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Diffstat (limited to 'python/graphics.py')
| -rw-r--r-- | python/graphics.py | 84 |
1 files changed, 84 insertions, 0 deletions
diff --git a/python/graphics.py b/python/graphics.py new file mode 100644 index 00000000..0f348a04 --- /dev/null +++ b/python/graphics.py @@ -0,0 +1,84 @@ +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))) |
