{ "cells": [ { "cell_type": "code", "execution_count": 37, "metadata": { "collapsed": true }, "outputs": [], "source": [ "import datetime\n", "import pandas.tseries.offsets as off\n", "import globeop_reports as go\n", "import pandas as pd" ] }, { "cell_type": "code", "execution_count": 26, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "Timestamp('2017-11-30 00:00:00')" ] }, "execution_count": 26, "metadata": {}, "output_type": "execute_result" } ], "source": [ "#PNL Allocation\n", "#report_date = datetime.date(2017,10,31)\n", "report_date = datetime.date.today()\n", "report_date = report_date - off.MonthEnd(1)\n", "report_date" ] }, { "cell_type": "code", "execution_count": 27, "metadata": {}, "outputs": [ { "data": { "application/javascript": [ "/* Put everything inside the global mpl namespace */\n", "window.mpl = {};\n", "\n", "\n", "mpl.get_websocket_type = function() {\n", " if (typeof(WebSocket) !== 'undefined') {\n", " return WebSocket;\n", " } else if (typeof(MozWebSocket) !== 'undefined') {\n", " return MozWebSocket;\n", " } else {\n", " alert('Your browser does not have WebSocket support.' +\n", " 'Please try Chrome, Safari or Firefox ≥ 6. ' +\n", " 'Firefox 4 and 5 are also supported but you ' +\n", " 'have to enable WebSockets in about:config.');\n", " };\n", "}\n", "\n", "mpl.figure = function(figure_id, websocket, ondownload, parent_element) {\n", " this.id = figure_id;\n", "\n", " this.ws = websocket;\n", "\n", " this.supports_binary = (this.ws.binaryType != undefined);\n", "\n", " if (!this.supports_binary) {\n", " var warnings = document.getElementById(\"mpl-warnings\");\n", " if (warnings) {\n", " warnings.style.display = 'block';\n", " warnings.textContent = (\n", " \"This browser does not support binary websocket messages. \" +\n", " \"Performance may be slow.\");\n", " }\n", " }\n", "\n", " this.imageObj = new Image();\n", "\n", " this.context = undefined;\n", " this.message = undefined;\n", " this.canvas = undefined;\n", " this.rubberband_canvas = undefined;\n", " this.rubberband_context = undefined;\n", " this.format_dropdown = undefined;\n", "\n", " this.image_mode = 'full';\n", "\n", " this.root = $('
');\n", " this._root_extra_style(this.root)\n", " this.root.attr('style', 'display: inline-block');\n", "\n", " $(parent_element).append(this.root);\n", "\n", " this._init_header(this);\n", " this._init_canvas(this);\n", " this._init_toolbar(this);\n", "\n", " var fig = this;\n", "\n", " this.waiting = false;\n", "\n", " this.ws.onopen = function () {\n", " fig.send_message(\"supports_binary\", {value: fig.supports_binary});\n", " fig.send_message(\"send_image_mode\", {});\n", " if (mpl.ratio != 1) {\n", " fig.send_message(\"set_dpi_ratio\", {'dpi_ratio': mpl.ratio});\n", " }\n", " fig.send_message(\"refresh\", {});\n", " }\n", "\n", " this.imageObj.onload = function() {\n", " if (fig.image_mode == 'full') {\n", " // Full images could contain transparency (where diff images\n", " // almost always do), so we need to clear the canvas so that\n", " // there is no ghosting.\n", " fig.context.clearRect(0, 0, fig.canvas.width, fig.canvas.height);\n", " }\n", " fig.context.drawImage(fig.imageObj, 0, 0);\n", " };\n", "\n", " this.imageObj.onunload = function() {\n", " this.ws.close();\n", " }\n", "\n", " this.ws.onmessage = this._make_on_message_function(this);\n", "\n", " this.ondownload = ondownload;\n", "}\n", "\n", "mpl.figure.prototype._init_header = function() {\n", " var titlebar = $(\n", " '
