adding index spread, duration and changes

MarekOzana · Dec 23, 2024 · 112dfcf · 112dfcf
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diff --git a/docs/examples/credits.ipynb b/docs/examples/credits.ipynb
@@ -0,0 +1,104 @@
+{
+ "cells": [
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "# Credit Fixed Income Examples\n",
+    "(c) 2024 Marek Ozana"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 1,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "from polars_bloomberg import BQuery\n"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## Monthly Spreads, Spread diff and Return for HY Index"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 23,
+   "metadata": {},
+   "outputs": [
+    {
+     "data": {
+      "text/html": [
+       "<div><style>\n",
+       ".dataframe > thead > tr,\n",
+       ".dataframe > tbody > tr {\n",
+       "  text-align: right;\n",
+       "  white-space: pre-wrap;\n",
+       "}\n",
+       "</style>\n",
+       "<small>shape: (3, 6)</small><table border=\"1\" class=\"dataframe\"><thead><tr><th>ID</th><th>#oas_s</th><th>DATE</th><th>#dOAS</th><th>#dur</th><th>#ret</th></tr><tr><td>str</td><td>f64</td><td>date</td><td>f64</td><td>f64</td><td>f64</td></tr></thead><tbody><tr><td>&quot;LG30TRUU Index&quot;</td><td>363.0336</td><td>2024-10-31</td><td>-19.6782</td><td>3.533628</td><td>-0.630516</td></tr><tr><td>&quot;LG30TRUU Index&quot;</td><td>347.1513</td><td>2024-11-29</td><td>-15.8823</td><td>3.534758</td><td>0.820944</td></tr><tr><td>&quot;LG30TRUU Index&quot;</td><td>349.5959</td><td>2024-12-23</td><td>2.4446</td><td>3.614952</td><td>-0.622827</td></tr></tbody></table></div>"
+      ],
+      "text/plain": [
+       "shape: (3, 6)\n",
+       "┌────────────────┬──────────┬────────────┬──────────┬──────────┬───────────┐\n",
+       "│ ID             ┆ #oas_s   ┆ DATE       ┆ #dOAS    ┆ #dur     ┆ #ret      │\n",
+       "│ ---            ┆ ---      ┆ ---        ┆ ---      ┆ ---      ┆ ---       │\n",
+       "│ str            ┆ f64      ┆ date       ┆ f64      ┆ f64      ┆ f64       │\n",
+       "╞════════════════╪══════════╪════════════╪══════════╪══════════╪═══════════╡\n",
+       "│ LG30TRUU Index ┆ 363.0336 ┆ 2024-10-31 ┆ -19.6782 ┆ 3.533628 ┆ -0.630516 │\n",
+       "│ LG30TRUU Index ┆ 347.1513 ┆ 2024-11-29 ┆ -15.8823 ┆ 3.534758 ┆ 0.820944  │\n",
+       "│ LG30TRUU Index ┆ 349.5959 ┆ 2024-12-23 ┆ 2.4446   ┆ 3.614952 ┆ -0.622827 │\n",
+       "└────────────────┴──────────┴────────────┴──────────┴──────────┴───────────┘"
+      ]
+     },
+     "execution_count": 23,
+     "metadata": {},
+     "output_type": "execute_result"
+    }
+   ],
+   "source": [
+    "# Get data\n",
+    "query = \"\"\"\n",
+    "    let(\n",
+    "        #oas_s=spread(spread_type=OAS_SWAP, universe_type=RETURNS);\n",
+    "        #dOAS = diff(#oas_s);\n",
+    "        #dur = duration(universe_type=RETURNS);\n",
+    "        #ret = pct_diff(px_last());\n",
+    "    )\n",
+    "    get(#oas_s, #dOAS, #dur, #ret)\n",
+    "    for('LG30TRUU Index')\n",
+    "    with(dates=range(-3M, 0D), fill=PREV, per=M)\n",
+    "\"\"\"\n",
+    "\n",
+    "with BQuery() as bq:\n",
+    "    df = bq.bql(query).combine().drop_nulls()\n",
+    "\n",
+    "df"
+   ]
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": ".venv",
+   "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": "3.12.8"
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 2
+}
diff --git a/mkdocs.yml b/mkdocs.yml
@@ -25,4 +25,5 @@ nav:
     - BQL: usage/bql.md
   - Examples:
     - Equity: examples/equity.ipynb
+    - Credits: examples/credits.ipynb
   - API Reference: api.md