diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/exploration/curve_trades.py | 13 |
1 files changed, 13 insertions, 0 deletions
diff --git a/python/exploration/curve_trades.py b/python/exploration/curve_trades.py new file mode 100644 index 00000000..1169f215 --- /dev/null +++ b/python/exploration/curve_trades.py @@ -0,0 +1,13 @@ +from index_data import get_index_quotes, index_returns +import pandas as pd + +## look at spreads +df = get_index_quotes("IG", [23, 24, 25, 26, 27], tenor=['3yr', '5yr', '7yr', '10yr']) +spreads = df.groupby(level=['date', 'tenor']).nth(-1)['closespread'].unstack(-1) +# remove 'yr' +spreads.columns = [int(col[:-2]) for col in spreads.columns] +spreads = spreads.sort_index(1) +spreads_diff = spreads.diff(axis=1) +spreads_diff = spreads_diff.filter([5, 7, 10]) +spreads_diff.columns = ['3-5', '5-7', '7-10'] +spreads_diff.plot() |