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| -rw-r--r-- | python/beta_trade.py | 7 |
1 files changed, 7 insertions, 0 deletions
diff --git a/python/beta_trade.py b/python/beta_trade.py new file mode 100644 index 00000000..a08de3fe --- /dev/null +++ b/python/beta_trade.py @@ -0,0 +1,7 @@ +import pandas as pd +from option_trades import index_price_returns + +returns = pd.concat([index_price_returns(index=i) for i in ['IG', 'HY']], axis=1) +returns.columns = ['ig', 'hy'] +model = pd.ols(y = returns.hy, x=returns.x) +beta = model.beta.x |