1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
|
import sys
sys.path.append("..")
import math
import os
import pandas as pd
try:
import feather
except ImportError:
pass
from analytics.index_data import index_returns, get_index_quotes
from arch import arch_model
from math import log, exp, sqrt
import numpy as np
from scipy.optimize import minimize_scalar
from statsmodels.tsa.ar_model import AR
import matplotlib.pyplot as plt
def calc_returns(index_list=['HY', 'IG'], save_feather=False):
returns = (index_returns(index=index_list, tenor='5yr', years=None).
reset_index(['tenor'], drop=True).
swaplevel(1, 0))
returns = returns.groupby(level=['date','index']).nth(-1)['price_return']
returns = returns.unstack().dropna()
#if save_feather:
# feather.write_dataframe(returns.reset_index(),
# os.path.join(os.environ["DATA_DIR"], "index_returns.fth"))
return returns
def calc_betas(returns=None, spans=[5, 20], index_list=['HY', 'IG']):
if returns is None:
returns = calc_returns(index_list=index_list)
return pd.concat([(returns.
ewm(span=span).
cov().
groupby(level='date').
apply(lambda df: df / np.diag(df))) for span in spans], axis=1, keys=spans)
def plot_betas(betas=None):
spans = [5, 20]
if betas is None:
betas = calc_betas(spans=spans)
for beta, span in zip(betas, spans):
plt.plot(beta, label='EWMA' + str(span))
plt.xlabel('date')
plt.ylabel('beta')
plt.legend()
def calc_realized_vol(returns=None):
# three ways of computing the volatility
# 1) 20 days simple moving average
# 2) exponentially weighted moving average
# 3) GARCH(1,1), we scale returns by 10 to help with the fitting
if returns is None:
returns = calc_returns()
vol_sma = returns.rolling(20).std() * math.sqrt(252)
vol_ewma = returns.ewm(span=20).std() * math.sqrt(252)
scale = 10
vol_garch = pd.DataFrame()
for index in returns:
am = arch_model(scale * returns[index].dropna())
res = am.fit()
vol_garch[index] = res.conditional_volatility * math.sqrt(252)/scale
vol = pd.concat([vol_sma, vol_ewma, vol_garch], axis=1, keys=['sma', 'ewma', 'garch'])
return vol
#feather.write_dataframe(beta_ewma.to_frame('beta'),
# os.path.join(os.environ['DATA_DIR'], "beta.fth"))
def spreads_ratio(series=list(range(22, 29)), index=['IG', 'HY'], tenor='5yr'):
df = get_index_quotes(series=series, index=index, tenor=tenor)
df = df['modelspread'].groupby(['date', 'index']).last().unstack()
df['ratio'] = df.HY / df.IG
return df
def loglik(beta, returns):
x = (returns.HY - beta*returns.IG)
model = AR(x, missing='drop')
fit = model.fit(maxlag=2)
return - fit.llf
if __name__ == "__main__":
returns = calc_returns()
betas = calc_betas(returns)
plot_betas(betas)
vol = calc_realized_vol(returns)
ratios = spreads_ratio()
prog = minimize_scalar(loglik, bracket=(3, 5), args=(returns,))
|