');\n", " var titletext = $(\n", " '
');\n", " titlebar.append(titletext)\n", " this.root.append(titlebar);\n", " this.header = titletext[0];\n", "}\n", "\n", "\n", "\n", "mpl.figure.prototype._canvas_extra_style = function(canvas_div) {\n", "\n", "}\n", "\n", "\n", "mpl.figure.prototype._root_extra_style = function(canvas_div) {\n", "\n", "}\n", "\n", "mpl.figure.prototype._init_canvas = function() {\n", " var fig = this;\n", "\n", " var canvas_div = $('
');\n", "\n", " canvas_div.attr('style', 'position: relative; clear: both; outline: 0');\n", "\n", " function canvas_keyboard_event(event) {\n", " return fig.key_event(event, event['data']);\n", " }\n", "\n", " canvas_div.keydown('key_press', canvas_keyboard_event);\n", " canvas_div.keyup('key_release', canvas_keyboard_event);\n", " this.canvas_div = canvas_div\n", " this._canvas_extra_style(canvas_div)\n", " this.root.append(canvas_div);\n", "\n", " var canvas = $('');\n", " canvas.addClass('mpl-canvas');\n", " canvas.attr('style', \"left: 0; top: 0; z-index: 0; outline: 0\")\n", "\n", " this.canvas = canvas[0];\n", " this.context = canvas[0].getContext(\"2d\");\n", "\n", " var backingStore = this.context.backingStorePixelRatio ||\n", "\tthis.context.webkitBackingStorePixelRatio ||\n", "\tthis.context.mozBackingStorePixelRatio ||\n", "\tthis.context.msBackingStorePixelRatio ||\n", "\tthis.context.oBackingStorePixelRatio ||\n", "\tthis.context.backingStorePixelRatio || 1;\n", "\n", " mpl.ratio = (window.devicePixelRatio || 1) / backingStore;\n", "\n", " var rubberband = $('');\n", " rubberband.attr('style', \"position: absolute; left: 0; top: 0; z-index: 1;\")\n", "\n", " var pass_mouse_events = true;\n", "\n", " canvas_div.resizable({\n", " start: function(event, ui) {\n", " pass_mouse_events = false;\n", " },\n", " resize: function(event, ui) {\n", " fig.request_resize(ui.size.width, ui.size.height);\n", " },\n", " stop: function(event, ui) {\n", " pass_mouse_events = true;\n", " fig.request_resize(ui.size.width, ui.size.height);\n", " },\n", " });\n", "\n", " function mouse_event_fn(event) {\n", " if (pass_mouse_events)\n", " return fig.mouse_event(event, event['data']);\n", " }\n", "\n", " rubberband.mousedown('button_press', mouse_event_fn);\n", " rubberband.mouseup('button_release', mouse_event_fn);\n", " // Throttle sequential mouse events to 1 every 20ms.