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cleaned clustering

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Paco GOZE 2026-02-02 11:31:08 +00:00
parent 25b5097e7f
commit 9d395a1a98
15 changed files with 5027 additions and 1156 deletions
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clustering/clustering.py
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@ -9,8 +9,7 @@ def run_clustering_pipeline(feature_df, n_clusters=4):
# Fill missing sensitivities with 0 (neutral) for clients with insufficient history # Fill missing sensitivities with 0 (neutral) for clients with insufficient history
df_clean = feature_df.fillna(0) df_clean = feature_df.fillna(0)
# Scaling: RobustScaler is preferred over StandardScaler for financial data # RobustScaler over StandardScaler for financial data bc less influenced by 'Whale' clients.
# because it is less influenced by 'Whale' clients (outliers).
scaler = RobustScaler() scaler = RobustScaler()
scaled_data = scaler.fit_transform(df_clean) scaled_data = scaler.fit_transform(df_clean)

8
clustering/data_loader.py
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@ -4,23 +4,19 @@ def load_and_clean_data(flows_path, aum_path, rates_path, gov_path):
""" """
Loads raw CSVs and parses dates for consistent time-series analysis. Loads raw CSVs and parses dates for consistent time-series analysis.
""" """
# 1. Load Flows
flows = pd.read_csv(flows_path) flows = pd.read_csv(flows_path)
flows['Centralisation Date'] = pd.to_datetime(flows['Centralisation Date']) flows['Centralisation Date'] = pd.to_datetime(flows['Centralisation Date'])
# 2. Load AUM
aum = pd.read_csv(aum_path) aum = pd.read_csv(aum_path)
aum['Centralisation Date'] = pd.to_datetime(aum['Centralisation Date']) aum['Centralisation Date'] = pd.to_datetime(aum['Centralisation Date'])
# 3. Load Market Data (STR Rates)
# Handling potential dd/mm/yyyy formats common in EU data
rates = pd.read_csv(rates_path) rates = pd.read_csv(rates_path)
try: try:
rates['Date'] = pd.to_datetime(rates['Date'], dayfirst=True) rates['Date'] = pd.to_datetime(rates['Date'], dayfirst=True)
except: except:
rates['Date'] = pd.to_datetime(rates['Date']) rates['Date'] = pd.to_datetime(rates['Date'])
# 4. Load Gov Indices
gov = pd.read_csv(gov_path) gov = pd.read_csv(gov_path)
gov['Date'] = pd.to_datetime(gov['Date']) gov['Date'] = pd.to_datetime(gov['Date'])

4
clustering/features.py
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@ -29,7 +29,7 @@ def compute_static_features(flows_df, aum_df):
aum_volatility=('Value - AUM €', 'std') aum_volatility=('Value - AUM €', 'std')
) )
# Merge all static features # Merge
features = flow_stats.join(asset_pct).join(aum_stats, how='outer').fillna(0) features = flow_stats.join(asset_pct).join(aum_stats, how='outer').fillna(0)
return features return features
@ -65,10 +65,8 @@ def compute_market_sensitivities(flows_df, rates_df, gov_df, freq='M'):
c_flows = flows_df[flows_df['Registrar Account - ID'] == client] c_flows = flows_df[flows_df['Registrar Account - ID'] == client]
c_ts = c_flows.groupby('Period')['Quantity - NetFlows'].sum() c_ts = c_flows.groupby('Period')['Quantity - NetFlows'].sum()
# Inner join to align dates (Client Activity vs Market Data)
merged = pd.concat([c_ts, market_factors], axis=1, join='inner') merged = pd.concat([c_ts, market_factors], axis=1, join='inner')
# Need enough points for regression
if len(merged) >= 5: if len(merged) >= 5:
Y = merged['Quantity - NetFlows'] Y = merged['Quantity - NetFlows']
X = merged[['Delta_Rate', 'Bond_Return']] X = merged[['Delta_Rate', 'Bond_Return']]

20
clustering/main.py
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@ -6,38 +6,34 @@ from clustering import run_clustering_pipeline, get_cluster_profiles
def main(): def main():
print("--- Starting Carmignac Client Clustering Pipeline ---") print("--- Starting Carmignac Client Clustering Pipeline ---")
# 1. Load Data
print("Loading data...") print("Loading data...")
flows, aum, rates, gov = load_and_clean_data( flows, aum, rates, gov = load_and_clean_data(
'flows_sample.csv', 'data/flows_sample.csv',
'aum_sample.csv', 'data/aum_sample.csv',
'str_rates.csv', 'data/str_rates.csv',
'eur_gov_indices.csv' 'data/eur_gov_indices.csv'
) )
# 2. Feature Engineering
print("Computing static features...") print("Computing static features...")
static_feats = compute_static_features(flows, aum) static_feats = compute_static_features(flows, aum)
print("Computing market sensitivities (Betas)...") print("Computing market sensitivities (Betas)...")
# Note: Using 'W' (Weekly) to maximize points for the sample. # Use 'W' (Weekly) to maximize points for the sample.
# Use 'M' (Monthly) for the full dataset. # Use 'M' (Monthly) for the full dataset.
sensitivity_feats = compute_market_sensitivities(flows, rates, gov, freq='W') sensitivity_feats = compute_market_sensitivities(flows, rates, gov, freq='W')
# Merge features
full_features = static_feats.join(sensitivity_feats, how='left') full_features = static_feats.join(sensitivity_feats, how='left')
# 3. Clustering # Clustering
print(f"Running Clustering on {len(full_features)} clients...") print(f"Running Clustering on {len(full_features)} clients...")
clustered_df, centers = run_clustering_pipeline(full_features, n_clusters=3) clustered_df, centers = run_clustering_pipeline(full_features, n_clusters=3)
# 4. Results
print("\n--- Cluster Profiles (Mean Values) ---") print("\n--- Cluster Profiles (Mean Values) ---")
profiles = get_cluster_profiles(clustered_df) profiles = get_cluster_profiles(clustered_df)
print(profiles.T) print(profiles.T)
clustered_df.to_csv('client_clusters.csv') clustered_df.to_csv('clustering/client_clusters.csv')
print("\nResults saved to 'client_clusters.csv'") print("\nResults saved to 'clustering/client_clusters.csv'")
if __name__ == "__main__": if __name__ == "__main__":
main() main()

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data_exploration/flows_sample.csv → data/flows_sample.csv
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data/str_rates.csv Normal file
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data_exploration/Japan.csv
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@ -1,261 +0,0 @@
,Registrar Account - ID,Product - Isin,Centralisation Date,Quantity - AUM,Quantity - NetFlows,prev_stock,prev_netflows,expected_stock,gap,rupture_flag,year,month,country
132461,200000693,FR0011443852,2015-01-31,2510667.0,0.0,,0.0,,,False,2015,1,JAPAN
132462,200000693,FR0011443852,2015-02-28,2474070.0,0.0,2510667.0,0.0,2510667.0,-36597.0,True,2015,2,JAPAN
132463,200000693,FR0011443852,2015-03-31,2439395.0,-405.0,2474070.0,0.0,2474070.0,-34675.0,True,2015,3,JAPAN
132464,200000693,FR0011443852,2015-04-30,2442855.0,5689.0,2439395.0,-405.0,2438990.0,3865.0,True,2015,4,JAPAN
132465,200000693,FR0011443852,2015-05-31,2491808.0,0.0,2442855.0,5689.0,2448544.0,43264.0,True,2015,5,JAPAN
132466,200000693,FR0011443852,2015-06-30,2497771.0,-267.0,2491808.0,0.0,2491808.0,5963.0,True,2015,6,JAPAN
132467,200000693,FR0011443852,2015-07-31,2537805.0,2192.0,2497771.0,-267.0,2497504.0,40301.0,True,2015,7,JAPAN
132468,200000693,FR0011443852,2015-08-31,2584574.0,11860.0,2537805.0,2192.0,2539997.0,44577.0,True,2015,8,JAPAN
132469,200000693,FR0011443852,2015-09-30,2615370.0,757.0,2584574.0,11860.0,2596434.0,18936.0,True,2015,9,JAPAN
132470,200000693,FR0011443852,2015-10-31,2625040.0,0.0,2615370.0,757.0,2616127.0,8913.0,True,2015,10,JAPAN
132471,200000693,FR0011443852,2015-11-30,2621624.0,-2400.0,2625040.0,0.0,2625040.0,-3416.0,True,2015,11,JAPAN
132472,200000693,FR0011443852,2015-12-31,2616251.0,0.0,2621624.0,-2400.0,2619224.0,-2973.0,True,2015,12,JAPAN
