From e21c5d9fbcfdaef6a6b2bfb1da075b13345addbd Mon Sep 17 00:00:00 2001 From: Robert Martin Date: Sun, 1 Dec 2024 13:14:12 -0500 Subject: [PATCH] improved docs on risk_free_rate (#574) --- pypfopt/black_litterman.py | 4 +--- pypfopt/risk_models.py | 2 +- 2 files changed, 2 insertions(+), 4 deletions(-) diff --git a/pypfopt/black_litterman.py b/pypfopt/black_litterman.py index 5d113af7..dbf5a545 100644 --- a/pypfopt/black_litterman.py +++ b/pypfopt/black_litterman.py @@ -68,9 +68,7 @@ def market_implied_risk_aversion(market_prices, frequency=252, risk_free_rate=0. :param frequency: number of time periods in a year, defaults to 252 (the number of trading days in a year) :type frequency: int, optional - :param risk_free_rate: risk-free rate of borrowing/lending, defaults to 0.0. - The period of the risk-free rate should correspond to the - frequency of expected returns. + :param risk_free_rate: annualised risk-free rate of borrowing/lending, defaults to 0.0. :type risk_free_rate: float, optional :raises TypeError: if market_prices cannot be parsed :return: market-implied risk aversion diff --git a/pypfopt/risk_models.py b/pypfopt/risk_models.py index d42af1ba..9d1ff85a 100644 --- a/pypfopt/risk_models.py +++ b/pypfopt/risk_models.py @@ -199,7 +199,7 @@ def semicovariance( :type benchmark: float :param frequency: number of time periods in a year, defaults to 252 (the number of trading days in a year). Ensure that you use the appropriate - benchmark, e.g if ``frequency=12`` use the monthly risk-free rate. + benchmark, e.g if ``frequency=12`` use monthly benchmark returns :type frequency: int, optional :param log_returns: whether to compute using log returns :type log_returns: bool, defaults to False