1 files changed, 34 insertions, 0 deletions
diff --git a/python/exploration/index_arb.py b/python/exploration/index_arb.py
new file mode 100644
index 00000000..a77b083c
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+++ b/python/exploration/index_arb.py
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+import datetime
+import numpy as np
+import pandas as pd
+from analytics.basket_index import MarkitBasketIndex
+from dates import bus_day
+from utils.db import serenitas_engine
+
+ig31 = MarkitBasketIndex("IG", 31, ["5yr"])
+
+dr = pd.bdate_range(datetime.date(2019, 1, 1), datetime.date(2019, 10, 8), freq=bus_day)
+pvs = np.empty((125, len(dr)))
+for i, d in enumerate(dr):
+    ig31.value_date = d
+    pv_vec = ig31.pv_vec()["2023-12-20"]
+    pvs[:, i] = pv_vec.protection_pv - pv_vec.duration * 0.01
+# these are the clean pvs
+pvs = 1 - pvs
+R = np.diff(pvs) / pvs[:, :-1]
+Rf = pd.DataFrame(R.T, index=dr[1:], columns=ig31.tickers)
+index_price = pd.read_sql_query(
+    "SELECT date, closeprice, modelprice "
+    "from index_quotes where index='IG' "
+    "and series=31 and tenor='5yr' ORDER BY date",
+    serenitas_engine,
+    parse_dates=["date"],
+    index_col=["date"],
+)
+model_price = index_price.loc["2019-01-02":, "modelprice"]
+rf = model_price.pct_change()
+
+# def cost(w):
+#     return (Rf @ w -  rf).var()
+
+# ABX = SingleNameCds("ABX", end_date=datetime.date(2023, 12, 20), value_date=datetime.date(2019, 1, 2))