132473,200000693,FR0011443852,2016-01-31,2623129.0,0.0,2616251.0,0.0,2616251.0,6878.0,True,2016,1,JAPAN
132474,200000693,FR0011443852,2016-02-29,2611642.0,-11347.0,2623129.0,0.0,2623129.0,-11487.0,True,2016,2,JAPAN
132475,200000693,FR0011443852,2016-03-31,2582937.0,-335.0,2611642.0,-11347.0,2600295.0,-17358.0,True,2016,3,JAPAN
132476,200000693,FR0011443852,2016-04-30,2584730.0,0.0,2582937.0,-335.0,2582602.0,2128.0,True,2016,4,JAPAN
132477,200000693,FR0011443852,2016-05-31,2567382.0,519.0,2584730.0,0.0,2584730.0,-17348.0,True,2016,5,JAPAN
132478,200000693,FR0011443852,2016-06-30,2506656.0,72.0,2567382.0,519.0,2567901.0,-61245.0,True,2016,6,JAPAN
132479,200000693,FR0011443852,2016-07-31,2477721.0,0.0,2506656.0,72.0,2506728.0,-29007.0,True,2016,7,JAPAN
132480,200000693,FR0011443852,2016-08-31,2448341.0,1153.0,2477721.0,0.0,2477721.0,-29380.0,True,2016,8,JAPAN
132481,200000693,FR0011443852,2016-09-30,2425174.0,-1044.0,2448341.0,1153.0,2449494.0,-24320.0,True,2016,9,JAPAN
132482,200000693,FR0011443852,2016-10-31,2401844.0,1851.0,2425174.0,-1044.0,2424130.0,-22286.0,True,2016,10,JAPAN
132483,200000693,FR0011443852,2016-11-30,2372297.0,-1126.0,2401844.0,1851.0,2403695.0,-31398.0,True,2016,11,JAPAN
132484,200000693,FR0011443852,2016-12-31,2363093.0,0.0,2372297.0,-1126.0,2371171.0,-8078.0,True,2016,12,JAPAN
132485,200000693,FR0011443852,2017-01-31,2353086.0,-2917.0,2363093.0,0.0,2363093.0,-10007.0,True,2017,1,JAPAN
132486,200000693,FR0011443852,2017-02-28,2185924.0,-898.0,2353086.0,-2917.0,2350169.0,-164245.0,True,2017,2,JAPAN
132487,200000693,FR0011443852,2017-03-31,2175102.0,-164.0,2185924.0,-898.0,2185026.0,-9924.0,True,2017,3,JAPAN
132488,200000693,FR0011443852,2017-04-30,2136578.0,0.0,2175102.0,-164.0,2174938.0,-38360.0,True,2017,4,JAPAN
132489,200000693,FR0011443852,2017-05-31,2101070.0,-576.0,2136578.0,0.0,2136578.0,-35508.0,True,2017,5,JAPAN
132490,200000693,FR0011443852,2017-06-30,2089314.0,164.0,2101070.0,-576.0,2100494.0,-11180.0,True,2017,6,JAPAN
132491,200000693,FR0011443852,2017-07-31,2076567.0,-1220.0,2089314.0,164.0,2089478.0,-12911.0,True,2017,7,JAPAN
132492,200000693,FR0011443852,2017-08-31,2042396.0,-843.0,2076567.0,-1220.0,2075347.0,-32951.0,True,2017,8,JAPAN
132493,200000693,FR0011443852,2017-09-30,2024589.0,0.0,2042396.0,-843.0,2041553.0,-16964.0,True,2017,9,JAPAN
132494,200000693,FR0011443852,2017-10-31,1998803.0,0.0,2024589.0,0.0,2024589.0,-25786.0,True,2017,10,JAPAN
132495,200000693,FR0011443852,2017-11-30,1986731.0,-753.0,1998803.0,0.0,1998803.0,-12072.0,True,2017,11,JAPAN
132496,200000693,FR0011443852,2017-12-31,1967123.0,0.0,1986731.0,-753.0,1985978.0,-18855.0,True,2017,12,JAPAN
132497,200000693,FR0011443852,2018-01-31,1936659.0,-1599.0,1967123.0,0.0,1967123.0,-30464.0,True,2018,1,JAPAN
132498,200000693,FR0011443852,2018-02-28,1914512.0,-772.0,1936659.0,-1599.0,1935060.0,-20548.0,True,2018,2,JAPAN
132499,200000693,FR0011443852,2018-03-31,1899884.0,0.0,1914512.0,-772.0,1913740.0,-13856.0,True,2018,3,JAPAN
132500,200000693,FR0011443852,2018-04-30,1814015.0,0.0,1899884.0,0.0,1899884.0,-85869.0,True,2018,4,JAPAN
132501,200000693,FR0011443852,2018-05-31,1832300.0,-1338.0,1814015.0,0.0,1814015.0,18285.0,True,2018,5,JAPAN
132502,200000693,FR0011443852,2018-06-30,1797160.0,0.0,1832300.0,-1338.0,1830962.0,-33802.0,True,2018,6,JAPAN
132503,200000693,FR0011443852,2018-07-31,1749457.0,-2480.0,1797160.0,0.0,1797160.0,-47703.0,True,2018,7,JAPAN
132504,200000693,FR0011443852,2018-08-31,1711699.0,-2675.0,1749457.0,-2480.0,1746977.0,-35278.0,True,2018,8,JAPAN
132505,200000693,FR0011443852,2018-09-30,1678150.0,0.0,1711699.0,-2675.0,1709024.0,-30874.0,True,2018,9,JAPAN
132506,200000693,FR0011443852,2018-10-31,1632548.0,114.0,1678150.0,0.0,1678150.0,-45602.0,True,2018,10,JAPAN
132507,200000693,FR0011443852,2018-11-30,1577297.0,-2547.0,1632548.0,114.0,1632662.0,-55365.0,True,2018,11,JAPAN
132508,200000693,FR0011443852,2018-12-31,1508908.0,0.0,1577297.0,-2547.0,1574750.0,-65842.0,True,2018,12,JAPAN
132509,200000693,FR0011443852,2019-01-31,1505010.0,-1624.0,1508908.0,0.0,1508908.0,-3898.0,True,2019,1,JAPAN
132510,200000693,FR0011443852,2019-02-28,1472494.0,-1013.0,1505010.0,-1624.0,1503386.0,-30892.0,True,2019,2,JAPAN
132511,200000693,FR0011443852,2019-03-31,1442603.0,0.0,1472494.0,-1013.0,1471481.0,-28878.0,True,2019,3,JAPAN
132512,200000693,FR0011443852,2019-04-30,1383105.0,0.0,1442603.0,0.0,1442603.0,-59498.0,True,2019,4,JAPAN
132513,200000693,FR0011443852,2019-05-31,1373609.0,-3703.0,1383105.0,0.0,1383105.0,-9496.0,True,2019,5,JAPAN
132514,200000693,FR0011443852,2019-06-30,1349050.0,0.0,1373609.0,-3703.0,1369906.0,-20856.0,True,2019,6,JAPAN
132515,200000693,FR0011443852,2019-07-31,1317287.0,-2881.0,1349050.0,0.0,1349050.0,-31763.0,True,2019,7,JAPAN
132516,200000693,FR0011443852,2019-08-31,1286004.0,0.0,1317287.0,-2881.0,1314406.0,-28402.0,True,2019,8,JAPAN
132517,200000693,FR0011443852,2019-09-30,1249671.0,-2046.0,1286004.0,0.0,1286004.0,-36333.0,True,2019,9,JAPAN
132518,200000693,FR0011443852,2019-10-31,1204971.0,-64.0,1249671.0,-2046.0,1247625.0,-42654.0,True,2019,10,JAPAN
132519,200000693,FR0011443852,2019-11-30,1160815.0,0.0,1204971.0,-64.0,1204907.0,-44092.0,True,2019,11,JAPAN
132520,200000693,FR0011443852,2019-12-31,1113090.0,0.0,1160815.0,0.0,1160815.0,-47725.0,True,2019,12,JAPAN
132521,200000693,FR0011443852,2020-01-31,1085539.0,-70.0,1113090.0,0.0,1113090.0,-27551.0,True,2020,1,JAPAN
132522,200000693,FR0011443852,2020-02-29,1051967.0,0.0,1085539.0,-70.0,1085469.0,-33502.0,True,2020,2,JAPAN
132523,200000693,FR0011443852,2020-03-31,1039796.0,-1006.0,1051967.0,0.0,1051967.0,-12171.0,True,2020,3,JAPAN
132524,200000693,FR0011443852,2020-04-30,1007630.0,0.0,1039796.0,-1006.0,1038790.0,-31160.0,True,2020,4,JAPAN
132525,200000693,FR0011443852,2020-05-31,999347.0,0.0,1007630.0,0.0,1007630.0,-8283.0,True,2020,5,JAPAN
132526,200000693,FR0011443852,2020-06-30,997449.0,-745.0,999347.0,0.0,999347.0,-1898.0,True,2020,6,JAPAN
132527,200000693,FR0011443852,2020-07-31,971089.0,-1392.0,997449.0,-745.0,996704.0,-25615.0,True,2020,7,JAPAN
132528,200000693,FR0011443852,2020-08-31,943669.0,-1665.0,971089.0,-1392.0,969697.0,-26028.0,True,2020,8,JAPAN
132529,200000693,FR0011443852,2020-09-30,920571.0,-379.0,943669.0,-1665.0,942004.0,-21433.0,True,2020,9,JAPAN
132530,200000693,FR0011443852,2020-10-31,886252.0,0.0,920571.0,-379.0,920192.0,-33940.0,True,2020,10,JAPAN
132531,200000693,FR0011443852,2020-11-30,852345.0,-5976.0,886252.0,0.0,886252.0,-33907.0,True,2020,11,JAPAN
132532,200000693,FR0011443852,2020-12-31,833961.0,0.0,852345.0,-5976.0,846369.0,-12408.0,True,2020,12,JAPAN
132533,200000693,FR0011443852,2021-01-31,826995.0,0.0,833961.0,0.0,833961.0,-6966.0,True,2021,1,JAPAN
132534,200000693,FR0011443852,2021-02-28,812895.0,0.0,826995.0,0.0,826995.0,-14100.0,True,2021,2,JAPAN
132535,200000693,FR0011443852,2021-03-31,787435.0,-2343.0,812895.0,0.0,812895.0,-25460.0,True,2021,3,JAPAN
132536,200000693,FR0011443852,2021-04-30,789921.0,0.0,787435.0,-2343.0,785092.0,4829.0,True,2021,4,JAPAN
132537,200000693,FR0011443852,2021-05-31,787832.0,0.0,789921.0,0.0,789921.0,-2089.0,True,2021,5,JAPAN
132538,200000693,FR0011443852,2021-06-30,780724.0,-2509.0,787832.0,0.0,787832.0,-7108.0,True,2021,6,JAPAN
132539,200000693,FR0011443852,2021-07-31,773838.0,0.0,780724.0,-2509.0,778215.0,-4377.0,True,2021,7,JAPAN
132540,200000693,FR0011443852,2021-08-31,766046.0,0.0,773838.0,0.0,773838.0,-7792.0,True,2021,8,JAPAN
132541,200000693,FR0011443852,2021-09-30,761139.0,0.0,766046.0,0.0,766046.0,-4907.0,True,2021,9,JAPAN
132542,200000693,FR0011443852,2021-10-31,747821.0,0.0,761139.0,0.0,761139.0,-13318.0,True,2021,10,JAPAN
