362 lines
8.0 KiB
Plaintext
362 lines
8.0 KiB
Plaintext
{
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"cells": [
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{
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"cell_type": "markdown",
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"id": "8a2b2530",
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"metadata": {},
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"source": [
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"<div style=\"background-color:#000;\"><img src=\"pqn.png\"></img></div>"
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]
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},
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{
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"cell_type": "markdown",
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"id": "70c08f76",
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"metadata": {},
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"source": [
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"This code retrieves U.S. Treasury bond yield data using the OpenBB SDK and visualizes the yield curve over time. It sets up the necessary imports, initializes plotting parameters, and configures the OpenBB SDK with a FRED API key. The script extracts treasury yield data for various maturities and indicates whether the yield curve is inverted. An animation is created to dynamically display the yield curve changes over time, highlighting inversions in red."
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "f47685af",
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"metadata": {},
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"outputs": [],
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"source": [
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"import numpy as np\n",
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"import matplotlib.pyplot as plt\n",
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"import matplotlib.animation as animation"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "876b4eac",
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"metadata": {},
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"outputs": [],
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"source": [
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"from openbb_terminal.sdk import openbb"
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]
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},
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{
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"cell_type": "markdown",
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"id": "77931a95",
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"metadata": {},
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"source": [
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"Define font properties for the plot"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "21676002",
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"metadata": {},
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"outputs": [],
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"source": [
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"font = {\n",
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" \"family\": \"normal\",\n",
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" \"weight\": \"normal\",\n",
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" \"size\": 12\n",
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"}"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "b8a309f7",
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"metadata": {},
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"outputs": [],
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"source": [
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"plt.rc('font', **font)"
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]
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},
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{
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"cell_type": "markdown",
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"id": "24fa7787",
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"metadata": {},
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"source": [
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"Configure OpenBB SDK with FRED API key"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "3632ee19",
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"metadata": {},
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"outputs": [],
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"source": [
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"openbb.keys.fred(\n",
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" key=\"3d20c1fcbb26ea21b9f78fafbbdce900\",\n",
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" persist=True,\n",
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")"
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]
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},
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{
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"cell_type": "markdown",
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"id": "8bad0715",
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"metadata": {},
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"source": [
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"Define treasury bond maturities to be retrieved"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "ab0acba1",
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"metadata": {},
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"outputs": [],
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"source": [
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"maturities = ['3m', '6m', '1y', '2y', '3y', '5y', '7y', '10y', '30y']"
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]
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},
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{
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"cell_type": "markdown",
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"id": "717bade2",
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"metadata": {},
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"source": [
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"Retrieve treasury bond yield data from OpenBB SDK for specified maturities and time range"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "55e6010a",
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"metadata": {},
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"outputs": [],
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"source": [
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"data = openbb.economy.treasury(\n",
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" instruments=[\"nominal\"],\n",
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" maturities=maturities,\n",
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" start_date=\"1985-01-01\"\n",
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")"
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]
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},
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{
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"cell_type": "markdown",
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"id": "4edab174",
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"metadata": {},
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"source": [
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"Rename columns to match maturities list"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "96be72bd",
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"metadata": {},
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"outputs": [],
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"source": [
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"data.columns = maturities"
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]
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},
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{
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"cell_type": "markdown",
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"id": "ad0285d8",
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"metadata": {},
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"source": [
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"Add a column to indicate if yield curve is inverted (30y yield less than 3m yield)"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "b852c95a",
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"metadata": {},
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"outputs": [],
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"source": [
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"data[\"inverted\"] = data[\"30y\"] < data[\"3m\"]"
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]
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},
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{
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"cell_type": "markdown",
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"id": "3ee1c2ee",
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"metadata": {},
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"source": [
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"Initialize plot figure and axis"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "6a134e05",
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"metadata": {},
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"outputs": [],
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"source": [
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"fig = plt.figure()\n",
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"ax = fig.add_subplot(1, 1, 1)\n",
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"line, = ax.plot([], [])"
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]
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},
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{
