fixed simulate bug

cvxgrp · Feb 29, 2024 · f49e5ab · f49e5ab
1 parent 241b33d
commit f49e5ab
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Showing 3 changed files with 219 additions and 215 deletions.
diff --git a/cvx/stat_arb/ccp.py b/cvx/stat_arb/ccp.py
@@ -436,7 +436,7 @@ def get_q(self, prices: pd.DataFrame, mu=None, T_max=500):
         )
 
         q[exit_index + exit_length :] = 0
-        q[-1] = 0
+        q.iloc[-1] = 0
 
         exit_trigger = min(exit_index, len(q) - 1)
         exit_trigger = q.index[exit_trigger]