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{
"cells": [
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"%matplotlib inline\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 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'])"
]
},
{
"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('HY', level='index')\n",
"df = df.xs('EU', 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",
"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": [
"#---------------------------------------------------------------------------------------------------------\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": []
}
],
"metadata": {
"kernelspec": {
"display_name": "Python 3",
"language": "python",
"name": "python3"
},
"language_info": {
"codemirror_mode": {
"name": "ipython",
"version": 3
},
"file_extension": ".py",
"mimetype": "text/x-python",
"name": "python",
"nbconvert_exporter": "python",
"pygments_lexer": "ipython3",
"version": "3.6.1"
}
},
"nbformat": 4,
"nbformat_minor": 2
}
|
