1 files changed, 108 insertions, 0 deletions
diff --git a/python/notebooks/Curve Trades.ipynb b/python/notebooks/Curve Trades.ipynb
new file mode 100644
index 00000000..7174706d
--- /dev/null
+++ b/python/notebooks/Curve Trades.ipynb
@@ -0,0 +1,108 @@
+{
+ "cells": [
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "%matplotlib inline\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"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "index = 'IG'\n",
+    "on_the_run = 28"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "#On the run spread differences\n",
+    "spreads_diff = ct.curve_spread_diff(index, on_the_run)\n",
+    "spreads_diff.plot()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "#Table of Spread Differences, and Z-score of current spread differences\n",
+    "ct.spreads_diff_table(spreads_diff)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "#Theta per unit duration\n",
+    "ct.theta_matrix(index, on_the_run)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "ct.on_the_run_theta(index, on_the_run)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "#Curve Trade returns\n",
+    "ct.curve_returns()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": []
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "codemirror_mode": {
+    "name": "ipython",
+    "version": 3
+   },
+   "file_extension": ".py",
+   "mimetype": "text/x-python",
+   "name": "python",
+   "nbconvert_exporter": "python",
+   "pygments_lexer": "ipython3",
+   "version": "3.6.1"
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 2
+}