Small fixes to factor analysis

jmbejara · Aug 7, 2024 · 45f966e · 45f966e
1 parent dda0065
commit 45f966e
Showing 1 changed file with 2 additions and 10 deletions.
diff --git a/src/03_factor_analysis_demo.ipynb b/src/03_factor_analysis_demo.ipynb
@@ -377,9 +377,9 @@
    "source": [
     "# 'High Yield Index OAS': Leave as is\n",
     "dfn['High Yield Index OAS'] = df['High Yield Index OAS']\n",
-    "dfn['CP - Treasury Spread, 3m'] = df['90-Day AA Fin CP'] - df['10-Year Treasury']\n",
+    "dfn['CP - Treasury Spread, 3m'] = df['90-Day AA Fin CP'] - df['3-Month T-Bill']\n",
     "# 'NASDAQ':  # We're using something different, but still apply rolling mean transformation\n",
-    "dfn['NASDAQ'] = df['NASDAQ'] - df['NASDAQ'].rolling(250).mean()\n",
+    "dfn['NASDAQ'] = np.log(df['NASDAQ']) - np.log(df['NASDAQ'].rolling(250).mean())\n",
     "dfn['10-Year Treasury'] = df['10-Year Treasury'] - df['10-Year Treasury'].rolling(250).mean()\n",
     "# 'VIX': Leave as is\n",
     "dfn['VIX'] = df['VIX']"
@@ -716,14 +716,6 @@
    "source": [
     "pc1.cumsum().plot()"
    ]
-  },
-  {
-   "cell_type": "markdown",
-   "metadata": {},
-   "source": [
-    " - Why does this plot only go back to 2019? What happened? \n",
-    " - What are methods that we might use to deal with missing data?"
-   ]
   }
  ],
  "metadata": {