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+import numpy as np
+import matplotlib.pyplot as plt
+from matplotlib import cm
+
+def shiftedColorMap(cmap, start=0, midpoint=0.5, stop=1.0, name='shiftedcmap'):
+ '''
+ Function to offset the "center" of a colormap. Useful for
+ data with a negative min and positive max and you want the
+ middle of the colormap's dynamic range to be at zero
+
+ Input
+ -----
+ cmap : The matplotlib colormap to be altered
+ start : Offset from lowest point in the colormap's range.
+ Defaults to 0.0 (no lower ofset). Should be between
+ 0.0 and `midpoint`.
+ midpoint : The new center of the colormap. Defaults to
+ 0.5 (no shift). Should be between 0.0 and 1.0. In
+ general, this should be 1 - vmax/(vmax + abs(vmin))
+ For example if your data range from -15.0 to +5.0 and
+ you want the center of the colormap at 0.0, `midpoint`
+ should be set to 1 - 5/(5 + 15)) or 0.75
+ stop : Offset from highets point in the colormap's range.
+ Defaults to 1.0 (no upper ofset). Should be between
+ `midpoint` and 1.0.
+ '''
+ cdict = {
+ 'red': [],
+ 'green': [],
+ 'blue': [],
+ 'alpha': []
+ }
+
+ # regular index to compute the colors
+ reg_index = np.linspace(start, stop, 257)
+
+ # shifted index to match the data
+ shift_index = np.hstack([
+ np.linspace(0.0, midpoint, 128, endpoint=False),
+ np.linspace(midpoint, 1.0, 129, endpoint=True)
+ ])
+
+ for ri, si in zip(reg_index, shift_index):
+ r, g, b, a = cmap(ri)
+
+ cdict['red'].append((si, r, r))
+ cdict['green'].append((si, g, g))
+ cdict['blue'].append((si, b, b))
+ cdict['alpha'].append((si, a, a))
+
+ newcmap = matplotlib.colors.LinearSegmentedColormap(name, cdict)
+ plt.register_cmap(cmap=newcmap)
+
+ return newcmap
+
+
+def plot_time_color_map(df, spread_shock, attr="pnl", path=".", color_map=cm.RdYlGn, index='IG'):
+
+ val_date = df.index[0].date()
+ df = df.reset_index()
+ df['days'] = (df['date'] - val_date).dt.days
+ ascending = [True,True] if index == 'HY' else [True,False]
+ df.sort_values(by=['date','spread'], ascending = ascending, inplace = True)
+ date_range = df.days.unique()
+
+ #plt.style.use('seaborn-whitegrid')
+ fig, ax = plt.subplots()
+ series = df[attr]
+ midpoint = 1 - series.max() / (series.max() + abs(series.min()))
+ shifted_cmap = shiftedColorMap(color_map, midpoint=midpoint, name='shifted')
+
+ chart = ax.imshow(series.values.reshape(date_range.size, spread_shock.size).T,
+ extent=(date_range.min(), date_range.max(),
+ spread_shock.min(), spread_shock.max()),
+ aspect='auto', interpolation='bilinear', cmap=shifted_cmap)
+
+ #chart = ax.contour(date_range, spread_shock, series.values.reshape(date_range.size, spread_shock.size).T)
+
+ ax.set_xlabel('Days')
+ ax.set_ylabel('Price') if index == 'HY' else ax.set_ylabel('Spread')
+ ax.set_title('{} of Trade'.format(attr.title()))
+
+ fig.colorbar(chart, shrink=.8)
+ #fig.savefig(os.path.join(path, "spread_time_color_map_"+ attr+ "_{}.png".format(val_date)))