2 files changed, 33 insertions, 5 deletions
diff --git a/python/analytics/curve_trades.py b/python/analytics/curve_trades.py
index 73afaa0f..6c20994d 100644
--- a/python/analytics/curve_trades.py
+++ b/python/analytics/curve_trades.py
@@ -66,8 +66,10 @@ def theta_matrix_by_series(index="IG", rolling=6):
     return theta_matrix[["3yr", "5yr", "7yr", "10yr"]]
 
 
-def ratio_within_series(index="IG", rolling=6, param="duration"):
+def ratio_within_series(index="IG", rolling=6, param="duration", max_series=None):
     otr = on_the_run(index)
+    if max_series is not None:
+        otr = max_series
     df = get_index_quotes(
         index, list(range(otr - rolling, otr + 1)), tenor=["3yr", "5yr", "7yr", "10yr"]
     ).unstack()
@@ -187,9 +189,9 @@ def forward_loss(index="IG"):
     df["fwd_loss_rate"] = df.indexel.diff(2) / df.duration.diff(2)
 
 
-def curve_model(tenor_1="5yr", tenor_2="10yr", index="IG"):
+def curve_model(tenor_1="5yr", tenor_2="10yr", index="IG", max_series=None):
     # OLS model
-    df = ratio_within_series(index, param="close_spread")
+    df = ratio_within_series(index, param="close_spread", max_series=max_series)
     df = pd.concat(
         [
             df.duration[tenor_1],
@@ -204,7 +206,7 @@ def curve_model(tenor_1="5yr", tenor_2="10yr", index="IG"):
     )
     df = np.log(df)
     ols_model = smf.ols(
-        "ratio ~ close_spread + duration1 + theta1 + theta2", data=df
+        "ratio ~ np.log(close_spread) + np.log(duration1) + theta1 + theta2", data=df
     ).fit()
     return df, ols_model
 
diff --git a/python/notebooks/Curve Trades.ipynb b/python/notebooks/Curve Trades.ipynb
index 4165bd98..1695b412 100644
--- a/python/notebooks/Curve Trades.ipynb
+++ b/python/notebooks/Curve Trades.ipynb
@@ -11,6 +11,7 @@
     "import numpy as np\n",
     "import graphics as g\n",
     "import globeop_reports as go\n",
+    "import analytics.curve_trades as ct\n",
     "\n",
     "from ipywidgets import widgets\n",
     "from analytics.scenarios import run_curve_scenarios\n",
@@ -220,7 +221,7 @@
    "metadata": {},
    "outputs": [],
    "source": [
-    "model = ct.curve_model('5yr', '10yr', index='IG')\n",
+    "model = ct.curve_model('5yr', '10yr', index='IG', max_series=33)\n",
     "model_results = ct.curve_model_results(model[0], model[1])"
    ]
   },
@@ -240,6 +241,24 @@
    "metadata": {},
    "outputs": [],
    "source": [
+    "model_results.iloc[-1]"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "model[1].summary()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
     "#Do the same regression for Itrxx\n",
     "model = ct.curve_model('5yr', '10yr', index='EU')\n",
     "model_results = ct.curve_model_results(model[0], model[1])"
@@ -492,6 +511,13 @@
    "metadata": {},
    "outputs": [],
    "source": []
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": []
   }
  ],
  "metadata": {