From 2a6b06913c25959e5efc71b2946e84820dddb088 Mon Sep 17 00:00:00 2001 From: Chan-Ho Suh Date: Thu, 7 Sep 2023 18:20:11 -0400 Subject: [PATCH] Use non-deprecated option with days Presumably this calc is not sensitive to varying number of days in a year or leap seconds. --- curvesim/metrics/metrics.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/curvesim/metrics/metrics.py b/curvesim/metrics/metrics.py index 028438616..eb100619c 100644 --- a/curvesim/metrics/metrics.py +++ b/curvesim/metrics/metrics.py @@ -510,7 +510,7 @@ def _get_cryptoswap_virtual_value(self, pool_state_row): def compute_annualized_returns(self, data): """Computes annualized returns from a series of pool values.""" - year_multipliers = timedelta64(1, "Y") / data.index.to_series().diff() + year_multipliers = timedelta64(365, "D") / data.index.to_series().diff() log_returns = log(data).diff() # pylint: disable=no-member return exp((log_returns * year_multipliers).mean()) - 1