diff options
Diffstat (limited to 'python/mark_backtest_underpar.py')
| -rw-r--r-- | python/mark_backtest_underpar.py | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/python/mark_backtest_underpar.py b/python/mark_backtest_underpar.py index d34c7a4d..56e1a2b7 100644 --- a/python/mark_backtest_underpar.py +++ b/python/mark_backtest_underpar.py @@ -50,7 +50,7 @@ def calc_mark_diff(df, sources= ['PRICESERVE', 'PRICINGDIRECT','BVAL','MARKIT',' def closest(x): if x.mark.count() > 1: - x.dist = abs(x.mark - x.mark[x.source == 'MANAGER']) + x['dist'] = abs(x.mark - x.mark[x.source == 'MANAGER']) return x.mark[x.dist == x.dist[x.dist>0].min()].iloc[0] else: return x.mark[0] @@ -98,7 +98,7 @@ def alt_navs(): return returns, nav_100 def annual_performance(nav_100): - perf = nav_100.groupby(pd.TimeGrouper(freq = 'A')).last() + perf = nav_100.groupby(pd.Grouper(freq = 'A')).last() perf_ann = perf/perf.shift(1) - 1 perf_ann['2013'] = perf['2013']/100-1 return perf_ann |