diff options
Diffstat (limited to 'python/notebooks/Curve Trades.ipynb')
| -rw-r--r-- | python/notebooks/Curve Trades.ipynb | 42 |
1 files changed, 27 insertions, 15 deletions
diff --git a/python/notebooks/Curve Trades.ipynb b/python/notebooks/Curve Trades.ipynb index b2cde72e..05b05f89 100644 --- a/python/notebooks/Curve Trades.ipynb +++ b/python/notebooks/Curve Trades.ipynb @@ -9,7 +9,6 @@ "import analytics.curve_trades as ct\n", "import matplotlib.pyplot as plt\n", "import pandas as pd\n", - "import pandas as pd\n", "import numpy as np\n", "import graphics as g\n", "import globeop_reports as go\n", @@ -42,7 +41,7 @@ "outputs": [], "source": [ "index = w.value\n", - "report_date = (pd.datetime.today() - pd.offsets.BDay(2)).date()" + "report_date = (pd.datetime.today() - pd.offsets.BDay(5)).date()" ] }, { @@ -92,7 +91,7 @@ "metadata": {}, "outputs": [], "source": [ - "rolling = 10\n", + "rolling = 20\n", "years = 5\n", "ret = ct.curve_returns(index, rolling, years)\n", "if index == 'IG':\n", @@ -187,9 +186,9 @@ "source": [ "#Theta with 3-5-10 Strategy\n", "df = ct.ratio_within_series(param='duration')\n", - "s = - df.theta2['3yr'] / df.duration_ratio_to_5yr['3yr'] \\\n", - " + 2 * df.theta2['5yr'] \\\n", - " - df.theta2['10yr'] / df.duration_ratio_to_5yr['10yr']\n", + "s = - df.theta['3yr'] / df.duration_ratio_to_5yr['3yr'] \\\n", + " + 2 * df.theta['5yr'] \\\n", + " - df.theta['10yr'] / df.duration_ratio_to_5yr['10yr']\n", "s.dropna().unstack(-1).plot()" ] }, @@ -200,7 +199,7 @@ "outputs": [], "source": [ "#Theta with 5-10 Strategy: buy sell 5y, buy 10y\n", - "s = df.theta2['5yr'] - df.theta2['10yr'] / df.duration_ratio_to_5yr['10yr']\n", + "s = df.theta['5yr'] - df.theta['10yr'] / df.duration_ratio_to_5yr['10yr']\n", "s.dropna().unstack(-1).plot()" ] }, @@ -211,8 +210,8 @@ "outputs": [], "source": [ "#Relative Spread Difference\n", - "spread_ratio = ct.ratio_within_series(param = 'closespread')\n", - "spread_ratio.groupby(level = ['date']).last()['closespread_ratio_to_5yr'].plot()" + "spread_ratio = ct.ratio_within_series(param = 'close_spread')\n", + "spread_ratio.groupby(level = ['date']).last()['close_spread_ratio_to_5yr'].plot()" ] }, { @@ -263,9 +262,9 @@ "sql_string = \"SELECT closespread FROM index_quotes where index = %s and series = %s and tenor = %s and date = %s\"\n", "spread_df = pd.read_sql_query(sql_string, dbengine('serenitasdb'),\n", " params=[index, ct.on_the_run(index), '5yr', report_date])\n", - "spread_range = (1+ spread_shock) * spread_df.iloc[0][0]\n", - "#need to max it at the closest maturity date\n", - "date_range = pd.bdate_range(report_date, report_date + 180* pd.offsets.DateOffset(), freq='5B')\n", + "spread_range = np.round((1+ spread_shock) * spread_df.iloc[0][0], 2)\n", + "closest_mat = min([t.end_date for t in portf.trades])\n", + "date_range = pd.bdate_range(report_date, min(closest_mat, (report_date + 180* pd.offsets.DateOffset()).date()), freq='5B')\n", "curve_per = np.arange(.01, .99, .1)\n", "\n", "df = run_curve_scenarios(portf, spread_range, date_range, curve_per)" @@ -277,8 +276,21 @@ "metadata": {}, "outputs": [], "source": [ - "df_plot = df[df.curve_per == curve_per[5]]\n", - "g.plot_time_color_map(df_plot, spread_range, attr='pnl')" + "#plot steepness scenario at current spread\n", + "df_plot = df.set_index(['spread', 'curve_per'], append=True)\n", + "df_plot = df_plot.xs(round(spread_df.iloc[0][0], 2), level = 'spread')\n", + "df_plot.name = 'pnl'\n", + "g.plot_color_map(df_plot, spread_range)" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], + "source": [ + "#Plot the shape of the scenario that was run above\n", + "ct.plot_curve_shape(report_date)" ] }, { @@ -371,7 +383,7 @@ "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", - "version": "3.6.5" + "version": "3.7.1" } }, "nbformat": 4, |