diff options
Diffstat (limited to 'python/exploration/curve_trades.py')
| -rw-r--r-- | python/exploration/curve_trades.py | 5 |
1 files changed, 3 insertions, 2 deletions
diff --git a/python/exploration/curve_trades.py b/python/exploration/curve_trades.py index 3dd5043f..353f5bbc 100644 --- a/python/exploration/curve_trades.py +++ b/python/exploration/curve_trades.py @@ -86,9 +86,10 @@ def curve_returns(index='IG', rolling=6): ## on-the-run returns returns = df.price_return.unstack(-1).dropna().groupby(level='date').nth(-1) - strategy = ['510', '710', '3510'] + strategy = ['35','510', '710', '3510'] strategies_return = pd.DataFrame( - {'5-10': 1.78 * returns['5yr'] - returns['10yr'], + {'3-5': -.64 * returns['3yr'] + returns['5yr'], + '5-10': 1.78 * returns['5yr'] - returns['10yr'], '7-10': 1.33 * returns['7yr'] - returns['10yr'], '3-5-10': -2 * returns['3yr'] + 3 * returns['5yr'] - returns['10yr']}) strategies_return_monthly = (strategies_return. |