Commit 55e8b676 authored by Dr.李's avatar Dr.李

fixing miss match

parent 271d017e
...@@ -43,6 +43,7 @@ def cs_impl(ref_date, ...@@ -43,6 +43,7 @@ def cs_impl(ref_date,
target_pos['weight'] = target_pos['weight'] / target_pos['weight'].abs().sum() target_pos['weight'] = target_pos['weight'] / target_pos['weight'].abs().sum()
target_pos = pd.merge(target_pos, dx_returns, on=['code']) target_pos = pd.merge(target_pos, dx_returns, on=['code'])
target_pos = pd.merge(target_pos, total_data[['code'] + constraint_risk], on=['code']) target_pos = pd.merge(target_pos, total_data[['code'] + constraint_risk], on=['code'])
total_risk_exp = target_pos[constraint_risk]
activate_weight = target_pos['weight'].values activate_weight = target_pos['weight'].values
excess_return = np.exp(target_pos[['dx']].values) - 1. excess_return = np.exp(target_pos[['dx']].values) - 1.
excess_return = factor_processing(excess_return, [winsorize_normal, standardize], total_risk_exp.values, [winsorize_normal, standardize]).flatten() excess_return = factor_processing(excess_return, [winsorize_normal, standardize], total_risk_exp.values, [winsorize_normal, standardize]).flatten()
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