{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "from bbg_helpers import retrieve_data, init_bbg_session, BBG_IP\n",
    "import pandas as pd"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "with init_bbg_session(BBG_IP) as session:\n",
    "    hist_data = retrieve_data(session, [\"USFS022 Curncy\", \"USFS0230 Curncy\"], [\"PX_LAST\"], start_date=pd.datetime(1994, 1, 1))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "df = pd.concat(hist_data).unstack(level=0)\n",
    "df.columns = ['2-2', '2-30']\n",
    "df.plot(title='2yr forward swap rates')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#not sure why this doesn't work\n",
    "#df.pct_change().rolling(window='91D').corr().unstack(1)[('2-2', '2-30')].plot()\n",
    "#rolling 3 months correlation\n",
    "df.pct_change().rolling(window=63).corr().unstack(1)[('2-2', '2-30')].plot()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#3months realized vol\n",
    "roll = df.pct_change().rolling(window=63).std().plot()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "with init_bbg_session(BBG_IP) as session:\n",
    "    hist_data_210 = retrieve_data(session, [\"USSW2 Curncy\", \"USSW10 Curncy\"], [\"PX_LAST\"], start_date=pd.datetime(1994, 1, 1))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "df = pd.concat(hist_data).unstack(level=0)\n",
    "df.columns = ['2y_swap', '10y_swap']\n",
    "df['diff'] = df['10y_swap'] - df['2y_swap']\n",
    "df.plot(title='Historical swap rates')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  }
 ],
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