diff options
Diffstat (limited to 'python/notebooks/Single Names Monitoring.ipynb')
| -rw-r--r-- | python/notebooks/Single Names Monitoring.ipynb | 32 |
1 files changed, 13 insertions, 19 deletions
diff --git a/python/notebooks/Single Names Monitoring.ipynb b/python/notebooks/Single Names Monitoring.ipynb index 0c32e617..62a1383a 100644 --- a/python/notebooks/Single Names Monitoring.ipynb +++ b/python/notebooks/Single Names Monitoring.ipynb @@ -23,7 +23,7 @@ "outputs": [], "source": [ "w = widgets.Dropdown(\n", - " options=['IG', 'HY', 'EU'],\n", + " options=['IG', 'HY', 'EU', 'XO'],\n", " value='IG',\n", " description='Index:',\n", " disabled=False,\n", @@ -37,7 +37,7 @@ "metadata": {}, "outputs": [], "source": [ - "w_1 = widgets.IntSlider(value=30, min=22, max=30, description = 'Series')\n", + "w_1 = widgets.IntSlider(value=31, min=22, max=31, description = 'Series')\n", "w_1" ] }, @@ -47,7 +47,7 @@ "metadata": {}, "outputs": [], "source": [ - "trade_date = (pd.datetime.today() - pd.offsets.BDay(1)).date()\n", + "value_date = (pd.datetime.today() - pd.offsets.BDay(2)).date()\n", "index_type = w.value\n", "series = w_1.value" ] @@ -59,8 +59,8 @@ "outputs": [], "source": [ "sql_string = \"select * from index_members(%s, %s)\"\n", - "df = pd.read_sql_query(sql_string, engine, params=(index_type + str(series), trade_date), index_col=['markit_ticker'])\n", - "df1 = pd.read_sql_query(sql_string, engine, params=(index_type + str(series-1), trade_date), index_col=['markit_ticker'])" + "df = pd.read_sql_query(sql_string, engine, params=(index_type + str(series), value_date), index_col=['markit_ticker'])\n", + "df1 = pd.read_sql_query(sql_string, engine, params=(index_type + str(series-2), value_date), index_col=['markit_ticker'])" ] }, { @@ -89,7 +89,7 @@ "metadata": {}, "outputs": [], "source": [ - "date_range = pd.bdate_range(trade_date - 52 * pd.offsets.Week(), trade_date, freq='5B')\n", + "date_range = pd.bdate_range(value_date - 52 * pd.offsets.Week(), value_date, freq='5B')\n", "index = MarkitBasketIndex(index_type, series, ['5yr'])\n", "default_prob = {}\n", "maturity = np.array([np.datetime64(index.maturities[0]).view('int') + 134774])\n", @@ -107,10 +107,13 @@ "outputs": [], "source": [ "#Top 20 highest cumulative\n", - "top20 = default_prob.unstack(-1)[default_prob[trade_date].nlargest(20).index]\n", + "top20 = default_prob.unstack(-1)[default_prob[value_date].nlargest(20).index]\n", "top20.index.name='date'\n", "top20.columns.name='tickers'\n", - "top20.plot(title=f'market implied default probabilities to {index.maturities[0]}')" + "ax = top20.plot(title=f'market implied default probabilities to {index.maturities[0]}', figsize=(10,6))\n", + "ax.legend(loc='upper center', bbox_to_anchor=(1.3, 1), ncol=1)\n", + "ax.set(xlabel='date', ylabel='probability')\n", + "plt.tight_layout()" ] }, { @@ -118,16 +121,7 @@ "execution_count": null, "metadata": {}, "outputs": [], - "source": [ - "title = 'market implied default probabilities to ' + str(temp.maturities[0])\n", - "fig, ax = plt.subplots()\n", - "ax.plot(dp_top.T)\n", - "ax.set(xlabel='date', ylabel='probability',\n", - " title=title)\n", - "ax.legend(dp_top.index, loc='upper center', bbox_to_anchor=(1.3, 1), ncol=1)\n", - "fig.set_size_inches(10, 6)\n", - "fig.tight_layout()" - ] + "source": [] } ], "metadata": { @@ -146,7 +140,7 @@ "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", - "version": "3.6.5" + "version": "3.7.0" } }, "nbformat": 4, |