Telegram Group & Telegram Channel
ХОЛОДНЫЙ РАСЧЕТ ∅
🦅 Обязательная продажа валюты не впечатлила денежный рынок Ожидания по траектории ключевой ключевой ставке до мая 2024 снизились на в пределах 0.1-0.2пп: пик все еще ~15.5% в апреле, снижение с 2кв24 🧙 Оценка ожидания по ставки из ROISfix @c0ldness
🐍 Вермишельный график ожиданий из свопов ROISfix: Рецепт приготовления

from nelson_siegel_svensson import NelsonSiegelCurve
from nelson_siegel_svensson.calibrate import calibrate_ns_ols
import numpy as np
from datetime import datetime as dt
from datetime import timedelta

df_roisfix = # IMPORT ROISFIX DATA

# FIXED EXCESS RETURN FOR FIXED LEG (ANNUALIZED)
term_prem = 0.028*12

maturities = [1/52,2/52,1/12,2/12,3/12,6/12,1,2]
li_term_prem = [x*term_prem for x in maturities]

df_roisfix_ex_exret = df_roisfix.sub(li_term_prem,axis=1).copy(deep=True)

col_mat = np.linspace(1,180,30)
col_date = df_roisfix_ex_exret_resample.index.to_list()

ix_date = pd.date_range(start=dt(2011,1,1), end=dt(2023,9,13) + timedelta(days=300),freq='D')
df_rates = pd.DataFrame(columns=col_date,index=ix_date)

for ix, row in df_roisfix_ex_exret_resample.iterrows():
try:
vals = row.dropna().values
curve_fit, status = calibrate_ns_ols(np.array( maturities[:len(vals)]),vals)
NSS_Fwd = NelsonSiegelCurve.forward(curve_fit,np.array([x/360 for x in col_mat]))
df_rates.loc[pd.date_range(start=ix+ timedelta(days=6), end=ix + timedelta(days=180),freq='6D'),ix] = NSS_Fwd
# print(ix)
except:
pass

df_rates.tail()
🫡 Спасибо за посещение нашего научного макротелеграм-семинара

@c0ldness



group-telegram.com/c0ldness/2107
Create:
Last Update:

🐍 Вермишельный график ожиданий из свопов ROISfix: Рецепт приготовления

from nelson_siegel_svensson import NelsonSiegelCurve
from nelson_siegel_svensson.calibrate import calibrate_ns_ols
import numpy as np
from datetime import datetime as dt
from datetime import timedelta

df_roisfix = # IMPORT ROISFIX DATA

# FIXED EXCESS RETURN FOR FIXED LEG (ANNUALIZED)
term_prem = 0.028*12

maturities = [1/52,2/52,1/12,2/12,3/12,6/12,1,2]
li_term_prem = [x*term_prem for x in maturities]

df_roisfix_ex_exret = df_roisfix.sub(li_term_prem,axis=1).copy(deep=True)

col_mat = np.linspace(1,180,30)
col_date = df_roisfix_ex_exret_resample.index.to_list()

ix_date = pd.date_range(start=dt(2011,1,1), end=dt(2023,9,13) + timedelta(days=300),freq='D')
df_rates = pd.DataFrame(columns=col_date,index=ix_date)

for ix, row in df_roisfix_ex_exret_resample.iterrows():
try:
vals = row.dropna().values
curve_fit, status = calibrate_ns_ols(np.array( maturities[:len(vals)]),vals)
NSS_Fwd = NelsonSiegelCurve.forward(curve_fit,np.array([x/360 for x in col_mat]))
df_rates.loc[pd.date_range(start=ix+ timedelta(days=6), end=ix + timedelta(days=180),freq='6D'),ix] = NSS_Fwd
# print(ix)
except:
pass

df_rates.tail()
🫡 Спасибо за посещение нашего научного макротелеграм-семинара

@c0ldness

BY ХОЛОДНЫЙ РАСЧЕТ ∅




Share with your friend now:
group-telegram.com/c0ldness/2107

View MORE
Open in Telegram


Telegram | DID YOU KNOW?

Date: |

The channel appears to be part of the broader information war that has developed following Russia's invasion of Ukraine. The Kremlin has paid Russian TikTok influencers to push propaganda, according to a Vice News investigation, while ProPublica found that fake Russian fact check videos had been viewed over a million times on Telegram. Telegram has gained a reputation as the “secure” communications app in the post-Soviet states, but whenever you make choices about your digital security, it’s important to start by asking yourself, “What exactly am I securing? And who am I securing it from?” These questions should inform your decisions about whether you are using the right tool or platform for your digital security needs. Telegram is certainly not the most secure messaging app on the market right now. Its security model requires users to place a great deal of trust in Telegram’s ability to protect user data. For some users, this may be good enough for now. For others, it may be wiser to move to a different platform for certain kinds of high-risk communications. These administrators had built substantial positions in these scrips prior to the circulation of recommendations and offloaded their positions subsequent to rise in price of these scrips, making significant profits at the expense of unsuspecting investors, Sebi noted. At this point, however, Durov had already been working on Telegram with his brother, and further planned a mobile-first social network with an explicit focus on anti-censorship. Later in April, he told TechCrunch that he had left Russia and had “no plans to go back,” saying that the nation was currently “incompatible with internet business at the moment.” He added later that he was looking for a country that matched his libertarian ideals to base his next startup. During the operations, Sebi officials seized various records and documents, including 34 mobile phones, six laptops, four desktops, four tablets, two hard drive disks and one pen drive from the custody of these persons.
from ru


Telegram ХОЛОДНЫЙ РАСЧЕТ ∅
FROM American