1 files changed, 65 insertions, 3 deletions
diff --git a/python/notebooks/Beta & Compression.ipynb b/python/notebooks/Beta & Compression.ipynb
index 8ddae861..e7874f4e 100644
--- a/python/notebooks/Beta & Compression.ipynb
+++ b/python/notebooks/Beta & Compression.ipynb
@@ -23,7 +23,7 @@
    "metadata": {},
    "outputs": [],
    "source": [
-    "betas = beta_trade.calc_betas(spans=[20,45,90,180], index_list = ['HY','IG','EU'])"
+    "betas = beta_trade.calc_betas(spans=[20,45,90,180], index_list = ['HY','IG','EU', 'XO'])"
    ]
   },
   {
@@ -50,6 +50,8 @@
    "source": [
     "# HY -- EU\n",
     "df = betas.xs('EU', level='index')\n",
+    "returns = beta_trade.calc_returns(index_list = ['HY','IG','EU'])\n",
+    "returns.ewm(span=180).cov().groupby(level='date').nth(-1)\n",
     "df = df.xs('HY', level='index', axis = 1)\n",
     "plt.plot(df)\n",
     "plt.xlabel('date')\n",
@@ -80,6 +82,24 @@
    "metadata": {},
    "outputs": [],
    "source": [
+    "# HY -- XO\n",
+    "df = betas.xs('XO', level='index')\n",
+    "returns = beta_trade.calc_returns(index_list = ['HY','IG','XO'])\n",
+    "returns.ewm(span=180).cov().groupby(level='date').nth(-1)\n",
+    "df = df.xs('HY', level='index', axis = 1)\n",
+    "plt.plot(df)\n",
+    "plt.xlabel('date')\n",
+    "plt.ylabel('beta')\n",
+    "plt.legend()\n",
+    "df.iloc[-1]"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
     "#---------------------------------------------------------------------------------------------------------\n",
     "#now look at spread rato\n",
     "spreads = beta_trade.spreads_ratio()\n",
@@ -122,6 +142,48 @@
    "metadata": {},
    "outputs": [],
    "source": []
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": []
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": []
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": []
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": []
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": []
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": []
   }
  ],
  "metadata": {
@@ -140,9 +202,9 @@
    "name": "python",
    "nbconvert_exporter": "python",
    "pygments_lexer": "ipython3",
-   "version": "3.6.4"
+   "version": "3.8.0"
   }
  },
  "nbformat": 4,
- "nbformat_minor": 2
+ "nbformat_minor": 4
 }