Talk:Performance Module:Statistics

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Conversations with Sybrant

Risk free interest rate date/time

[12:59:04 PM] Ravi Rajendra K: Austin. I just went through the statictics again. I think we are good for now. Also we will include the data from the xml. But it seems it is taken for every day. So do we need to do the same on our side? [2:02:06 PM] Austin Guu: sorry i was at lunch [2:02:28 PM] Ravi Rajendra K: Not a problem. [2:02:34 PM] Austin Guu: in the long run, it will depend on the amount of data from the product you are considering [2:02:59 PM] Austin Guu: for exmaple, right now you are dealing with managed futures data. this is generally reported monthly. so you will take the end of month data from the benchmark or risk free rate [2:03:14 PM] Ravi Rajendra K: ok [2:03:26 PM] Austin Guu: but in the case of stocks, which are reported down to the milliseconds, you may need to take daily rates or, in the future, we may have millisecond data on the risk free rate as well [2:03:44 PM] Ravi Rajendra K: oh... got it... [2:03:50 PM] Austin Guu: in terms of logic, you should use whatever date/time corresponds with the timestamp of the product [2:04:16 PM] Ravi Rajendra K: ya i thought it would be so. [2:04:16 PM] Austin Guu: so product = ABC mutual fund, and the date/time is Jan 31 2008 at 11:59:59.999 [2:04:30 PM] Austin Guu: then you should use the treasury bill rate for Jan 31, 2008 at 11:59:59.999 [2:04:34 PM] Austin Guu: understand? [2:04:36 PM] Ravi Rajendra K: ya understood.