132543,200000693,FR0011443852,2021-11-30,721581.0,-12009.0,747821.0,0.0,747821.0,-26240.0,True,2021,11,JAPAN
132544,200000693,FR0011443852,2021-12-31,717363.0,0.0,721581.0,-12009.0,709572.0,7791.0,True,2021,12,JAPAN
132545,200000693,FR0011443852,2022-01-31,712625.0,0.0,717363.0,0.0,717363.0,-4738.0,True,2022,1,JAPAN
132546,200000693,FR0011443852,2022-02-28,710587.0,0.0,712625.0,0.0,712625.0,-2038.0,True,2022,2,JAPAN
132547,200000693,FR0011443852,2022-03-31,708261.0,0.0,710587.0,0.0,710587.0,-2326.0,True,2022,3,JAPAN
132548,200000693,FR0011443852,2022-04-30,700048.0,0.0,708261.0,0.0,708261.0,-8213.0,True,2022,4,JAPAN
132549,200000693,FR0011443852,2022-05-31,699564.0,0.0,700048.0,0.0,700048.0,-484.0,True,2022,5,JAPAN
132550,200000693,FR0011443852,2022-06-30,693541.0,-3040.0,699564.0,0.0,699564.0,-6023.0,True,2022,6,JAPAN
132551,200000693,FR0011443852,2022-07-31,687491.0,0.0,693541.0,-3040.0,690501.0,-3010.0,True,2022,7,JAPAN
132552,200000693,FR0011443852,2022-08-31,684494.0,0.0,687491.0,0.0,687491.0,-2997.0,True,2022,8,JAPAN
132553,200000693,FR0011443852,2022-09-30,684494.0,0.0,684494.0,0.0,684494.0,0.0,False,2022,9,JAPAN
132554,200000693,FR0011443852,2022-10-31,675192.0,0.0,684494.0,0.0,684494.0,-9302.0,True,2022,10,JAPAN
132555,200000693,FR0011443852,2022-11-30,669084.0,0.0,675192.0,0.0,675192.0,-6108.0,True,2022,11,JAPAN
132556,200000693,FR0011443852,2022-12-31,666126.0,0.0,669084.0,0.0,669084.0,-2958.0,True,2022,12,JAPAN
132557,200000693,FR0011443852,2023-01-31,663264.0,0.0,666126.0,0.0,666126.0,-2862.0,True,2023,1,JAPAN
132558,200000693,FR0011443852,2023-02-28,651449.0,0.0,663264.0,0.0,663264.0,-11815.0,True,2023,2,JAPAN
132559,200000693,FR0011443852,2023-03-31,648411.0,0.0,651449.0,0.0,651449.0,-3038.0,True,2023,3,JAPAN
132560,200000693,FR0011443852,2023-04-30,640960.0,0.0,648411.0,0.0,648411.0,-7451.0,True,2023,4,JAPAN
132561,200000693,FR0011443852,2023-05-31,632891.0,0.0,640960.0,0.0,640960.0,-8069.0,True,2023,5,JAPAN
132562,200000693,FR0011443852,2023-06-30,606139.0,-3796.0,632891.0,0.0,632891.0,-26752.0,True,2023,6,JAPAN
132563,200000693,FR0011443852,2023-07-31,594725.0,0.0,606139.0,-3796.0,602343.0,-7618.0,True,2023,7,JAPAN
132564,200000693,FR0011443852,2023-08-31,588469.0,0.0,594725.0,0.0,594725.0,-6256.0,True,2023,8,JAPAN
132565,200000693,FR0011443852,2023-09-30,576468.0,0.0,588469.0,0.0,588469.0,-12001.0,True,2023,9,JAPAN
132566,200000693,FR0011443852,2023-10-31,563365.0,0.0,576468.0,0.0,576468.0,-13103.0,True,2023,10,JAPAN
132567,200000693,FR0011443852,2023-11-30,543704.0,0.0,563365.0,0.0,563365.0,-19661.0,True,2023,11,JAPAN
132568,200000693,FR0011443852,2023-12-31,530264.0,0.0,543704.0,0.0,543704.0,-13440.0,True,2023,12,JAPAN
132569,200000693,FR0011443852,2024-01-31,520511.0,-3154.0,530264.0,0.0,530264.0,-9753.0,True,2024,1,JAPAN
132570,200000693,FR0011443852,2024-02-29,513435.0,0.0,520511.0,-3154.0,517357.0,-3922.0,True,2024,2,JAPAN
132571,200000693,FR0011443852,2024-03-31,499847.0,0.0,513435.0,0.0,513435.0,-13588.0,True,2024,3,JAPAN
132572,200000693,FR0011443852,2024-04-30,485961.0,0.0,499847.0,0.0,499847.0,-13886.0,True,2024,4,JAPAN
132573,200000693,FR0011443852,2024-05-31,479283.0,0.0,485961.0,0.0,485961.0,-6678.0,True,2024,5,JAPAN
132574,200000693,FR0011443852,2024-06-30,468550.0,0.0,479283.0,0.0,479283.0,-10733.0,True,2024,6,JAPAN
132575,200000693,FR0011443852,2024-07-31,446497.0,0.0,468550.0,0.0,468550.0,-22053.0,True,2024,7,JAPAN
132576,200000693,FR0011443852,2024-08-31,443725.0,0.0,446497.0,0.0,446497.0,-2772.0,True,2024,8,JAPAN
132577,200000693,FR0011443852,2024-09-30,436530.0,0.0,443725.0,0.0,443725.0,-7195.0,True,2024,9,JAPAN
132578,200000693,FR0011443852,2024-10-31,423429.0,0.0,436530.0,0.0,436530.0,-13101.0,True,2024,10,JAPAN
132579,200000693,FR0011443852,2024-11-30,415736.0,0.0,423429.0,0.0,423429.0,-7693.0,True,2024,11,JAPAN
132580,200000693,FR0011443852,2024-12-31,409328.0,0.0,415736.0,0.0,415736.0,-6408.0,True,2024,12,JAPAN
132581,200000693,FR0011443852,2025-01-31,402470.0,0.0,409328.0,0.0,409328.0,-6858.0,True,2025,1,JAPAN
132582,200000693,FR0011443852,2025-02-28,398869.0,0.0,402470.0,0.0,402470.0,-3601.0,True,2025,2,JAPAN
132583,200000693,FR0011443852,2025-03-31,396563.0,0.0,398869.0,0.0,398869.0,-2306.0,True,2025,3,JAPAN
132584,200000693,FR0011443852,2025-04-30,390925.0,0.0,396563.0,0.0,396563.0,-5638.0,True,2025,4,JAPAN
132585,200000693,FR0011443852,2025-05-31,388081.0,0.0,390925.0,0.0,390925.0,-2844.0,True,2025,5,JAPAN
132586,200000693,FR0011443852,2025-06-30,381139.0,-2524.0,388081.0,0.0,388081.0,-6942.0,True,2025,6,JAPAN
132587,200000693,FR0011443852,2025-07-31,374741.0,0.0,381139.0,-2524.0,378615.0,-3874.0,True,2025,7,JAPAN
132588,200000693,FR0011443852,2025-08-31,370198.0,0.0,374741.0,0.0,374741.0,-4543.0,True,2025,8,JAPAN
132589,200000693,FR0011443852,2025-09-30,365428.0,0.0,370198.0,0.0,370198.0,-4770.0,True,2025,9,JAPAN
132590,200000693,FR0011443852,2025-10-31,356845.0,0.0,365428.0,0.0,365428.0,-8583.0,True,2025,10,JAPAN
132591,200000694,FR0011443860,2015-01-31,1062484.0,0.0,,0.0,,,False,2015,1,JAPAN
132592,200000694,FR0011443860,2015-02-28,1067835.0,0.0,1062484.0,0.0,1062484.0,5351.0,True,2015,2,JAPAN
132593,200000694,FR0011443860,2015-03-31,1058887.0,1670.0,1067835.0,0.0,1067835.0,-8948.0,True,2015,3,JAPAN
132594,200000694,FR0011443860,2015-04-30,1061396.0,811.0,1058887.0,1670.0,1060557.0,839.0,True,2015,4,JAPAN
132595,200000694,FR0011443860,2015-05-31,1057889.0,0.0,1061396.0,811.0,1062207.0,-4318.0,True,2015,5,JAPAN
132596,200000694,FR0011443860,2015-06-30,1058254.0,-4352.0,1057889.0,0.0,1057889.0,365.0,True,2015,6,JAPAN
132597,200000694,FR0011443860,2015-07-31,1081821.0,-1387.0,1058254.0,-4352.0,1053902.0,27919.0,True,2015,7,JAPAN
132598,200000694,FR0011443860,2015-08-31,1099994.0,-239.0,1081821.0,-1387.0,1080434.0,19560.0,True,2015,8,JAPAN
132599,200000694,FR0011443860,2015-09-30,1114470.0,5765.0,1099994.0,-239.0,1099755.0,14715.0,True,2015,9,JAPAN
132600,200000694,FR0011443860,2015-10-31,1127783.0,0.0,1114470.0,5765.0,1120235.0,7548.0,True,2015,10,JAPAN
132601,200000694,FR0011443860,2015-11-30,1133959.0,-1385.0,1127783.0,0.0,1127783.0,6176.0,True,2015,11,JAPAN
132602,200000694,FR0011443860,2015-12-31,1135296.0,0.0,1133959.0,-1385.0,1132574.0,2722.0,True,2015,12,JAPAN
132603,200000694,FR0011443860,2016-01-31,1148268.0,0.0,1135296.0,0.0,1135296.0,12972.0,True,2016,1,JAPAN
132604,200000694,FR0011443860,2016-02-29,1145528.0,-5693.0,1148268.0,0.0,1148268.0,-2740.0,True,2016,2,JAPAN
132605,200000694,FR0011443860,2016-03-31,1142327.0,-89.0,1145528.0,-5693.0,1139835.0,2492.0,True,2016,3,JAPAN
132606,200000694,FR0011443860,2016-04-30,1150083.0,0.0,1142327.0,-89.0,1142238.0,7845.0,True,2016,4,JAPAN
132607,200000694,FR0011443860,2016-05-31,1150807.0,-1063.0,1150083.0,0.0,1150083.0,724.0,True,2016,5,JAPAN
132608,200000694,FR0011443860,2016-06-30,1156376.0,-87.0,1150807.0,-1063.0,1149744.0,6632.0,True,2016,6,JAPAN
132609,200000694,FR0011443860,2016-07-31,1159169.0,0.0,1156376.0,-87.0,1156289.0,2880.0,True,2016,7,JAPAN
132610,200000694,FR0011443860,2016-08-31,1157153.0,-798.0,1159169.0,0.0,1159169.0,-2016.0,True,2016,8,JAPAN
132611,200000694,FR0011443860,2016-09-30,1143905.0,-430.0,1157153.0,-798.0,1156355.0,-12450.0,True,2016,9,JAPAN
132612,200000694,FR0011443860,2016-10-31,1144106.0,18.0,1143905.0,-430.0,1143475.0,631.0,True,2016,10,JAPAN
132613,200000694,FR0011443860,2016-11-30,1139796.0,-2171.0,1144106.0,18.0,1144124.0,-4328.0,True,2016,11,JAPAN
132614,200000694,FR0011443860,2016-12-31,1125211.0,0.0,1139796.0,-2171.0,1137625.0,-12414.0,True,2016,12,JAPAN
132615,200000694,FR0011443860,2017-01-31,1115557.0,-426.0,1125211.0,0.0,1125211.0,-9654.0,True,2017,1,JAPAN
132616,200000694,FR0011443860,2017-02-28,1104006.0,0.0,1115557.0,-426.0,1115131.0,-11125.0,True,2017,2,JAPAN
