Fixed delivery date. Renamed a few things in the results data.

johnbywater · Oct 9, 2017 · 3ebdbc9 · 3ebdbc9
1 parent 3957f0b
commit 3ebdbc9
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Showing 2 changed files with 10 additions and 9 deletions.
diff --git a/quantdsl/application/base.py b/quantdsl/application/base.py
@@ -274,16 +274,17 @@ def read_results(self, evaluation):
                     simulated_price = self.simulated_price_repo[simulated_price_id]
                     simulated_price_value = simulated_price.value
                 else:
+                    delivery_date = datetime.date(year, month, 1)
                     sum_simulated_prices = 0
                     count_simulated_prices = 0
                     for i in range(1, 32):
                         try:
-                            delivery_date = datetime.date(year, month, i)
+                            _delivery_date = datetime.date(year, month, i)
                         except ValueError:
                             continue
                         else:
                             simulated_price_id = make_simulated_price_id(
-                                market_simulation.id, market_name, delivery_date, delivery_date
+                                market_simulation.id, market_name, _delivery_date, _delivery_date
                             )
                             try:
                                 simulated_price = self.simulated_price_repo[simulated_price_id]
@@ -378,7 +379,6 @@ def __init__(self, fair_value, periods):
 
         self.deltas = {p['perturbation_name']: p['delta'] for p in self.periods}
 
-
     @property
     def fair_value_mean(self):
         if isinstance(self.fair_value, scipy.ndarray):

diff --git a/quantdsl/interfaces/calcandplot.py b/quantdsl/interfaces/calcandplot.py
@@ -416,9 +416,10 @@ def print_results(results, path_count):
         net_cash_in = 0
         net_hedge_units = defaultdict(int)
         for period in results.periods:
+            perturbation_name = period['perturbation_name']
             market_name = period['market']
-            delivery_date = period['delivery_date']
-            print(market_name, delivery_date)
+            # delivery_date = period['delivery_date']
+            print(perturbation_name)
             print("Price: {:.2f}".format(period['price'].mean()))
             hedge_units = period['hedge_units']
             hedge_units_mean = hedge_units.mean()
@@ -453,7 +454,7 @@ def print_results(results, path_count):
 def plot_periods(periods, title, periodisation, interest_rate, path_count, perturbation_factor):
     from matplotlib import dates as mdates, pylab as plt
 
-    names = set([p['commodity'].split('-')[0] for p in periods])
+    names = set([p['market'] for p in periods])
 
     f, subplots = plt.subplots(1 + 2 * len(names), sharex=True)
     f.canvas.set_window_title(title)
@@ -476,9 +477,9 @@ def plot_periods(periods, title, periodisation, interest_rate, path_count, pertu
     MEAN_COLOUR = '0.1'
     for i, name in enumerate(names):
 
-        _periods = [p for p in periods if p['commodity'].startswith(name)]
+        _periods = [p for p in periods if p['market'] == name]
 
-        dates = [p['date'] for p in _periods]
+        dates = [p['delivery_date'] for p in _periods]
         price_plot = subplots[i]
 
         prices_mean = [p['price'].mean() for p in _periods]
@@ -556,7 +557,7 @@ def plot_periods(periods, title, periodisation, interest_rate, path_count, pertu
 
     dates = []
     for period in periods:
-        date = period['date']
+        date = period['delivery_date']
         if date not in dates:
             dates.append(date)
         cash_in_by_date[date].append(period['cash_in'])