path: root/python/beta_trade.py

import pandas as pd
from option_trades import index_price_returns

returns = pd.concat([index_price_returns(index=i) for i in ['IG', 'HY']], axis=1)
returns.columns = ['ig', 'hy']
model = pd.ols(y = returns.hy, x=returns.x)
beta = model.beta.x