132617,200000694,FR0011443860,2017-03-31,1098004.0,-212.0,1104006.0,0.0,1104006.0,-6002.0,True,2017,3,JAPAN
132618,200000694,FR0011443860,2017-04-30,1094107.0,0.0,1098004.0,-212.0,1097792.0,-3685.0,True,2017,4,JAPAN
132619,200000694,FR0011443860,2017-05-31,1069161.0,-51.0,1094107.0,0.0,1094107.0,-24946.0,True,2017,5,JAPAN
132620,200000694,FR0011443860,2017-06-30,1042065.0,-264.0,1069161.0,-51.0,1069110.0,-27045.0,True,2017,6,JAPAN
132621,200000694,FR0011443860,2017-07-31,1033838.0,-5394.0,1042065.0,-264.0,1041801.0,-7963.0,True,2017,7,JAPAN
132622,200000694,FR0011443860,2017-08-31,1025900.0,-737.0,1033838.0,-5394.0,1028444.0,-2544.0,True,2017,8,JAPAN
132623,200000694,FR0011443860,2017-09-30,1014093.0,0.0,1025900.0,-737.0,1025163.0,-11070.0,True,2017,9,JAPAN
132624,200000694,FR0011443860,2017-10-31,998924.0,71.0,1014093.0,0.0,1014093.0,-15169.0,True,2017,10,JAPAN
132625,200000694,FR0011443860,2017-11-30,988100.0,-417.0,998924.0,71.0,998995.0,-10895.0,True,2017,11,JAPAN
132626,200000694,FR0011443860,2017-12-31,972322.0,0.0,988100.0,-417.0,987683.0,-15361.0,True,2017,12,JAPAN
132627,200000694,FR0011443860,2018-01-31,958477.0,-251.0,972322.0,0.0,972322.0,-13845.0,True,2018,1,JAPAN
132628,200000694,FR0011443860,2018-02-28,948872.0,-74.0,958477.0,-251.0,958226.0,-9354.0,True,2018,2,JAPAN
132629,200000694,FR0011443860,2018-03-31,946852.0,0.0,948872.0,-74.0,948798.0,-1946.0,True,2018,3,JAPAN
132630,200000694,FR0011443860,2018-04-30,913515.0,0.0,946852.0,0.0,946852.0,-33337.0,True,2018,4,JAPAN
132631,200000694,FR0011443860,2018-05-31,923597.0,8.0,913515.0,0.0,913515.0,10082.0,True,2018,5,JAPAN
132632,200000694,FR0011443860,2018-06-30,917435.0,0.0,923597.0,8.0,923605.0,-6170.0,True,2018,6,JAPAN
132633,200000694,FR0011443860,2018-07-31,901562.0,-663.0,917435.0,0.0,917435.0,-15873.0,True,2018,7,JAPAN
132634,200000694,FR0011443860,2018-08-31,881672.0,-1458.0,901562.0,-663.0,900899.0,-19227.0,True,2018,8,JAPAN
132635,200000694,FR0011443860,2018-09-30,868968.0,0.0,881672.0,-1458.0,880214.0,-11246.0,True,2018,9,JAPAN
132636,200000694,FR0011443860,2018-10-31,848489.0,173.0,868968.0,0.0,868968.0,-20479.0,True,2018,10,JAPAN
132637,200000694,FR0011443860,2018-11-30,829892.0,-890.0,848489.0,173.0,848662.0,-18770.0,True,2018,11,JAPAN
132638,200000694,FR0011443860,2018-12-31,800603.0,0.0,829892.0,-890.0,829002.0,-28399.0,True,2018,12,JAPAN
132639,200000694,FR0011443860,2019-01-31,811569.0,-10.0,800603.0,0.0,800603.0,10966.0,True,2019,1,JAPAN
132640,200000694,FR0011443860,2019-02-28,798425.0,-489.0,811569.0,-10.0,811559.0,-13134.0,True,2019,2,JAPAN
132641,200000694,FR0011443860,2019-03-31,788472.0,0.0,798425.0,-489.0,797936.0,-9464.0,True,2019,3,JAPAN
132642,200000694,FR0011443860,2019-04-30,763506.0,0.0,788472.0,0.0,788472.0,-24966.0,True,2019,4,JAPAN
132643,200000694,FR0011443860,2019-05-31,756980.0,-722.0,763506.0,0.0,763506.0,-6526.0,True,2019,5,JAPAN
132644,200000694,FR0011443860,2019-06-30,749228.0,0.0,756980.0,-722.0,756258.0,-7030.0,True,2019,6,JAPAN
132645,200000694,FR0011443860,2019-07-31,737084.0,-925.0,749228.0,0.0,749228.0,-12144.0,True,2019,7,JAPAN
132646,200000694,FR0011443860,2019-08-31,724660.0,0.0,737084.0,-925.0,736159.0,-11499.0,True,2019,8,JAPAN
132647,200000694,FR0011443860,2019-09-30,707557.0,-510.0,724660.0,0.0,724660.0,-17103.0,True,2019,9,JAPAN
132648,200000694,FR0011443860,2019-10-31,687604.0,-65.0,707557.0,-510.0,707047.0,-19443.0,True,2019,10,JAPAN
132649,200000694,FR0011443860,2019-11-30,660661.0,0.0,687604.0,-65.0,687539.0,-26878.0,True,2019,11,JAPAN
132650,200000694,FR0011443860,2019-12-31,638384.0,0.0,660661.0,0.0,660661.0,-22277.0,True,2019,12,JAPAN
132651,200000694,FR0011443860,2020-01-31,616808.0,-329.0,638384.0,0.0,638384.0,-21576.0,True,2020,1,JAPAN
132652,200000694,FR0011443860,2020-02-29,601123.0,0.0,616808.0,-329.0,616479.0,-15356.0,True,2020,2,JAPAN
132653,200000694,FR0011443860,2020-03-31,594670.0,-1029.0,601123.0,0.0,601123.0,-6453.0,True,2020,3,JAPAN
132654,200000694,FR0011443860,2020-04-30,577106.0,0.0,594670.0,-1029.0,593641.0,-16535.0,True,2020,4,JAPAN
132655,200000694,FR0011443860,2020-05-31,572392.0,0.0,577106.0,0.0,577106.0,-4714.0,True,2020,5,JAPAN
132656,200000694,FR0011443860,2020-06-30,568684.0,-202.0,572392.0,0.0,572392.0,-3708.0,True,2020,6,JAPAN
132657,200000694,FR0011443860,2020-07-31,551478.0,-125.0,568684.0,-202.0,568482.0,-17004.0,True,2020,7,JAPAN
132658,200000694,FR0011443860,2020-08-31,539452.0,-640.0,551478.0,-125.0,551353.0,-11901.0,True,2020,8,JAPAN
132659,200000694,FR0011443860,2020-09-30,528867.0,-117.0,539452.0,-640.0,538812.0,-9945.0,True,2020,9,JAPAN
132660,200000694,FR0011443860,2020-10-31,514029.0,0.0,528867.0,-117.0,528750.0,-14721.0,True,2020,10,JAPAN
132661,200000694,FR0011443860,2020-11-30,485425.0,-5855.0,514029.0,0.0,514029.0,-28604.0,True,2020,11,JAPAN
132662,200000694,FR0011443860,2020-12-31,461947.0,0.0,485425.0,-5855.0,479570.0,-17623.0,True,2020,12,JAPAN
132663,200000694,FR0011443860,2021-01-31,447297.0,0.0,461947.0,0.0,461947.0,-14650.0,True,2021,1,JAPAN
132664,200000694,FR0011443860,2021-02-28,433033.0,0.0,447297.0,0.0,447297.0,-14264.0,True,2021,2,JAPAN
132665,200000694,FR0011443860,2021-03-31,419405.0,0.0,433033.0,0.0,433033.0,-13628.0,True,2021,3,JAPAN
132666,200000694,FR0011443860,2021-04-30,419333.0,0.0,419405.0,0.0,419405.0,-72.0,True,2021,4,JAPAN
132667,200000694,FR0011443860,2021-05-31,415593.0,0.0,419333.0,0.0,419333.0,-3740.0,True,2021,5,JAPAN
132668,200000694,FR0011443860,2021-06-30,410476.0,0.0,415593.0,0.0,415593.0,-5117.0,True,2021,6,JAPAN
132669,200000694,FR0011443860,2021-07-31,406793.0,0.0,410476.0,0.0,410476.0,-3683.0,True,2021,7,JAPAN
132670,200000694,FR0011443860,2021-08-31,403006.0,0.0,406793.0,0.0,406793.0,-3787.0,True,2021,8,JAPAN
132671,200000694,FR0011443860,2021-09-30,399006.0,0.0,403006.0,0.0,403006.0,-4000.0,True,2021,9,JAPAN
132672,200000694,FR0011443860,2021-10-31,392632.0,0.0,399006.0,0.0,399006.0,-6374.0,True,2021,10,JAPAN
132673,200000694,FR0011443860,2021-11-30,388366.0,0.0,392632.0,0.0,392632.0,-4266.0,True,2021,11,JAPAN
132674,200000694,FR0011443860,2021-12-31,384487.0,0.0,388366.0,0.0,388366.0,-3879.0,True,2021,12,JAPAN
132675,200000694,FR0011443860,2022-01-31,382267.0,0.0,384487.0,0.0,384487.0,-2220.0,True,2022,1,JAPAN
132676,200000694,FR0011443860,2022-02-28,380163.0,0.0,382267.0,0.0,382267.0,-2104.0,True,2022,2,JAPAN
132677,200000694,FR0011443860,2022-03-31,380267.0,0.0,380163.0,0.0,380163.0,104.0,True,2022,3,JAPAN
132678,200000694,FR0011443860,2022-04-30,377026.0,0.0,380267.0,0.0,380267.0,-3241.0,True,2022,4,JAPAN
132679,200000694,FR0011443860,2022-05-31,376900.0,0.0,377026.0,0.0,377026.0,-126.0,True,2022,5,JAPAN
132680,200000694,FR0011443860,2022-06-30,375391.0,0.0,376900.0,0.0,376900.0,-1509.0,True,2022,6,JAPAN
132681,200000694,FR0011443860,2022-07-31,370691.0,0.0,375391.0,0.0,375391.0,-4700.0,True,2022,7,JAPAN
132682,200000694,FR0011443860,2022-08-31,369121.0,0.0,370691.0,0.0,370691.0,-1570.0,True,2022,8,JAPAN
132683,200000694,FR0011443860,2022-09-30,367567.0,0.0,369121.0,0.0,369121.0,-1554.0,True,2022,9,JAPAN
132684,200000694,FR0011443860,2022-10-31,365278.0,0.0,367567.0,0.0,367567.0,-2289.0,True,2022,10,JAPAN
132685,200000694,FR0011443860,2022-11-30,360748.0,-1476.0,365278.0,0.0,365278.0,-4530.0,True,2022,11,JAPAN
132686,200000694,FR0011443860,2022-12-31,357752.0,0.0,360748.0,-1476.0,359272.0,-1520.0,True,2022,12,JAPAN
132687,200000694,FR0011443860,2023-01-31,356283.0,0.0,357752.0,0.0,357752.0,-1469.0,True,2023,1,JAPAN
132688,200000694,FR0011443860,2023-02-28,354800.0,0.0,356283.0,0.0,356283.0,-1483.0,True,2023,2,JAPAN
132689,200000694,FR0011443860,2023-03-31,354800.0,0.0,354800.0,0.0,354800.0,0.0,False,2023,3,JAPAN