\n", " rubberband.mousemove('motion_notify', mouse_event_fn);\n", "\n", " rubberband.mouseenter('figure_enter', mouse_event_fn);\n", " rubberband.mouseleave('figure_leave', mouse_event_fn);\n", "\n", " canvas_div.on(\"wheel\", function (event) {\n", " event = event.originalEvent;\n", " event['data'] = 'scroll'\n", " if (event.deltaY < 0) {\n", " event.step = 1;\n", " } else {\n", " event.step = -1;\n", " }\n", " mouse_event_fn(event);\n", " });\n", "\n", " canvas_div.append(canvas);\n", " canvas_div.append(rubberband);\n", "\n", " this.rubberband = rubberband;\n", " this.rubberband_canvas = rubberband[0];\n", " this.rubberband_context = rubberband[0].getContext(\"2d\");\n", " this.rubberband_context.strokeStyle = \"#000000\";\n", "\n", " this._resize_canvas = function(width, height) {\n", " // Keep the size of the canvas, canvas container, and rubber band\n", " // canvas in synch.\n", " canvas_div.css('width', width)\n", " canvas_div.css('height', height)\n", "\n", " canvas.attr('width', width * mpl.ratio);\n", " canvas.attr('height', height * mpl.ratio);\n", " canvas.attr('style', 'width: ' + width + 'px; height: ' + height + 'px;');\n", "\n", " rubberband.attr('width', width);\n", " rubberband.attr('height', height);\n", " }\n", "\n", " // Set the figure to an initial 600x600px, this will subsequently be updated\n", " // upon first draw.\n", " this._resize_canvas(600, 600);\n", "\n", " // Disable right mouse context menu.\n", " $(this.rubberband_canvas).bind(\"contextmenu\",function(e){\n", " return false;\n", " });\n", "\n", " function set_focus () {\n", " canvas.focus();\n", " canvas_div.focus();\n", " }\n", "\n", " window.setTimeout(set_focus, 100);\n", "}\n", "\n", "mpl.figure.prototype._init_toolbar = function() {\n", " var fig = this;\n", "\n", " var nav_element = $('
')\n", " nav_element.attr('style', 'width: 100%');\n", " this.root.append(nav_element);\n", "\n", " // Define a callback function for later on.\n", " function toolbar_event(event) {\n", " return fig.toolbar_button_onclick(event['data']);\n", " }\n", " function toolbar_mouse_event(event) {\n", " return fig.toolbar_button_onmouseover(event['data']);\n", " }\n", "\n", " for(var toolbar_ind in mpl.toolbar_items) {\n", " var name = mpl.toolbar_items[toolbar_ind][0];\n", " var tooltip = mpl.toolbar_items[toolbar_ind][1];\n", " var image = mpl.toolbar_items[toolbar_ind][2];\n", " var method_name = mpl.toolbar_items[toolbar_ind][3];\n", "\n", " if (!name) {\n", " // put a spacer in here.\n", " continue;\n", " }\n", " var button = $('');\n", " button.click(method_name, toolbar_event);\n", " button.mouseover(tooltip, toolbar_mouse_event);\n", " nav_element.append(button);\n", " }\n", "\n", " // Add the status bar.\n", " var status_bar = $('');\n", " nav_element.append(status_bar);\n", " this.message = status_bar[0];\n", "\n", " // Add the close button to the window.\n", " var buttongrp = $('
');\n", " var button = $('');\n", " button.click(function (evt) { fig.handle_close(fig, {}); } );\n", " button.mouseover('Stop Interaction', toolbar_mouse_event);\n", " buttongrp.append(button);\n", " var titlebar = this.root.find($('.ui-dialog-titlebar'));\n", " titlebar.prepend(buttongrp);\n", "}\n", "\n", "mpl.figure.prototype._root_extra_style = function(el){\n", " var fig = this\n", " el.on(\"remove\", function(){\n", "\tfig.close_ws(fig, {});\n", " });\n", "}\n", "\n", "mpl.figure.prototype._canvas_extra_style = function(el){\n", " // this is important to make the div 'focusable\n", " el.attr('tabindex', 0)\n", " // reach out to IPython and tell the keyboard manager to turn it's self\n", " // off when our div gets focus\n", "\n", " // location in version 3\n", " if (IPython.notebook.keyboard_manager) {\n", " IPython.notebook.keyboard_manager.register_events(el);\n", " }\n", " else {\n", " // location in version 2\n", " IPython.keyboard_manager.register_events(el);\n", " }\n", "\n", "}\n", "\n", "mpl.figure.prototype._key_event_extra = function(event, name) {\n", " var manager = IPython.notebook.keyboard_manager;\n", " if (!manager)\n", " manager = IPython.keyboard_manager;\n", "\n", " // Check for shift+enter\n", " if (event.shiftKey && event.which == 13) {\n", " this.canvas_div.blur();\n", " // select the cell after this one\n", " var index = IPython.notebook.find_cell_index(this.cell_info[0]);\n", " IPython.notebook.select(index + 1);\n", " }\n", "}\n", "\n", "mpl.figure.prototype.handle_save = function(fig, msg) {\n", " fig.ondownload(fig, null);\n", "}\n", "\n", "\n", "mpl.find_output_cell = function(html_output) {\n", " // Return the cell and output element which can be found *uniquely* in the notebook.\n", " // Note - this is a bit hacky, but it is done because the \"notebook_saving.Notebook\"\n", " // IPython event is triggered only after the cells have been serialised, which for\n", " // our purposes (turning an active figure into a static one), is too late.\n", " var cells = IPython.notebook.get_cells();\n", " var ncells = cells.length;\n", " for (var i=0; i= 3 moved mimebundle to data attribute of output\n", " data = data.data;\n", " }\n", " if (data['text/html'] == html_output) {\n", " return [cell, data, j];\n", " }\n", " }\n", " }\n", " }\n", "}\n", "\n", "// Register the function which deals with the matplotlib target/channel.\n", "// The kernel may be null if the page has been refreshed.\n", "if (IPython.notebook.kernel != null) {\n", " IPython.notebook.kernel.comm_manager.register_target('matplotlib', mpl.mpl_figure_comm);\n", "}\n" ], "text/plain": [ "" ] }, "metadata": {}, "output_type": "display_data" }, { "data": { "text/html": [ "" ], "text/plain": [ "" ] }, "metadata": {}, "output_type": "display_data" } ], "source": [ "#Capital Allocation\n", "cap_alloc = go.alloc('capital')\n", "alloc1 = cap_alloc.xs(report_date)\n", "go.cap_alloc_plot(alloc1)" ] }, { "cell_type": "code", "execution_count": 29, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "0.507475204467614" ] }, "execution_count": 29, "metadata": {}, "output_type": "execute_result" } ], "source": [ "#Average Portfolio Sales Turnover - as of last monthend from today\n", "go.avg_turnover()" ] }, { "cell_type": "code", "execution_count": 32, "metadata": {}, "outputs": [ { "data": { "text/html": [ "
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portCASHCLOMORTGAGESSTRUCTURED
periodenddate
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2013-06-301.02.027.04.0
