%load_ext autoreload
%autoreload 2
import pandas as pd
from IPython.display import Markdown
from tulip.data.bloomberg import BloombergClient as bb
from tulip.plots import plot_line, plot_lines

import plotly.offline as pyo

pyo.init_notebook_mode(connected=True)

Currencies¶

This is a work in progress we only have one-off charts for now. It only has this interest rate differential

start_date = "1980-01-01"

fixed_income = {
    "USA": ["GTUSD5Y Govt", "GTUSD10Y Govt", "USGGBE05 Index", "USGGBE10 Index"],
    "EUR": ["GTEUR5Y Govt", "GTEUR10Y Govt", "DEGGBE05 Index", "DEGGBE10 Index"],
    "JPN": ["GTJPY5Y Govt", "GTJPY10Y Govt", "JYGGBE05 Index", "JYGGBE10 Index"],
}

spot_fx = {"EUR": "EUR", "JPN": "JPY"}

eur = bb.get_fx(
    quoted_currency="EUR",
    dollar_as_base=True,
    start_date=start_date,
)
jpy = bb.get_fx(
    quoted_currency="JPY",
    dollar_as_base=True,
    start_date=start_date,
)

fixed_income_data = {}
data_df = {}
for ctry, tickers in fixed_income.items():
    fixed_income_data[ctry] = [bb.bdh(t) for t in tickers]
    data_df[ctry] = pd.concat(fixed_income_data[ctry], axis=1).xs(
        "PX_LAST", level=1, axis=1
    )
    data_df[ctry].columns = ["NOM_5Y", "NOM_10Y", "BEI_10Y", "BEI_5Y"]
    if ctry == "USA":
        data_df[ctry]["spot_fx"] = 1
    else:
        data_df[ctry]["spot_fx"] = bb.get_fx(
            quoted_currency=spot_fx[ctry], dollar_as_base=True, start_date=start_date
        )
data_df = pd.concat(data_df, axis=1).sort_index()

fig = plot_line(
    blue=data_df.loc[:, ("EUR", "spot_fx")].rename("EUR"),
    red=data_df.loc[:, ("USA", "NOM_5Y")]
    .ffill()
    .sub(data_df.loc[:, ("EUR", "NOM_5Y")].ffill())
    .rename("5Y Nominal Yield Diff"),
    years_limit=2,
    align_z=True,
    figsize=(900, 400),
)
fig.show()

fig = plot_line(
    blue=data_df.loc[:, ("JPN", "spot_fx")].rename("JPY"),
    red=data_df.loc[:, ("USA", "NOM_5Y")]
    .ffill()
    .sub(data_df.loc[:, ("JPN", "NOM_5Y")].ffill())
    .rename("5Y Nominal Yield Diff"),
    years_limit=2,
    align_z=True,
    figsize=(900, 400),
)
fig.show()

from tulip_mania.notebook_related import notebook_updated

notebook_updated()