132690,200000694,FR0011443860,2023-04-30,348270.0,0.0,354800.0,0.0,354800.0,-6530.0,True,2023,4,JAPAN
132691,200000694,FR0011443860,2023-05-31,345521.0,0.0,348270.0,0.0,348270.0,-2749.0,True,2023,5,JAPAN
132692,200000694,FR0011443860,2023-06-30,341785.0,0.0,345521.0,0.0,345521.0,-3736.0,True,2023,6,JAPAN
132693,200000694,FR0011443860,2023-07-31,335812.0,0.0,341785.0,0.0,341785.0,-5973.0,True,2023,7,JAPAN
132694,200000694,FR0011443860,2023-08-31,332301.0,0.0,335812.0,0.0,335812.0,-3511.0,True,2023,8,JAPAN
132695,200000694,FR0011443860,2023-09-30,334459.0,0.0,332301.0,0.0,332301.0,2158.0,True,2023,9,JAPAN
132696,200000694,FR0011443860,2023-10-31,329725.0,0.0,334459.0,0.0,334459.0,-4734.0,True,2023,10,JAPAN
132697,200000694,FR0011443860,2023-11-30,318615.0,0.0,329725.0,0.0,329725.0,-11110.0,True,2023,11,JAPAN
132698,200000694,FR0011443860,2023-12-31,315137.0,0.0,318615.0,0.0,318615.0,-3478.0,True,2023,12,JAPAN
132699,200000694,FR0011443860,2024-01-31,310139.0,0.0,315137.0,0.0,315137.0,-4998.0,True,2024,1,JAPAN
132700,200000694,FR0011443860,2024-02-29,308580.0,0.0,310139.0,0.0,310139.0,-1559.0,True,2024,2,JAPAN
132701,200000694,FR0011443860,2024-03-31,306666.0,0.0,308580.0,0.0,308580.0,-1914.0,True,2024,3,JAPAN
132702,200000694,FR0011443860,2024-04-30,297086.0,0.0,306666.0,0.0,306666.0,-9580.0,True,2024,4,JAPAN
132703,200000694,FR0011443860,2024-05-31,297086.0,0.0,297086.0,0.0,297086.0,0.0,False,2024,5,JAPAN
132704,200000694,FR0011443860,2024-06-30,293732.0,0.0,297086.0,0.0,297086.0,-3354.0,True,2024,6,JAPAN
132705,200000694,FR0011443860,2024-07-31,290545.0,0.0,293732.0,0.0,293732.0,-3187.0,True,2024,7,JAPAN
132706,200000694,FR0011443860,2024-08-31,288763.0,0.0,290545.0,0.0,290545.0,-1782.0,True,2024,8,JAPAN
132707,200000694,FR0011443860,2024-09-30,287147.0,0.0,288763.0,0.0,288763.0,-1616.0,True,2024,9,JAPAN
132708,200000694,FR0011443860,2024-10-31,281529.0,0.0,287147.0,0.0,287147.0,-5618.0,True,2024,10,JAPAN
132709,200000694,FR0011443860,2024-11-30,279974.0,0.0,281529.0,0.0,281529.0,-1555.0,True,2024,11,JAPAN
132710,200000694,FR0011443860,2024-12-31,278316.0,0.0,279974.0,0.0,279974.0,-1658.0,True,2024,12,JAPAN
132711,200000694,FR0011443860,2025-01-31,272961.0,0.0,278316.0,0.0,278316.0,-5355.0,True,2025,1,JAPAN
132712,200000694,FR0011443860,2025-02-28,271313.0,0.0,272961.0,0.0,272961.0,-1648.0,True,2025,2,JAPAN
132713,200000694,FR0011443860,2025-03-31,269818.0,0.0,271313.0,0.0,271313.0,-1495.0,True,2025,3,JAPAN
132714,200000694,FR0011443860,2025-04-30,266406.0,0.0,269818.0,0.0,269818.0,-3412.0,True,2025,4,JAPAN
132715,200000694,FR0011443860,2025-05-31,263311.0,0.0,266406.0,0.0,266406.0,-3095.0,True,2025,5,JAPAN
132716,200000694,FR0011443860,2025-06-30,260075.0,0.0,263311.0,0.0,263311.0,-3236.0,True,2025,6,JAPAN
132717,200000694,FR0011443860,2025-07-31,253806.0,0.0,260075.0,0.0,260075.0,-6269.0,True,2025,7,JAPAN
132718,200000694,FR0011443860,2025-08-31,253806.0,0.0,253806.0,0.0,253806.0,0.0,False,2025,8,JAPAN
132719,200000694,FR0011443860,2025-09-30,251925.0,0.0,253806.0,0.0,253806.0,-1881.0,True,2025,9,JAPAN
132720,200000694,FR0011443860,2025-10-31,247638.0,-1520.0,251925.0,0.0,251925.0,-4287.0,True,2025,10,JAPAN
1 Registrar Account - ID Product - Isin Centralisation Date Quantity - AUM Quantity - NetFlows prev_stock prev_netflows expected_stock gap rupture_flag year month country
2 132461 200000693 FR0011443852 2015-01-31 2510667.0 0.0 0.0 False 2015 1 JAPAN
3 132462 200000693 FR0011443852 2015-02-28 2474070.0 0.0 2510667.0 0.0 2510667.0 -36597.0 True 2015 2 JAPAN
4 132463 200000693 FR0011443852 2015-03-31 2439395.0 -405.0 2474070.0 0.0 2474070.0 -34675.0 True 2015 3 JAPAN
5 132464 200000693 FR0011443852 2015-04-30 2442855.0 5689.0 2439395.0 -405.0 2438990.0 3865.0 True 2015 4 JAPAN
6 132465 200000693 FR0011443852 2015-05-31 2491808.0 0.0 2442855.0 5689.0 2448544.0 43264.0 True 2015 5 JAPAN
7 132466 200000693 FR0011443852 2015-06-30 2497771.0 -267.0 2491808.0 0.0 2491808.0 5963.0 True 2015 6 JAPAN
8 132467 200000693 FR0011443852 2015-07-31 2537805.0 2192.0 2497771.0 -267.0 2497504.0 40301.0 True 2015 7 JAPAN
9 132468 200000693 FR0011443852 2015-08-31 2584574.0 11860.0 2537805.0 2192.0 2539997.0 44577.0 True 2015 8 JAPAN
10 132469 200000693 FR0011443852 2015-09-30 2615370.0 757.0 2584574.0 11860.0 2596434.0 18936.0 True 2015 9 JAPAN
11 132470 200000693 FR0011443852 2015-10-31 2625040.0 0.0 2615370.0 757.0 2616127.0 8913.0 True 2015 10 JAPAN
12 132471 200000693 FR0011443852 2015-11-30 2621624.0 -2400.0 2625040.0 0.0 2625040.0 -3416.0 True 2015 11 JAPAN
13 132472 200000693 FR0011443852 2015-12-31 2616251.0 0.0 2621624.0 -2400.0 2619224.0 -2973.0 True 2015 12 JAPAN
14 132473 200000693 FR0011443852 2016-01-31 2623129.0 0.0 2616251.0 0.0 2616251.0 6878.0 True 2016 1 JAPAN
15 132474 200000693 FR0011443852 2016-02-29 2611642.0 -11347.0 2623129.0 0.0 2623129.0 -11487.0 True 2016 2 JAPAN
16 132475 200000693 FR0011443852 2016-03-31 2582937.0 -335.0 2611642.0 -11347.0 2600295.0 -17358.0 True 2016 3 JAPAN
17 132476 200000693 FR0011443852 2016-04-30 2584730.0 0.0 2582937.0 -335.0 2582602.0 2128.0 True 2016 4 JAPAN
18 132477 200000693 FR0011443852 2016-05-31 2567382.0 519.0 2584730.0 0.0 2584730.0 -17348.0 True 2016 5 JAPAN
19 132478 200000693 FR0011443852 2016-06-30 2506656.0 72.0 2567382.0 519.0 2567901.0 -61245.0 True 2016 6 JAPAN
20 132479 200000693 FR0011443852 2016-07-31 2477721.0 0.0 2506656.0 72.0 2506728.0 -29007.0 True 2016 7 JAPAN
21 132480 200000693 FR0011443852 2016-08-31 2448341.0 1153.0 2477721.0 0.0 2477721.0 -29380.0 True 2016 8 JAPAN
22 132481 200000693 FR0011443852 2016-09-30 2425174.0 -1044.0 2448341.0 1153.0 2449494.0 -24320.0 True 2016 9 JAPAN
23 132482 200000693 FR0011443852 2016-10-31 2401844.0 1851.0 2425174.0 -1044.0 2424130.0 -22286.0 True 2016 10 JAPAN
24 132483 200000693 FR0011443852 2016-11-30 2372297.0 -1126.0 2401844.0 1851.0 2403695.0 -31398.0 True 2016 11 JAPAN
25 132484 200000693 FR0011443852 2016-12-31 2363093.0 0.0 2372297.0 -1126.0 2371171.0 -8078.0 True 2016 12 JAPAN
26 132485 200000693 FR0011443852 2017-01-31 2353086.0 -2917.0 2363093.0 0.0 2363093.0 -10007.0 True 2017 1 JAPAN
27 132486 200000693 FR0011443852 2017-02-28 2185924.0 -898.0 2353086.0 -2917.0 2350169.0 -164245.0 True 2017 2 JAPAN
28 132487 200000693 FR0011443852 2017-03-31 2175102.0 -164.0 2185924.0 -898.0 2185026.0 -9924.0 True 2017 3 JAPAN
29 132488 200000693 FR0011443852 2017-04-30 2136578.0 0.0 2175102.0 -164.0 2174938.0 -38360.0 True 2017 4 JAPAN
30 132489 200000693 FR0011443852 2017-05-31 2101070.0 -576.0 2136578.0 0.0 2136578.0 -35508.0 True 2017 5 JAPAN
31 132490 200000693 FR0011443852 2017-06-30 2089314.0 164.0 2101070.0 -576.0 2100494.0 -11180.0 True 2017 6 JAPAN
32 132491 200000693 FR0011443852 2017-07-31 2076567.0 -1220.0 2089314.0 164.0 2089478.0 -12911.0 True 2017 7 JAPAN
33 132492 200000693 FR0011443852 2017-08-31 2042396.0 -843.0 2076567.0 -1220.0 2075347.0 -32951.0 True 2017 8 JAPAN
34 132493 200000693 FR0011443852 2017-09-30 2024589.0 0.0 2042396.0 -843.0 2041553.0 -16964.0 True 2017 9 JAPAN
35 132494 200000693 FR0011443852 2017-10-31 1998803.0 0.0 2024589.0 0.0 2024589.0 -25786.0 True 2017 10 JAPAN
36 132495 200000693 FR0011443852 2017-11-30 1986731.0 -753.0 1998803.0 0.0 1998803.0 -12072.0 True 2017 11 JAPAN
37 132496 200000693 FR0011443852 2017-12-31 1967123.0 0.0 1986731.0 -753.0 1985978.0 -18855.0 True 2017 12 JAPAN
38 132497 200000693 FR0011443852 2018-01-31 1936659.0 -1599.0 1967123.0 0.0 1967123.0 -30464.0 True 2018 1 JAPAN
39 132498 200000693 FR0011443852 2018-02-28 1914512.0 -772.0 1936659.0 -1599.0 1935060.0 -20548.0 True 2018 2 JAPAN
