{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#%matplotlib nbagg\n",
    "\n",
    "import os\n",
    "import sys\n",
    "sys.path.append(os.path.join(os.environ['CODE_DIR'], 'python', 'exploration'))\n",
    "sys.path.append(os.path.join(os.environ['CODE_DIR'], 'python'))\n",
    "import curve_trades as ct\n",
    "import matplotlib.pyplot as plt\n",
    "import pandas as pd"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "index = 'IG'\n",
    "on_the_run = 28"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#On the run spread differences\n",
    "spreads_diff = ct.curve_spread_diff(index, on_the_run)\n",
    "spreads_diff.plot()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#Table of Spread Differences, and Z-score of current spread differences\n",
    "ct.spreads_diff_table(spreads_diff)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#Theta per unit duration\n",
    "ct.theta_matrix_by_series(index, on_the_run)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#on the run theta\n",
    "ct.on_the_run_theta(index, on_the_run)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#Curve Trade returns\n",
    "ct.curve_returns()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "ct.cross_series_curve()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#Theta with 3-5-10 Strategy\n",
    "theta_ratio_within_series = ct.theta_ratio_within_series()\n",
    "ct.curve_3_5_10(theta_ratio_within_series)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#Theta with 5-10 Strategy\n",
    "ct.curve_5_10(theta_ratio_within_series)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  }
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