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" ], "text/plain": [ "port CASH CLO MORTGAGES STRUCTURED\n", "periodenddate \n", "2013-01-31 1.0 NaN 3.0 1.0\n", "2013-02-28 1.0 1.0 9.0 3.0\n", "2013-03-31 1.0 3.0 17.0 2.0\n", "2013-04-30 1.0 3.0 20.0 2.0\n", "2013-05-31 1.0 2.0 23.0 2.0\n", "2013-06-30 1.0 2.0 27.0 4.0\n", "2013-07-31 1.0 2.0 27.0 4.0\n", "2013-08-31 1.0 2.0 33.0 4.0\n", "2013-09-30 1.0 2.0 34.0 4.0\n", "2013-10-31 1.0 3.0 30.0 4.0\n", "2013-11-30 1.0 3.0 33.0 4.0\n", "2013-12-31 1.0 4.0 29.0 4.0\n", "2014-01-31 1.0 4.0 25.0 4.0\n", "2014-02-28 1.0 5.0 23.0 5.0\n", "2014-03-31 1.0 5.0 27.0 5.0\n", "2014-04-30 1.0 5.0 24.0 5.0\n", "2014-05-31 1.0 6.0 21.0 5.0\n", "2014-06-30 1.0 7.0 22.0 7.0\n", "2014-07-31 1.0 6.0 17.0 6.0\n", "2014-08-31 1.0 6.0 16.0 6.0\n", "2014-09-30 1.0 6.0 15.0 6.0\n", "2014-10-31 1.0 6.0 18.0 7.0\n", "2014-11-30 1.0 6.0 19.0 7.0\n", "2014-12-31 1.0 6.0 18.0 8.0\n", "2015-01-31 1.0 6.0 23.0 9.0\n", "2015-02-28 1.0 6.0 27.0 9.0\n", "2015-03-31 1.0 6.0 26.0 10.0\n", "2015-04-30 1.0 6.0 35.0 10.0\n", "2015-05-31 1.0 6.0 43.0 10.0\n", "2015-06-30 1.0 7.0 40.0 14.0\n", "2015-07-31 1.0 7.0 45.0 14.0\n", "2015-08-31 1.0 7.0 45.0 14.0\n", "2015-09-30 1.0 7.0 56.0 14.0\n", "2015-10-31 1.0 7.0 56.0 14.0\n", "2015-11-30 1.0 7.0 54.0 14.0\n", "2015-12-31 1.0 7.0 54.0 14.0\n", "2016-01-31 1.0 9.0 60.0 14.0\n", "2016-02-29 1.0 9.0 59.0 14.0\n", "2016-03-31 1.0 9.0 60.0 14.0\n", "2016-04-30 1.0 7.0 64.0 14.0\n", "2016-05-31 1.0 5.0 65.0 14.0\n", "2016-06-30 1.0 5.0 67.0 14.0\n", "2016-07-31 1.0 5.0 67.0 14.0\n", "2016-08-31 1.0 3.0 58.0 14.0\n", "2016-09-30 1.0 2.0 53.0 14.0\n", "2016-10-31 1.0 1.0 64.0 14.0\n", "2016-11-30 1.0 1.0 60.0 14.0\n", "2016-12-31 1.0 1.0 63.0 14.0\n", "2017-01-31 1.0 1.0 69.0 12.0\n", "2017-02-28 1.0 NaN 66.0 12.0\n", "2017-03-31 1.0 1.0 69.0 11.0\n", "2017-04-30 1.0 1.0 68.0 11.0\n", "2017-05-31 1.0 NaN 63.0 11.0\n", "2017-06-30 1.0 1.0 64.0 7.0\n", "2017-07-31 1.0 1.0 64.0 7.0\n", "2017-08-31 1.0 1.0 63.0 7.0\n", "2017-09-30 1.0 1.0 68.0 7.0\n", "2017-10-31 1.0 1.0 66.0 7.0\n", "2017-11-30 1.0 1.0 65.0 7.0\n", "2017-12-31 1.0 1.0 65.0 7.0" ] }, "execution_count": 32, "metadata": {}, "output_type": "execute_result" } ], "source": [ "#Number of bond positions by strategy by month - and copy to clipboard\n", "go.num_bond_by_strat()" ] }, { "cell_type": "code", "execution_count": 33, "metadata": {}, "outputs": [ { "data": { "text/html": [ "
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" ], "text/plain": [ "buysell False True \n", "2013-01-31 NaN 4.0\n", "2013-02-28 3.0 17.0\n", "2013-03-31 1.0 11.0\n", "2013-04-30 6.0 10.0\n", "2013-05-31 12.0 15.0\n", "2013-06-30 11.0 17.0\n", "2013-07-31 6.0 7.0\n", "2013-08-31 4.0 10.0\n", "2013-09-30 13.0 15.0\n", "2013-10-31 10.0 10.0\n", "2013-11-30 6.0 10.0\n", "2013-12-31 6.0 4.0\n", "2014-01-31 10.0 6.0\n", "2014-02-28 6.0 7.0\n", "2014-03-31 2.0 7.0\n", "2014-04-30 4.0 2.0\n", "2014-05-31 6.0 6.0\n", "2014-06-30 2.0 5.0\n", "2014-07-31 6.0 1.0\n", "2014-08-31 3.0 2.0\n", "2014-09-30 6.0 5.0\n", "2014-10-31 4.0 7.0\n", "2014-11-30 2.0 3.0\n", "2014-12-31 4.0 