40 132499 200000693 FR0011443852 2018-03-31 1899884.0 0.0 1914512.0 -772.0 1913740.0 -13856.0 True 2018 3 JAPAN
41 132500 200000693 FR0011443852 2018-04-30 1814015.0 0.0 1899884.0 0.0 1899884.0 -85869.0 True 2018 4 JAPAN
42 132501 200000693 FR0011443852 2018-05-31 1832300.0 -1338.0 1814015.0 0.0 1814015.0 18285.0 True 2018 5 JAPAN
43 132502 200000693 FR0011443852 2018-06-30 1797160.0 0.0 1832300.0 -1338.0 1830962.0 -33802.0 True 2018 6 JAPAN
44 132503 200000693 FR0011443852 2018-07-31 1749457.0 -2480.0 1797160.0 0.0 1797160.0 -47703.0 True 2018 7 JAPAN
45 132504 200000693 FR0011443852 2018-08-31 1711699.0 -2675.0 1749457.0 -2480.0 1746977.0 -35278.0 True 2018 8 JAPAN
46 132505 200000693 FR0011443852 2018-09-30 1678150.0 0.0 1711699.0 -2675.0 1709024.0 -30874.0 True 2018 9 JAPAN
47 132506 200000693 FR0011443852 2018-10-31 1632548.0 114.0 1678150.0 0.0 1678150.0 -45602.0 True 2018 10 JAPAN
48 132507 200000693 FR0011443852 2018-11-30 1577297.0 -2547.0 1632548.0 114.0 1632662.0 -55365.0 True 2018 11 JAPAN
49 132508 200000693 FR0011443852 2018-12-31 1508908.0 0.0 1577297.0 -2547.0 1574750.0 -65842.0 True 2018 12 JAPAN
50 132509 200000693 FR0011443852 2019-01-31 1505010.0 -1624.0 1508908.0 0.0 1508908.0 -3898.0 True 2019 1 JAPAN
51 132510 200000693 FR0011443852 2019-02-28 1472494.0 -1013.0 1505010.0 -1624.0 1503386.0 -30892.0 True 2019 2 JAPAN
52 132511 200000693 FR0011443852 2019-03-31 1442603.0 0.0 1472494.0 -1013.0 1471481.0 -28878.0 True 2019 3 JAPAN
53 132512 200000693 FR0011443852 2019-04-30 1383105.0 0.0 1442603.0 0.0 1442603.0 -59498.0 True 2019 4 JAPAN
54 132513 200000693 FR0011443852 2019-05-31 1373609.0 -3703.0 1383105.0 0.0 1383105.0 -9496.0 True 2019 5 JAPAN
55 132514 200000693 FR0011443852 2019-06-30 1349050.0 0.0 1373609.0 -3703.0 1369906.0 -20856.0 True 2019 6 JAPAN
56 132515 200000693 FR0011443852 2019-07-31 1317287.0 -2881.0 1349050.0 0.0 1349050.0 -31763.0 True 2019 7 JAPAN
57 132516 200000693 FR0011443852 2019-08-31 1286004.0 0.0 1317287.0 -2881.0 1314406.0 -28402.0 True 2019 8 JAPAN
58 132517 200000693 FR0011443852 2019-09-30 1249671.0 -2046.0 1286004.0 0.0 1286004.0 -36333.0 True 2019 9 JAPAN
59 132518 200000693 FR0011443852 2019-10-31 1204971.0 -64.0 1249671.0 -2046.0 1247625.0 -42654.0 True 2019 10 JAPAN
60 132519 200000693 FR0011443852 2019-11-30 1160815.0 0.0 1204971.0 -64.0 1204907.0 -44092.0 True 2019 11 JAPAN
61 132520 200000693 FR0011443852 2019-12-31 1113090.0 0.0 1160815.0 0.0 1160815.0 -47725.0 True 2019 12 JAPAN
62 132521 200000693 FR0011443852 2020-01-31 1085539.0 -70.0 1113090.0 0.0 1113090.0 -27551.0 True 2020 1 JAPAN
63 132522 200000693 FR0011443852 2020-02-29 1051967.0 0.0 1085539.0 -70.0 1085469.0 -33502.0 True 2020 2 JAPAN
64 132523 200000693 FR0011443852 2020-03-31 1039796.0 -1006.0 1051967.0 0.0 1051967.0 -12171.0 True 2020 3 JAPAN
65 132524 200000693 FR0011443852 2020-04-30 1007630.0 0.0 1039796.0 -1006.0 1038790.0 -31160.0 True 2020 4 JAPAN
66 132525 200000693 FR0011443852 2020-05-31 999347.0 0.0 1007630.0 0.0 1007630.0 -8283.0 True 2020 5 JAPAN
67 132526 200000693 FR0011443852 2020-06-30 997449.0 -745.0 999347.0 0.0 999347.0 -1898.0 True 2020 6 JAPAN
68 132527 200000693 FR0011443852 2020-07-31 971089.0 -1392.0 997449.0 -745.0 996704.0 -25615.0 True 2020 7 JAPAN
69 132528 200000693 FR0011443852 2020-08-31 943669.0 -1665.0 971089.0 -1392.0 969697.0 -26028.0 True 2020 8 JAPAN
70 132529 200000693 FR0011443852 2020-09-30 920571.0 -379.0 943669.0 -1665.0 942004.0 -21433.0 True 2020 9 JAPAN
71 132530 200000693 FR0011443852 2020-10-31 886252.0 0.0 920571.0 -379.0 920192.0 -33940.0 True 2020 10 JAPAN
72 132531 200000693 FR0011443852 2020-11-30 852345.0 -5976.0 886252.0 0.0 886252.0 -33907.0 True 2020 11 JAPAN
73 132532 200000693 FR0011443852 2020-12-31 833961.0 0.0 852345.0 -5976.0 846369.0 -12408.0 True 2020 12 JAPAN
74 132533 200000693 FR0011443852 2021-01-31 826995.0 0.0 833961.0 0.0 833961.0 -6966.0 True 2021 1 JAPAN
75 132534 200000693 FR0011443852 2021-02-28 812895.0 0.0 826995.0 0.0 826995.0 -14100.0 True 2021 2 JAPAN
76 132535 200000693 FR0011443852 2021-03-31 787435.0 -2343.0 812895.0 0.0 812895.0 -25460.0 True 2021 3 JAPAN
77 132536 200000693 FR0011443852 2021-04-30 789921.0 0.0 787435.0 -2343.0 785092.0 4829.0 True 2021 4 JAPAN
78 132537 200000693 FR0011443852 2021-05-31 787832.0 0.0 789921.0 0.0 789921.0 -2089.0 True 2021 5 JAPAN
79 132538 200000693 FR0011443852 2021-06-30 780724.0 -2509.0 787832.0 0.0 787832.0 -7108.0 True 2021 6 JAPAN
80 132539 200000693 FR0011443852 2021-07-31 773838.0 0.0 780724.0 -2509.0 778215.0 -4377.0 True 2021 7 JAPAN
81 132540 200000693 FR0011443852 2021-08-31 766046.0 0.0 773838.0 0.0 773838.0 -7792.0 True 2021 8 JAPAN
82 132541 200000693 FR0011443852 2021-09-30 761139.0 0.0 766046.0 0.0 766046.0 -4907.0 True 2021 9 JAPAN
83 132542 200000693 FR0011443852 2021-10-31 747821.0 0.0 761139.0 0.0 761139.0 -13318.0 True 2021 10 JAPAN
84 132543 200000693 FR0011443852 2021-11-30 721581.0 -12009.0 747821.0 0.0 747821.0 -26240.0 True 2021 11 JAPAN
85 132544 200000693 FR0011443852 2021-12-31 717363.0 0.0 721581.0 -12009.0 709572.0 7791.0 True 2021 12 JAPAN
86 132545 200000693 FR0011443852 2022-01-31 712625.0 0.0 717363.0 0.0 717363.0 -4738.0 True 2022 1 JAPAN
87 132546 200000693 FR0011443852 2022-02-28 710587.0 0.0 712625.0 0.0 712625.0 -2038.0 True 2022 2 JAPAN
88 132547 200000693 FR0011443852 2022-03-31 708261.0 0.0 710587.0 0.0 710587.0 -2326.0 True 2022 3 JAPAN
89 132548 200000693 FR0011443852 2022-04-30 700048.0 0.0 708261.0 0.0 708261.0 -8213.0 True 2022 4 JAPAN
90 132549 200000693 FR0011443852 2022-05-31 699564.0 0.0 700048.0 0.0 700048.0 -484.0 True 2022 5 JAPAN
91 132550 200000693 FR0011443852 2022-06-30 693541.0 -3040.0 699564.0 0.0 699564.0 -6023.0 True 2022 6 JAPAN
92 132551 200000693 FR0011443852 2022-07-31 687491.0 0.0 693541.0 -3040.0 690501.0 -3010.0 True 2022 7 JAPAN
93 132552 200000693 FR0011443852 2022-08-31 684494.0 0.0 687491.0 0.0 687491.0 -2997.0 True 2022 8 JAPAN
94 132553 200000693 FR0011443852 2022-09-30 684494.0 0.0 684494.0 0.0 684494.0 0.0 False 2022 9 JAPAN
95 132554 200000693 FR0011443852 2022-10-31 675192.0 0.0 684494.0 0.0 684494.0 -9302.0 True 2022 10 JAPAN
96 132555 200000693 FR0011443852 2022-11-30 669084.0 0.0 675192.0 0.0 675192.0 -6108.0 True 2022 11 JAPAN
97 132556 200000693 FR0011443852 2022-12-31 666126.0 0.0 669084.0 0.0 669084.0 -2958.0 True 2022 12 JAPAN
98 132557 200000693 FR0011443852 2023-01-31 663264.0 0.0 666126.0 0.0 666126.0 -2862.0 True 2023 1 JAPAN
99 132558 200000693 FR0011443852 2023-02-28 651449.0 0.0 663264.0 0.0 663264.0 -11815.0 True 2023 2 JAPAN
100 132559 200000693 FR0011443852 2023-03-31 648411.0 0.0 651449.0 0.0 651449.0 -3038.0 True 2023 3 JAPAN
101 132560 200000693 FR0011443852 2023-04-30 640960.0 0.0 648411.0 0.0 648411.0 -7451.0 True 2023 4 JAPAN
102 132561 200000693 FR0011443852 2023-05-31 632891.0 0.0 640960.0 0.0 640960.0 -8069.0 True 2023 5 JAPAN
103 132562 200000693 FR0011443852 2023-06-30 606139.0 -3796.0 632891.0 0.0 632891.0 -26752.0 True 2023 6 JAPAN
104 132563 200000693 FR0011443852 2023-07-31 594725.0 0.0 606139.0 -3796.0 602343.0 -7618.0 True 2023 7 JAPAN
105 132564 200000693 FR0011443852 2023-08-31 588469.0 0.0 594725.0 0.0 594725.0 -6256.0 True 2023 8 JAPAN
106 132565 200000693 FR0011443852 2023-09-30 576468.0 0.0 588469.0 0.0 588469.0 -12001.0 True 2023 9 JAPAN
107 132566 200000693 FR0011443852 2023-10-31 563365.0 0.0 576468.0 0.0 576468.0 -13103.0 True 2023 10 JAPAN
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61
data_exploration/eur_gov_indices.csv
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@ -1,61 +0,0 @@
Bond/Index,Description,Date,Total Return % 1-wk-LOC,Yield to Maturity (s.a.),Yield to Maturity (conv.)
