diff options
Diffstat (limited to 'python/notebooks/Curve Trades.ipynb')
| -rw-r--r-- | python/notebooks/Curve Trades.ipynb | 53 |
1 files changed, 36 insertions, 17 deletions
diff --git a/python/notebooks/Curve Trades.ipynb b/python/notebooks/Curve Trades.ipynb index 7f120638..501c9876 100644 --- a/python/notebooks/Curve Trades.ipynb +++ b/python/notebooks/Curve Trades.ipynb @@ -6,15 +6,10 @@ "metadata": {}, "outputs": [], "source": [ - "#%matplotlib nbagg\n", - "\n", - "import os\n", - "import sys\n", - "sys.path.append(os.path.join(os.environ['CODE_DIR'], 'python', 'exploration'))\n", - "sys.path.append(os.path.join(os.environ['CODE_DIR'], 'python'))\n", "import curve_trades as ct\n", "import matplotlib.pyplot as plt\n", - "import pandas as pd" + "import pandas as pd\n", + "from ipywidgets import widgets" ] }, { @@ -23,8 +18,22 @@ "metadata": {}, "outputs": [], "source": [ - "index = 'IG'\n", - "on_the_run = 28" + "w = widgets.Dropdown(\n", + " options=['IG', 'EU'],\n", + " value='IG',\n", + " description='Index:',\n", + " disabled=False,\n", + ")\n", + "w" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], + "source": [ + "index = w.value" ] }, { @@ -34,7 +43,7 @@ "outputs": [], "source": [ "#On the run spread differences\n", - "spreads_diff = ct.curve_spread_diff(index, on_the_run)\n", + "spreads_diff = ct.curve_spread_diff(index, 6)\n", "spreads_diff.plot()" ] }, @@ -55,7 +64,7 @@ "outputs": [], "source": [ "#Theta per unit duration\n", - "ct.theta_matrix_by_series(index, on_the_run)" + "ct.theta_matrix_by_series(index)" ] }, { @@ -65,7 +74,7 @@ "outputs": [], "source": [ "#on the run theta\n", - "ct.on_the_run_theta(index, on_the_run)" + "ct.on_the_run_theta(index)" ] }, { @@ -84,7 +93,7 @@ "metadata": {}, "outputs": [], "source": [ - "ct.cross_series_curve()" + "ct.cross_series_curve(index)" ] }, { @@ -94,8 +103,17 @@ "outputs": [], "source": [ "#Theta with 3-5-10 Strategy\n", - "theta_ratio_within_series = ct.ratio_within_series(param = 'duration')\n", - "ct.curve_3_5_10(theta_ratio_within_series)" + "df = ct.ratio_within_series(param='duration')\n", + "ct.curve_3_5_10(df)" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], + "source": [ + "%debug" ] }, { @@ -105,7 +123,8 @@ "outputs": [], "source": [ "#Theta with 5-10 Strategy\n", - "ct.curve_5_10(theta_ratio_within_series)" + "df = ct.ratio_within_series(param='duration')\n", + "ct.curve_5_10(df)" ] }, { @@ -205,7 +224,7 @@ "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", - "version": "3.6.1" + "version": "3.6.2" } }, "nbformat": 4, |