{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "%matplotlib inline\n",
    "\n",
    "import beta_trade\n",
    "import matplotlib.pyplot as plt\n",
    "from scipy.stats.mstats import zscore"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "betas = beta_trade.calc_betas(spans=[20,45,90,180], index_list = ['HY','IG','EU', 'XO'])"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "# HY -- IG\n",
    "df = betas.xs('HY', level='index')\n",
    "df = df.xs('IG', level='index', axis = 1)\n",
    "plt.plot(df)\n",
    "plt.xlabel('date')\n",
    "plt.ylabel('beta')\n",
    "plt.legend()\n",
    "df.iloc[-1]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "# HY -- EU\n",
    "df = betas.xs('EU', level='index')\n",
    "returns = beta_trade.calc_returns(index_list = ['HY','IG','EU'])\n",
    "returns.ewm(span=180).cov().groupby(level='date').nth(-1)\n",
    "df = df.xs('HY', level='index', axis = 1)\n",
    "plt.plot(df)\n",
    "plt.xlabel('date')\n",
    "plt.ylabel('beta')\n",
    "plt.legend()\n",
    "df.iloc[-1]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "# IG -- EU\n",
    "df = betas.xs('EU', level='index')\n",
    "df = df.xs('IG', level='index', axis = 1)\n",
    "plt.plot(df)\n",
    "plt.xlabel('date')\n",
    "plt.ylabel('beta')\n",
    "plt.legend()\n",
    "df.iloc[-1]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "# HY -- XO\n",
    "df = betas.xs('XO', level='index')\n",
    "returns = beta_trade.calc_returns(index_list = ['HY','IG','XO'])\n",
    "returns.ewm(span=180).cov().groupby(level='date').nth(-1)\n",
    "df = df.xs('HY', level='index', axis = 1)\n",
    "plt.plot(df)\n",
    "plt.xlabel('date')\n",
    "plt.ylabel('beta')\n",
    "plt.legend()\n",
    "df.iloc[-1]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#---------------------------------------------------------------------------------------------------------\n",
    "#now look at spread rato\n",
    "spreads = beta_trade.spreads_ratio()\n",
    "spreads['ratio'].plot()\n",
    "spreads['ratio'][-1]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "z = zscore(spreads.ratio)\n",
    "plt.plot(z)\n",
    "z[-1]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "run ../exploration/beta_trade.py"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "prog"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
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   "execution_count": null,
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   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
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   "cell_type": "code",
   "execution_count": null,
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   "cell_type": "code",
   "execution_count": null,
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