G0D0,ICE BofA German Government Index,2008-08-22,-0.302,4.21,4.25
G0D0,ICE BofA German Government Index,2008-08-29,0.304,4.18,4.22
G0D0,ICE BofA German Government Index,2008-09-05,0.978,3.99,4.03
G0D0,ICE BofA German Government Index,2008-09-12,-1.058,4.17,4.21
G0D0,ICE BofA German Government Index,2008-09-19,-0.286,4.22,4.27
G0D0,ICE BofA German Government Index,2008-09-26,0.661,4.05,4.09
G0D0,ICE BofA German Government Index,2008-10-03,1.89,3.71,3.75
G0D0,ICE BofA German Government Index,2008-10-10,0.094,3.61,3.65
G0D0,ICE BofA German Government Index,2008-10-17,-0.355,3.67,3.7
G0D0,ICE BofA German Government Index,2008-10-24,1.637,3.39,3.42
G0D0,ICE BofA German Government Index,2008-10-31,-0.535,3.41,3.44
G0D0,ICE BofA German Government Index,2008-11-07,1.325,3.2,3.23
G0D0,ICE BofA German Government Index,2008-11-14,0.449,3.07,3.1
G0D0,ICE BofA German Government Index,2008-11-21,1.356,2.89,2.92
G0D0,ICE BofA German Government Index,2008-11-28,0.778,2.86,2.88
G0D0,ICE BofA German Government Index,2008-12-05,1.466,2.69,2.7
G0D0,ICE BofA German Government Index,2008-12-12,-1.91,2.96,2.98
G0D0,ICE BofA German Government Index,2008-12-19,1.798,2.65,2.67
G0D0,ICE BofA German Government Index,2008-12-26,0.312,2.6,2.62
G0D0,ICE BofA German Government Index,2009-01-02,0.264,2.56,2.57
EG04,ICE BofA 7-10 Year Euro Government Index,2011-03-11,0.375,4.17,4.21
EG04,ICE BofA 7-10 Year Euro Government Index,2011-03-18,0.8,4.07,4.1
EG04,ICE BofA 7-10 Year Euro Government Index,2011-03-25,-0.685,4.17,4.21
EG04,ICE BofA 7-10 Year Euro Government Index,2011-04-01,-0.785,4.31,4.35
EG04,ICE BofA 7-10 Year Euro Government Index,2011-04-08,0.023,4.33,4.37
EG04,ICE BofA 7-10 Year Euro Government Index,2011-04-15,0.168,4.31,4.35
EG04,ICE BofA 7-10 Year Euro Government Index,2011-04-22,0.3205,4.265,4.305
EG04,ICE BofA 7-10 Year Euro Government Index,2011-04-29,0.473,4.22,4.26
EG04,ICE BofA 7-10 Year Euro Government Index,2011-05-06,0.455,4.22,4.26
EG04,ICE BofA 7-10 Year Euro Government Index,2011-05-13,0.517,4.15,4.19
EG04,ICE BofA 7-10 Year Euro Government Index,2011-05-20,-0.18,4.19,4.23
EG04,ICE BofA 7-10 Year Euro Government Index,2011-05-27,0.494,4.12,4.16
EG04,ICE BofA 7-10 Year Euro Government Index,2011-06-03,0.297,4.11,4.15
EG04,ICE BofA 7-10 Year Euro Government Index,2011-06-10,-0.326,4.16,4.2
EG04,ICE BofA 7-10 Year Euro Government Index,2011-06-17,-0.217,4.17,4.21
EG04,ICE BofA 7-10 Year Euro Government Index,2011-06-24,-0.135,4.18,4.23
EG04,ICE BofA 7-10 Year Euro Government Index,2011-07-01,-0.055,4.18,4.22
EG04,ICE BofA 7-10 Year Euro Government Index,2011-07-08,-0.699,4.24,4.29
EG04,ICE BofA 7-10 Year Euro Government Index,2011-07-15,-0.923,4.35,4.4
EG04,ICE BofA 7-10 Year Euro Government Index,2011-07-22,1.181,4.25,4.29
EG04,ICE BofA 7-10 Year Euro Government Index,2016-01-15,0.122,0.85,0.85
EG04,ICE BofA 7-10 Year Euro Government Index,2016-01-22,0.269,0.82,0.82
EG04,ICE BofA 7-10 Year Euro Government Index,2016-01-29,1.123,0.67,0.67
EG04,ICE BofA 7-10 Year Euro Government Index,2016-02-05,-0.268,0.72,0.72
EG04,ICE BofA 7-10 Year Euro Government Index,2016-02-12,-0.209,0.75,0.75
EG04,ICE BofA 7-10 Year Euro Government Index,2016-02-19,0.454,0.69,0.69
EG04,ICE BofA 7-10 Year Euro Government Index,2016-02-26,0.547,0.62,0.62
EG04,ICE BofA 7-10 Year Euro Government Index,2016-03-04,-0.154,0.64,0.65
EG04,ICE BofA 7-10 Year Euro Government Index,2016-03-11,0.28,0.61,0.61
EG04,ICE BofA 7-10 Year Euro Government Index,2016-03-18,0.357,0.56,0.57
EG04,ICE BofA 7-10 Year Euro Government Index,2016-03-25,0.41100000000000003,0.535,0.54
EG04,ICE BofA 7-10 Year Euro Government Index,2016-04-01,0.465,0.51,0.51
EG04,ICE BofA 7-10 Year Euro Government Index,2016-04-08,-0.114,0.53,0.53
EG04,ICE BofA 7-10 Year Euro Government Index,2016-04-15,-0.097,0.54,0.54
EG04,ICE BofA 7-10 Year Euro Government Index,2016-04-22,-0.66,0.63,0.63
EG04,ICE BofA 7-10 Year Euro Government Index,2016-04-29,-0.338,0.68,0.68
EG04,ICE BofA 7-10 Year Euro Government Index,2016-05-06,0.65,0.6,0.6
EG04,ICE BofA 7-10 Year Euro Government Index,2016-05-13,0.211,0.57,0.57
EG04,ICE BofA 7-10 Year Euro Government Index,2016-05-20,-0.142,0.59,0.59
EG04,ICE BofA 7-10 Year Euro Government Index,2016-05-27,0.471,0.53,0.53
1 Bond/Index Description Date Total Return % 1-wk-LOC Yield to Maturity (s.a.) Yield to Maturity (conv.)
2 G0D0 ICE BofA German Government Index 2008-08-22 -0.302 4.21 4.25
3 G0D0 ICE BofA German Government Index 2008-08-29 0.304 4.18 4.22
4 G0D0 ICE BofA German Government Index 2008-09-05 0.978 3.99 4.03
5 G0D0 ICE BofA German Government Index 2008-09-12 -1.058 4.17 4.21
6 G0D0 ICE BofA German Government Index 2008-09-19 -0.286 4.22 4.27
7 G0D0 ICE BofA German Government Index 2008-09-26 0.661 4.05 4.09
8 G0D0 ICE BofA German Government Index 2008-10-03 1.89 3.71 3.75
9 G0D0 ICE BofA German Government Index 2008-10-10 0.094 3.61 3.65
10 G0D0 ICE BofA German Government Index 2008-10-17 -0.355 3.67 3.7
11 G0D0 ICE BofA German Government Index 2008-10-24 1.637 3.39 3.42
12 G0D0 ICE BofA German Government Index 2008-10-31 -0.535 3.41 3.44
13 G0D0 ICE BofA German Government Index 2008-11-07 1.325 3.2 3.23
14 G0D0 ICE BofA German Government Index 2008-11-14 0.449 3.07 3.1
15 G0D0 ICE BofA German Government Index 2008-11-21 1.356 2.89 2.92
16 G0D0 ICE BofA German Government Index 2008-11-28 0.778 2.86 2.88
17 G0D0 ICE BofA German Government Index 2008-12-05 1.466 2.69 2.7
18 G0D0 ICE BofA German Government Index 2008-12-12 -1.91 2.96 2.98
19 G0D0 ICE BofA German Government Index 2008-12-19 1.798 2.65 2.67
20 G0D0 ICE BofA German Government Index 2008-12-26 0.312 2.6 2.62
21 G0D0 ICE BofA German Government Index 2009-01-02 0.264 2.56 2.57
22 EG04 ICE BofA 7-10 Year Euro Government Index 2011-03-11 0.375 4.17 4.21
23 EG04 ICE BofA 7-10 Year Euro Government Index 2011-03-18 0.8 4.07 4.1
24 EG04 ICE BofA 7-10 Year Euro Government Index 2011-03-25 -0.685 4.17 4.21
25 EG04 ICE BofA 7-10 Year Euro Government Index 2011-04-01 -0.785 4.31 4.35
26 EG04 ICE BofA 7-10 Year Euro Government Index 2011-04-08 0.023 4.33 4.37
27 EG04 ICE BofA 7-10 Year Euro Government Index 2011-04-15 0.168 4.31 4.35
28 EG04 ICE BofA 7-10 Year Euro Government Index 2011-04-22 0.3205 4.265 4.305
29 EG04 ICE BofA 7-10 Year Euro Government Index 2011-04-29 0.473 4.22 4.26
30 EG04 ICE BofA 7-10 Year Euro Government Index 2011-05-06 0.455 4.22 4.26
31 EG04 ICE BofA 7-10 Year Euro Government Index 2011-05-13 0.517 4.15 4.19
32 EG04 ICE BofA 7-10 Year Euro Government Index 2011-05-20 -0.18 4.19 4.23
33 EG04 ICE BofA 7-10 Year Euro Government Index 2011-05-27 0.494 4.12 4.16
34 EG04 ICE BofA 7-10 Year Euro Government Index 2011-06-03 0.297 4.11 4.15
35 EG04 ICE BofA 7-10 Year Euro Government Index 2011-06-10 -0.326 4.16 4.2
36 EG04 ICE BofA 7-10 Year Euro Government Index 2011-06-17 -0.217 4.17 4.21
37 EG04 ICE BofA 7-10 Year Euro Government Index 2011-06-24 -0.135 4.18 4.23
38 EG04 ICE BofA 7-10 Year Euro Government Index 2011-07-01 -0.055 4.18 4.22
39 EG04 ICE BofA 7-10 Year Euro Government Index 2011-07-08 -0.699 4.24 4.29
40 EG04 ICE BofA 7-10 Year Euro Government Index 2011-07-15 -0.923 4.35 4.4
41 EG04 ICE BofA 7-10 Year Euro Government Index 2011-07-22 1.181 4.25 4.29
42 EG04 ICE BofA 7-10 Year Euro Government Index 2016-01-15 0.122 0.85 0.85
43 EG04 ICE BofA 7-10 Year Euro Government Index 2016-01-22 0.269 0.82 0.82
44 EG04 ICE BofA 7-10 Year Euro Government Index 2016-01-29 1.123 0.67 0.67
45 EG04 ICE BofA 7-10 Year Euro Government Index 2016-02-05 -0.268 0.72 0.72
46 EG04 ICE BofA 7-10 Year Euro Government Index 2016-02-12 -0.209 0.75 0.75
47 EG04 ICE BofA 7-10 Year Euro Government Index 2016-02-19 0.454 0.69 0.69
