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ranaroussi / quantstats

Portfolio analytics for quants, written in Python
Apache License 2.0
4.82k stars 841 forks source link

Problems with time dependent risk free rate #306

Open vilnik opened 1 year ago

vilnik commented 1 year ago

Hi!

Thanks for a nice package!

I think it should be possible to pass the risk free rate (rf) as a df everywhere. It seems like 'utils.to_excess_returns' supports rf as a df, but things will break if rf is a df in other places because there are checks like "if rf != 0" which will not work if rf is a df.

grzesir commented 2 months ago

Check out https://github.com/Lumiwealth/quantstats_lumi, which is being updated regularly. We are a fork of this library that is being maintained by Lumiwealth