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Diffstat (limited to 'python')
| -rw-r--r-- | python/notebooks/clo_loan_markets.ipynb | 112 |
1 files changed, 112 insertions, 0 deletions
diff --git a/python/notebooks/clo_loan_markets.ipynb b/python/notebooks/clo_loan_markets.ipynb new file mode 100644 index 00000000..9785d612 --- /dev/null +++ b/python/notebooks/clo_loan_markets.ipynb @@ -0,0 +1,112 @@ +{ + "cells": [ + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], + "source": [ + "from utils.db import dbconn, dbengine\n", + "\n", + "from matplotlib.pyplot import hist\n", + "import matplotlib.pyplot as plt\n", + "\n", + "import pandas as pd\n", + "import numpy as np\n", + "\n", + "etengine = dbengine('etdb')\n", + "\n", + "%matplotlib inline" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], + "source": [ + "value_date = pd.datetime.today().date()\n", + "date_range = pd.bdate_range(end=value_date, freq='3BM',periods=12)\n", + "sql_string = \"SELECT c.loanxid, c.issuername, c.dealname, c.facility_type, c.loanx_facility_type, \" \\\n", + " \"c.initial_amount, c.initial_spread, c.maturity, c.industry, b.bid, b.offer, b.depth, a.latestdate \" \\\n", + " \"FROM ( SELECT markit_prices.pricingdate AS latestdate, \" \\\n", + " \"markit_prices.loanxid as loanxid_a FROM markit_prices \" \\\n", + " \"where pricingdate = %s GROUP BY markit_prices.loanxid, latestdate) a \" \\\n", + " \"JOIN markit_prices b ON loanxid_a = b.loanxid::text AND a.latestdate = b.pricingdate \" \\\n", + " \"JOIN latest_markit_facility c ON loanxid_a = c.loanxid::text;\"\n", + "df = pd.DataFrame()\n", + "for d in date_range:\n", + " df = df.append(pd.read_sql_query(sql_string, etengine, params=[d,]))\n", + "df.sort_values(by='latestdate', inplace=True)\n", + "df['mid'] = (df['bid'] + df['offer'])/2\n", + "df = df[df['facility_type']!='Equity']\n", + "df['mv'] = df['initial_amount'] *1e6 * df['mid']/100" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], + "source": [ + "hist_bins = np.linspace(50, 110, 13)\n", + "hist_bins = np.insert(hist_bins, 0, 0)\n", + "df['price_bucket'] = pd.cut(df['mid'], hist_bins)\n", + " \n", + "hist_per = df.groupby(['latestdate', 'price_bucket']).agg({'mv': 'sum'})\n", + "hist_per = hist_per.groupby(level=0).apply(lambda x: x / float(x.sum()))\n", + "hist_per.unstack().plot(kind = 'bar', stacked=True)\n", + "plt.legend(loc='center left', bbox_to_anchor=(1.0, 0.5))" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], + "source": [ + "#Distressed - Industry breakdown\n", + "industry_hist = df[df['mid']<80].groupby(['latestdate', 'industry']).agg({'mv': 'sum'})\n", + "industry_hist = industry_hist.groupby(level=0).apply(lambda x: x / float(x.sum()))\n", + "top = industry_hist.groupby('latestdate').head(20)\n", + "top.unstack().plot(kind = 'bar', stacked=True)\n", + "plt.legend(loc='center left', bbox_to_anchor=(1.0, 0.5))" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], + "source": [] + }, + { + "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": "3.8.0" + } + }, + "nbformat": 4, + "nbformat_minor": 4 +} |
