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{
"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": [
"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_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": [
"ct.curve_5_10(theta_ratio_within_series)"
]
},
{
"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
}
|
