fix daily risk free rate

ricequant · Mar 9, 2017 · 17a0910 · 17a0910
1 parent a7ec4e4
commit 17a0910
Showing 1 changed file with 1 addition and 1 deletion.
diff --git a/rqalpha/utils/risk.py b/rqalpha/utils/risk.py
@@ -51,8 +51,8 @@ def __init__(self, daily_returns, benchmark_daily_returns, risk_free_rate, days,
         self._portfolio = daily_returns
         self._benchmark = benchmark_daily_returns
         self._risk_free_rate = risk_free_rate
-        self._daily_risk_free_rate = self._risk_free_rate / 244
         self._annual_factor = _annual_factor(period)
+        self._daily_risk_free_rate = self._risk_free_rate / self._annual_factor
 
         self._alpha = None
         self._beta = None