removing tracker file and progress on the example file

Author: gusamarante

example.py

@@ -1,6 +1,9 @@
+# TODO Turn this into a jupyter notebook
+
 from pyacm import NominalACM
 
 import matplotlib.pyplot as plt
+import matplotlib.dates as mdates
 import pandas as pd
 import numpy as np
 
@@ -9,10 +12,119 @@
     "sample_data/di monthly maturities.csv",
     index_col=0,
 )
-yield_curve = yield_curve.iloc[:, :120]  # maturities up to 10y
+yield_curve = yield_curve.iloc[:, :121]  # maturities up to 10y
 yield_curve = yield_curve.dropna()
 yield_curve.index = pd.to_datetime(yield_curve.index)
+yield_curve = yield_curve[yield_curve.index >= "2007-03-01"]  # TODO deal with this missing data
+
 
+# Plot the Series of selcted maturities
 yield_curve[["12m", "24m", "60m", "120m"]].plot(legend=True, title="Yields for Selected Maturities", grid=True)
 plt.tight_layout()
-plt.show()
+plt.show()
+
+# Run the model
+acm = NominalACM(
+    curve=yield_curve,
+    n_factors=5,
+)
+
+# Excess returns of synthetic bonds
+acm.rx_m[["12m", "24m", "60m"]].plot(legend=True, title="Monthly excess returns of synthetic bonds", grid=True)
+plt.tight_layout()
+plt.show()
+
+
+# Principal components
+acm.pc_factors_d.plot(legend=True, title="Principal Components of the Curve", grid=True)
+plt.tight_layout()
+plt.show()
+
+
+# Fitted VS Observed
+fig = plt.figure(figsize=(5 * (16 / 9), 5))
+ax = plt.subplot2grid((1, 2), (0, 0))
+mat = "24m"
+ax.plot(acm.curve[mat], label='Observed')
+ax.plot(acm.miy[mat], label='Fitted')
+ax.set_title(f"{mat} DI Futures")
+ax.xaxis.grid(color="grey", linestyle="-", linewidth=0.5, alpha=0.5)
+ax.yaxis.grid(color="grey", linestyle="-", linewidth=0.5, alpha=0.5)
+ax.xaxis.set_major_formatter(mdates.DateFormatter("%Y"))
+ax.tick_params(rotation=90, axis="x")
+ax.legend(frameon=True, loc="best")
+
+ax = plt.subplot2grid((1, 2), (0, 1))
+mat = "60m"
+ax.plot(acm.curve[mat], label='Observed')
+ax.plot(acm.miy[mat], label='Fitted')
+ax.set_title(f"{mat} DI Futures")
+ax.xaxis.grid(color="grey", linestyle="-", linewidth=0.5, alpha=0.5)
+ax.yaxis.grid(color="grey", linestyle="-", linewidth=0.5, alpha=0.5)
+ax.xaxis.set_major_formatter(mdates.DateFormatter("%Y"))
+ax.tick_params(rotation=90, axis="x")
+ax.legend(frameon=True, loc="best")
+
+plt.tight_layout()
+plt.show()
+
+
+# Risk Neutral vs market
+fig = plt.figure(figsize=(5 * (16 / 9), 5))
+ax = plt.subplot2grid((1, 2), (0, 0))
+mat = "24m"
+ax.plot(acm.curve[mat], label='Observed')
+ax.plot(acm.rny[mat], label='Risk-Neutral')
+ax.set_title(f"{mat} DI Futures VS Risk-Neutral")
+ax.xaxis.grid(color="grey", linestyle="-", linewidth=0.5, alpha=0.5)
+ax.yaxis.grid(color="grey", linestyle="-", linewidth=0.5, alpha=0.5)
+ax.xaxis.set_major_formatter(mdates.DateFormatter("%Y"))
+ax.tick_params(rotation=90, axis="x")
+ax.legend(frameon=True, loc="best")
+
+ax = plt.subplot2grid((1, 2), (0, 1))
+mat = "60m"
+ax.plot(acm.curve[mat], label='Observed')
+ax.plot(acm.rny[mat], label='Risk-Neutral')
+ax.set_title(f"{mat} DI Futures VS Risk-Neutral")
+ax.xaxis.grid(color="grey", linestyle="-", linewidth=0.5, alpha=0.5)
+ax.yaxis.grid(color="grey", linestyle="-", linewidth=0.5, alpha=0.5)
+ax.xaxis.set_major_formatter(mdates.DateFormatter("%Y"))
+ax.tick_params(rotation=90, axis="x")
+ax.legend(frameon=True, loc="best")
+
+plt.tight_layout()
+plt.show()
+
+# Term premium
+fig = plt.figure(figsize=(5 * (16 / 9), 5))
+ax = plt.subplot2grid((1, 1), (0, 0))
+ax.plot(acm.tp["24m"], label='24m')
+ax.plot(acm.tp["60m"], label='60m')
+ax.set_title(f"Term Premium for DI Futures")
+ax.xaxis.grid(color="grey", linestyle="-", linewidth=0.5, alpha=0.5)
+ax.yaxis.grid(color="grey", linestyle="-", linewidth=0.5, alpha=0.5)
+ax.xaxis.set_major_formatter(mdates.DateFormatter("%Y"))
+ax.tick_params(rotation=90, axis="x")
+ax.legend(frameon=True, loc="best")
+
+plt.tight_layout()
+plt.show()
+
+# Term Premium VS Expected Returns
+fig = plt.figure(figsize=(5 * (16 / 9), 5))
+ax = plt.subplot2grid((1, 1), (0, 0))
+ax.plot(acm.tp["60m"], label='Term Premium')
+ax.plot(acm.er_hist_d["60m"], label='Expected Return')
+ax.set_title(f"Term Premium VS Expected Return")
+ax.xaxis.grid(color="grey", linestyle="-", linewidth=0.5, alpha=0.5)
+ax.yaxis.grid(color="grey", linestyle="-", linewidth=0.5, alpha=0.5)
+ax.xaxis.set_major_formatter(mdates.DateFormatter("%Y"))
+ax.tick_params(rotation=90, axis="x")
+ax.legend(frameon=True, loc="best")
+
+plt.tight_layout()
+plt.show()
+
+
+# TODO mkt implied vs RN implied VS realized (develop)