Correct Roll Related Tests, then Fix Roll Functions

quantopian / empyrical

Common financial risk and performance metrics. Used by zipline and pyfolio.

https://quantopian.github.io/empyrical

Apache License 2.0

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Correct Roll Related Tests, then Fix Roll Functions #81

Closed cgdeboer closed 6 years ago

cgdeboer commented 6 years ago

Closes #79

Thanks @rsheftel for finding that !

ssanderson commented 6 years ago

@cgdeboer thanks for the quick fix. I had one style comment about a way to possibly make the tricky loop here a bit clearer, and a more long term suggestion for how we could improve the performance on these rolling functions quite a bit.

ssanderson commented 6 years ago

Functionality-wise this LGTM though.