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"cell_type": "markdown",
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"id": "2c115cca",
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"metadata": {},
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"source": [
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"Set x and y-axis limits for the plot"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "c552c60f",
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"metadata": {},
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"outputs": [],
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"source": [
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"ax.set_xlim(0, 7)\n",
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"ax.set_ylim(0, 20)"
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]
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},
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{
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"cell_type": "markdown",
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"id": "6014ed6b",
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"metadata": {},
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"source": [
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"Define tick locations and labels for both axes"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "24cb514e",
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"metadata": {},
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"outputs": [],
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"source": [
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"ax.set_xticks(range(8))\n",
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"ax.set_yticks([2, 4, 6, 8, 10, 12, 14, 16, 18])\n",
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"ax.set_xticklabels([\"1m\",\"3m\",\"6m\",\"1y\",\"5y\",\"10y\",\"20y\",\"30y\"])\n",
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"ax.set_yticklabels([2, 4, 6, 8, 10, 12, 14, 16, 18])"
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]
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},
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{
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"cell_type": "markdown",
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"id": "9c3581ec",
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"metadata": {},
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"source": [
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"Force y-axis labels to appear on the left side"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "af5728b1",
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"metadata": {},
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"outputs": [],
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"source": [
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"ax.yaxis.set_label_position(\"left\")\n",
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"ax.yaxis.tick_left()"
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]
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},
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{
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"cell_type": "markdown",
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"id": "e34a8998",
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"metadata": {},
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"source": [
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"Add labels for both axes"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "0e470b81",
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"metadata": {
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"lines_to_next_cell": 1
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},
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"outputs": [],
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"source": [
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"plt.ylabel(\"Yield (%)\")\n",
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"plt.xlabel(\"Time to maturty\")"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "25541eb8",
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"metadata": {
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"lines_to_next_cell": 1
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},
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"outputs": [],
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"source": [
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"def init_func():\n",
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" \"\"\"Initialize plot with empty data and title\"\"\"\n",
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" line.set_data([], [])\n",
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" plt.title(\"U.S. Treasury Bond Yield Curve\")\n",
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" return line"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "c3826d2c",
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"metadata": {
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"lines_to_next_cell": 1
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},
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"outputs": [],
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"source": [
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"def animate(i):\n",
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" \"\"\"Update plot data for each frame in the animation\n",
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" \n",
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" Parameters\n",
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" ----------\n",
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" i : int\n",
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" Current frame index\n",
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" \n",
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" Returns\n",
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" -------\n",
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" line : Line2D object\n",
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" \"\"\"\n",
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" x = range(0, len(maturities))\n",
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" y = data[maturities].iloc[i]\n",
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" dt_ = data.index[i].strftime(\"%Y-%m-%d\")\n",
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" \n",
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" # Change line color based on yield curve inversion\n",
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" if data.inverted.iloc[i]:\n",
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" line.set_color(\"r\")\n",
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" else:\n",
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" line.set_color(\"y\")\n",
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" \n",
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" line.set_data(x, y)\n",
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" \n",
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" plt.title(f\"U.S. Treasury Bond Yield Curve ({dt_})\")\n",
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" return line,"
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]
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},
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{
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"cell_type": "markdown",
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"id": "144c195f",
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"metadata": {},
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"source": [
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"Create animation for the yield curve using the animate function"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "7ccd9ff8",
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"metadata": {},
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"outputs": [],
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"source": [
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"ani = animation.FuncAnimation(\n",
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" fig, animate, init_func=init_func, frames=len(data.index), interval=5, blit=True\n",
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")"
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]
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},
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{
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"cell_type": "markdown",
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"id": "305bb8bf",
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"metadata": {},
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"source": [
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"<a href=\"https://pyquantnews.com/\">PyQuant News</a> is where finance practitioners level up with Python for quant finance, algorithmic trading, and market data analysis. Looking to get started? Check out the fastest growing, top-selling course to <a href=\"https://gettingstartedwithpythonforquantfinance.com/\">get started with Python for quant finance</a>. For educational purposes. Not investment advise. Use at your own risk."
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]
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}
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],
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"metadata": {
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"jupytext": {
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"cell_metadata_filter": "-all",
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"main_language": "python",
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"notebook_metadata_filter": "-all"
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}
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},
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"nbformat": 4,
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"nbformat_minor": 5
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}
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