def test_famafrench_test(self):
self.load_data(start_date="2000-01-01")
try:
quandl.ApiConfig.api_key = 'Z2WYzGME3qmxnqQgBcdX'
ust = quandl.get("USTREASURY/YIELD", start_date="2000-01-01")
f = open('../writeup/tables/FFRegressionTables.tex', 'a')
for co in TestGenericFuture.co_tickers.keys(
): #["Corn", "Brent", "Lumber", "Copper", "Gold", "Wheat"]:
try:
commodity = co
expiries = pd.read_excel("../data/" + commodity +
"ContractExpiries.xlsx")
root_ticker = TestGenericFuture.co_tickers[commodity]
generic_futures = [1, 2]
tickers = [root_ticker + str(i) for i in generic_futures]
near_future_data = self.data.loc[:, tickers[0]]
far_future_data = self.data.loc[:, tickers[1]]
near_future_ticker = tickers[0]
far_future_ticker = tickers[1]
near_future = generic_futures[0]
far_future = generic_futures[1]
near_future_expiries = expiries[[
"Date", str(near_future) + "C_Expiry"
]].set_index("Date")
far_future_expiries = expiries[[
"Date", str(far_future) + "C_Expiry"
]].set_index("Date")
near_future = GenericFuture(ticker=near_future_ticker,
number=near_future,
data=near_future_data)
far_future = GenericFuture(ticker=far_future_ticker,
number=far_future,
data=far_future_data)
near_future.clean_data()
far_future.clean_data()
near_future.set_expiries(near_future_expiries)
far_future.set_expiries(far_future_expiries)
fit = near_future.famafrench_test(far_future,
ust["3 MO"] / 100,
log=False,
frequency='M')
print(commodity)
print(fit.summary())
f.write(fit.summary().as_latex())
f.write('''\newline''')
except KeyError:
print("Error in " + co)
pass
f.close()
except Exception as e:
self.fail(e)
def test_calculate_basis(self):
self.load_data(start_date="2000-01-01")
try:
all_basis = []
for co in TestGenericFuture.co_tickers.keys():
try:
commodity = co
expiries = pd.read_excel("../data/" + commodity +
"ContractExpiries.xlsx")
root_ticker = TestGenericFuture.co_tickers[commodity]
generic_futures = [1, 2]
tickers = [root_ticker + str(i) for i in generic_futures]
near_future_data = self.data.loc[:, tickers[0]]
far_future_data = self.data.loc[:, tickers[1]]
near_future_ticker = tickers[0]
far_future_ticker = tickers[1]
near_future = generic_futures[0]
far_future = generic_futures[1]
near_future_expiries = expiries[[
"Date", str(near_future) + "C_Expiry"
]].set_index("Date")
far_future_expiries = expiries[[
"Date", str(far_future) + "C_Expiry"
]].set_index("Date")
near_future = GenericFuture(ticker=near_future_ticker,
number=near_future,
data=near_future_data)
far_future = GenericFuture(ticker=far_future_ticker,
number=far_future,
data=far_future_data)
near_future.clean_data()
far_future.clean_data()
near_future.set_expiries(near_future_expiries)
far_future.set_expiries(far_future_expiries)
basis = near_future.calculate_basis(far_future,
log=True,
ffill=True)
all_basis.append(basis)
except KeyError:
pass
all_basis = pd.concat(all_basis, axis=1)
all_basis.to_excel("../data/AllBasisLog.xlsx")
all_basis = all_basis.resample('M', convention='end').last()
summary_description = all_basis.describe().round(2).to_latex()
f = open('../writeup/tables/SummaryStatistics.tex', 'w')
f.write(summary_description)
f.close()
sns.set(rc={"grid.linewidth": 0.6, "figure.figsize": (11.7, 8.27)})
sns.set_style(style='whitegrid')
ax = sns.boxplot(data=all_basis)
ax.set_xticklabels(ax.get_xticklabels(), rotation=45)
ax.get_figure().savefig("../writeup/img/BasisBoxPlot.png")
#from statsmodels.graphics.tsaplots import plot_acf, plot_pacf
#plot_acf(nb.values.squeeze(), lags=40)
# basis.plot()
#lt.show()
#plot_pacf(near_future.series().values.squeeze(), lags=40)
#plt.show()
except Exception as e:
self.fail(e)
def main(**kwargs):
data = load_data(start_date="2000-01-01")
quandl.ApiConfig.api_key = 'Z2WYzGME3qmxnqQgBcdX'
ust = quandl.get("USTREASURY/YIELD", start_date="2000-01-01")
all_basis = list()
f = open('../tex/FFRegressionTables.tex', 'a')
for co in co_tickers.keys():
try:
commodity = co
expiries = pd.read_excel("../data/" + commodity +
"ContractExpiries.xlsx")
root_ticker = co_tickers[commodity]
generic_futures = [1, 2]
tickers = [root_ticker + str(i) for i in generic_futures]
near_future_data = data.loc[:, tickers[0]]
far_future_data = data.loc[:, tickers[1]]
near_future_ticker = tickers[0]
far_future_ticker = tickers[1]
near_future = generic_futures[0]
far_future = generic_futures[1]
near_future_expiries = expiries[[
"Date", str(near_future) + "C_Expiry"
]].set_index("Date")
far_future_expiries = expiries[[
"Date", str(far_future) + "C_Expiry"
]].set_index("Date")
near_future = GenericFuture(ticker=near_future_ticker,
number=near_future,
data=near_future_data)
far_future = GenericFuture(ticker=far_future_ticker,
number=far_future,
data=far_future_data)
near_future.clean_data()
far_future.clean_data()
near_future.set_expiries(near_future_expiries)
far_future.set_expiries(far_future_expiries)
basis = near_future.calculate_basis(far_future)
all_basis.append(basis)
fit = near_future.famafrench_test(far_future,
ust["3 MO"] / 100,
log=False,
frequency='M')
print(commodity)
print(fit.summary())
f.write(fit.summary().as_latex())
f.write(co)
except KeyError:
print("Error in " + co)
pass
f.close()
all_basis = pd.concat(all_basis, axis=1)
all_basis = all_basis.resample('M', convention='end').last()
all_basis.describe().round(2).drop(
index="count").to_latex("../tex/SummaryStatistics.tex")
ax = sns.boxplot(data=all_basis.drop(columns=["CME_RB1", "CME_PL1"]))
ax.get_figure().savefig("../tex/CYDistribution.png")
return