from quantopian.pipeline.factors import CustomFactor
from quantopian.pipeline.filters import StaticAssets
from quantopian.pipeline import Pipeline
from quantopian.research import run_pipeline
from quantopian.pipeline.data.quandl import fred_usdontd156n
class LIBOR(CustomFactor):
inputs = [fred_usdontd156n.value]
window_length = 1
def compute(self, today, asset_ids, out, values):
out[:] = values
def make_pipeline():
spy = symbols('SPY')
spy_fltr = StaticAssets([spy,])
return Pipeline(
columns={
'libor': LIBOR()
},
screen = spy_fltr
)
result = run_pipeline(make_pipeline(), '2016-10-01', '2017-01-01')
result