4.0\n", "2015-01-31 NaN 9.0\n", "2015-02-28 5.0 10.0\n", "2015-03-31 5.0 6.0\n", "2015-04-30 3.0 15.0\n", "2015-05-31 5.0 13.0\n", "2015-06-30 8.0 13.0\n", "2015-07-31 4.0 12.0\n", "2015-08-31 8.0 9.0\n", "2015-09-30 2.0 13.0\n", "2015-10-31 12.0 8.0\n", "2015-11-30 5.0 3.0\n", "2015-12-31 3.0 NaN\n", "2016-01-31 3.0 12.0\n", "2016-02-29 2.0 2.0\n", "2016-03-31 4.0 5.0\n", "2016-04-30 4.0 7.0\n", "2016-05-31 2.0 4.0\n", "2016-06-30 6.0 10.0\n", "2016-07-31 0.0 0.0\n", "2016-08-31 17.0 11.0\n", "2016-09-30 8.0 3.0\n", "2016-10-31 1.0 13.0\n", "2016-11-30 6.0 3.0\n", "2016-12-31 1.0 4.0\n", "2017-01-31 NaN 7.0\n", "2017-02-28 5.0 2.0\n", "2017-03-31 1.0 7.0\n", "2017-04-30 3.0 3.0\n", "2017-05-31 7.0 3.0\n", "2017-06-30 3.0 5.0\n", "2017-07-31 1.0 1.0\n", "2017-08-31 3.0 3.0\n", "2017-09-30 NaN 5.0\n", "2017-10-31 3.0 4.0\n", "2017-11-30 3.0 2.0" ] }, "execution_count": 33, "metadata": {}, "output_type": "execute_result" } ], "source": [ "#Number of bond trades by direction by month - and copy to clipboard\n", "go.num_bond_trades()" ] }, { "cell_type": "code", "execution_count": 74, "metadata": { "collapsed": true }, "outputs": [], "source": [ "df = cap_alloc.endbooknav.groupby('periodenddate').apply(lambda x: x/x.sum())\n", "df = df.unstack().groupby(pd.TimeGrouper('M')).apply(lambda df: df.loc[df.index[-1]])\n", "df = go.shift_cash(datetime.date(2017,11,30), -2096454, df, 'Curve')\n", "temp = df.iloc[-1].sort_values(ascending=False)\n", "df = df.reindex_axis(temp.index, axis=1)" ] }, { "cell_type": "code", "execution_count": 75, "metadata": {}, "outputs": [ { "data": { "application/javascript": [ "/* Put everything inside the global mpl namespace */\n", "window.mpl = {};\n", "\n", "\n", "mpl.get_websocket_type = function() {\n", " if (typeof(WebSocket) !== 'undefined') {\n", " return WebSocket;\n", " } else if (typeof(MozWebSocket) !== 'undefined') {\n", " return MozWebSocket;\n", " } else {\n", " alert('Your browser does not have WebSocket support.' +\n", " 'Please try Chrome, Safari or Firefox ≥ 6. ' +\n", " 'Firefox 4 and 5 are also supported but you ' +\n", " 'have to enable WebSockets in about:config.');\n", " };\n", "}\n", "\n", "mpl.figure = function(figure_id, websocket, ondownload, parent_element) {\n", " this.id = figure_id;\n", "\n", " this.ws = websocket;\n", "\n", " this.supports_binary = (this.ws.binaryType != undefined);\n", "\n", " if (!this.supports_binary) {\n", " var warnings = document.getElementById(\"mpl-warnings\");\n", " if (warnings) {\n", " warnings.style.display = 'block';\n", " warnings.textContent = (\n", " \"This browser does not support binary websocket messages. \" +\n", " \"Performance may be slow.\");\n", " }\n", " }\n", "\n", " this.imageObj = new Image();\n", "\n", " this.context = undefined;\n", " this.message = undefined;\n", " this.canvas = undefined;\n", " this.rubberband_canvas = undefined;\n", " this.rubberband_context = undefined;\n", " this.format_dropdown = undefined;\n", "\n", " this.image_mode = 'full';\n", "\n", " this.root = $('
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