np.log(index.spreads()))) return pd.Series(dispersion, index=dr, name="dispersion") |