48 EG04 ICE BofA 7-10 Year Euro Government Index 2016-02-26 0.547 0.62 0.62
49 EG04 ICE BofA 7-10 Year Euro Government Index 2016-03-04 -0.154 0.64 0.65
50 EG04 ICE BofA 7-10 Year Euro Government Index 2016-03-11 0.28 0.61 0.61
51 EG04 ICE BofA 7-10 Year Euro Government Index 2016-03-18 0.357 0.56 0.57
52 EG04 ICE BofA 7-10 Year Euro Government Index 2016-03-25 0.41100000000000003 0.535 0.54
53 EG04 ICE BofA 7-10 Year Euro Government Index 2016-04-01 0.465 0.51 0.51
54 EG04 ICE BofA 7-10 Year Euro Government Index 2016-04-08 -0.114 0.53 0.53
55 EG04 ICE BofA 7-10 Year Euro Government Index 2016-04-15 -0.097 0.54 0.54
56 EG04 ICE BofA 7-10 Year Euro Government Index 2016-04-22 -0.66 0.63 0.63
57 EG04 ICE BofA 7-10 Year Euro Government Index 2016-04-29 -0.338 0.68 0.68
58 EG04 ICE BofA 7-10 Year Euro Government Index 2016-05-06 0.65 0.6 0.6
59 EG04 ICE BofA 7-10 Year Euro Government Index 2016-05-13 0.211 0.57 0.57
60 EG04 ICE BofA 7-10 Year Euro Government Index 2016-05-20 -0.142 0.59 0.59
61 EG04 ICE BofA 7-10 Year Euro Government Index 2016-05-27 0.471 0.53 0.53

761
data_exploration/explore.ipynb
View File

@ -62,20 +62,20 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 12, "execution_count": 9,
"id": "83472648", "id": "83472648",
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
"source": [ "source": [
"with fs.open('s3://projet-bdc-data/carmignac/Data Modélisation/market data/Eur Gov Indices Weekly Step.xlsx', 'rb') as f:\n", "with fs.open('s3://projet-bdc-data/carmignac/Data Modélisation/market data/esterRates.csv', 'rb') as f:\n",
" df = pd.read_excel(f)\n", " df = pd.read_csv(f, sep =\";\")\n",
"\n", "\n",
"sample_df = sample_by_blocks(df, block_size=20, num_blocks=3, random_state=42)" "sample_df = df"
] ]
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 13, "execution_count": 10,
"id": "79af063e", "id": "79af063e",
"metadata": {}, "metadata": {},
"outputs": [ "outputs": [
@ -100,748 +100,89 @@
" <thead>\n", " <thead>\n",
" <tr style=\"text-align: right;\">\n", " <tr style=\"text-align: right;\">\n",
" <th></th>\n", " <th></th>\n",
" <th>Bond/Index</th>\n",
" <th>Description</th>\n",
" <th>Date</th>\n", " <th>Date</th>\n",
" <th>Total Return % 1-wk-LOC</th>\n", " <th>Yld to Maturity</th>\n",
" <th>Yield to Maturity (s.a.)</th>\n",
" <th>Yield to Maturity (conv.)</th>\n",
" </tr>\n", " </tr>\n",
" </thead>\n", " </thead>\n",
" <tbody>\n", " <tbody>\n",
" <tr>\n", " <tr>\n",
" <th>0</th>\n", " <th>0</th>\n",
" <td>G0D0</td>\n", " <td>31/12/2014</td>\n",
" <td>ICE BofA German Government Index</td>\n", " <td>0.144</td>\n",
" <td>2008-08-22</td>\n",
" <td>-0.3020</td>\n",
" <td>4.210</td>\n",
" <td>4.250</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>1</th>\n", " <th>1</th>\n",
" <td>G0D0</td>\n", " <td>02/01/2015</td>\n",
" <td>ICE BofA German Government Index</td>\n", " <td>-0.079</td>\n",
" <td>2008-08-29</td>\n",
" <td>0.3040</td>\n",
" <td>4.180</td>\n",
" <td>4.220</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>2</th>\n", " <th>2</th>\n",
" <td>G0D0</td>\n", " <td>05/01/2015</td>\n",
" <td>ICE BofA German Government Index</td>\n", " <td>-0.074</td>\n",
" <td>2008-09-05</td>\n",
" <td>0.9780</td>\n",
" <td>3.990</td>\n",
" <td>4.030</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>3</th>\n", " <th>3</th>\n",
" <td>G0D0</td>\n", " <td>06/01/2015</td>\n",
" <td>ICE BofA German Government Index</td>\n", " <td>-0.075</td>\n",
" <td>2008-09-12</td>\n",
" <td>-1.0580</td>\n",
" <td>4.170</td>\n",
" <td>4.210</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>4</th>\n", " <th>4</th>\n",
" <td>G0D0</td>\n", " <td>07/01/2015</td>\n",
" <td>ICE BofA German Government Index</td>\n", " <td>-0.069</td>\n",
" <td>2008-09-19</td>\n",
" <td>-0.2860</td>\n",
" <td>4.220</td>\n",
" <td>4.270</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>5</th>\n", " <th>...</th>\n",
" <td>G0D0</td>\n", " <td>...</td>\n",
" <td>ICE BofA German Government Index</td>\n", " <td>...</td>\n",
" <td>2008-09-26</td>\n",
" <td>0.6610</td>\n",
" <td>4.050</td>\n",
" <td>4.090</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>6</th>\n", " <th>2821</th>\n",
" <td>G0D0</td>\n", " <td>16/10/2025</td>\n",
" <td>ICE BofA German Government Index</td>\n", " <td>1.928</td>\n",
" <td>2008-10-03</td>\n",
" <td>1.8900</td>\n",
" <td>3.710</td>\n",
" <td>3.750</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>7</th>\n", " <th>2822</th>\n",
" <td>G0D0</td>\n", " <td>17/10/2025</td>\n",
" <td>ICE BofA German Government Index</td>\n", " <td>1.928</td>\n",
" <td>2008-10-10</td>\n",
" <td>0.0940</td>\n",
" <td>3.610</td>\n",
" <td>3.650</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>8</th>\n", " <th>2823</th>\n",
" <td>G0D0</td>\n", " <td>20/10/2025</td>\n",
" <td>ICE BofA German Government Index</td>\n", " <td>1.928</td>\n",
" <td>2008-10-17</td>\n",
" <td>-0.3550</td>\n",
" <td>3.670</td>\n",
" <td>3.700</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>9</th>\n", " <th>2824</th>\n",
" <td>G0D0</td>\n", " <td>21/10/2025</td>\n",
" <td>ICE BofA German Government Index</td>\n", " <td>1.927</td>\n",
" <td>2008-10-24</td>\n",
" <td>1.6370</td>\n",
" <td>3.390</td>\n",
" <td>3.420</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>10</th>\n", " <th>2825</th>\n",
" <td>G0D0</td>\n", " <td>22/10/2025</td>\n",
" <td>ICE BofA German Government Index</td>\n", " <td>1.928</td>\n",
" <td>2008-10-31</td>\n",
" <td>-0.5350</td>\n",
" <td>3.410</td>\n",
" <td>3.440</td>\n",
" </tr>\n",
" <tr>\n",
" <th>11</th>\n",
" <td>G0D0</td>\n",
" <td>ICE BofA German Government Index</td>\n",
" <td>2008-11-07</td>\n",
" <td>1.3250</td>\n",
" <td>3.200</td>\n",
" <td>3.230</td>\n",
" </tr>\n",
" <tr>\n",
" <th>12</th>\n",
" <td>G0D0</td>\n",
" <td>ICE BofA German Government Index</td>\n",
" <td>2008-11-14</td>\n",
" <td>0.4490</td>\n",
" <td>3.070</td>\n",
" <td>3.100</td>\n",
" </tr>\n",
" <tr>\n",
" <th>13</th>\n",
" <td>G0D0</td>\n",
" <td>ICE BofA German Government Index</td>\n",
" <td>2008-11-21</td>\n",
" <td>1.3560</td>\n",
" <td>2.890</td>\n",
" <td>2.920</td>\n",
" </tr>\n",
" <tr>\n",
" <th>14</th>\n",
" <td>G0D0</td>\n",
" <td>ICE BofA German Government Index</td>\n",
" <td>2008-11-28</td>\n",
" <td>0.7780</td>\n",
" <td>2.860</td>\n",
" <td>2.880</td>\n",
" </tr>\n",
" <tr>\n",
" <th>15</th>\n",
" <td>G0D0</td>\n",
" <td>ICE BofA German Government Index</td>\n",
" <td>2008-12-05</td>\n",
" <td>1.4660</td>\n",
" <td>2.690</td>\n",
" <td>2.700</td>\n",
" </tr>\n",
" <tr>\n",
" <th>16</th>\n",
" <td>G0D0</td>\n",
" <td>ICE BofA German Government Index</td>\n",
" <td>2008-12-12</td>\n",
" <td>-1.9100</td>\n",
" <td>2.960</td>\n",
" <td>2.980</td>\n",
" </tr>\n",
" <tr>\n",
" <th>17</th>\n",
" <td>G0D0</td>\n",
" <td>ICE BofA German Government Index</td>\n",
" <td>2008-12-19</td>\n",
" <td>1.7980</td>\n",
" <td>2.650</td>\n",
" <td>2.670</td>\n",
" </tr>\n",
" <tr>\n",
" <th>18</th>\n",
" <td>G0D0</td>\n",
" <td>ICE BofA German Government Index</td>\n",
" <td>2008-12-26</td>\n",
" <td>0.3120</td>\n",
" <td>2.600</td>\n",
" <td>2.620</td>\n",
" </tr>\n",
" <tr>\n",
" <th>19</th>\n",
" <td>G0D0</td>\n",
" <td>ICE BofA German Government Index</td>\n",
" <td>2009-01-02</td>\n",
" <td>0.2640</td>\n",
" <td>2.560</td>\n",
" <td>2.570</td>\n",
" </tr>\n",
" <tr>\n",
" <th>20</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2011-03-11</td>\n",
" <td>0.3750</td>\n",
" <td>4.170</td>\n",
" <td>4.210</td>\n",
" </tr>\n",
" <tr>\n",
" <th>21</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2011-03-18</td>\n",
" <td>0.8000</td>\n",
" <td>4.070</td>\n",
" <td>4.100</td>\n",
" </tr>\n",
" <tr>\n",
" <th>22</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2011-03-25</td>\n",
" <td>-0.6850</td>\n",
" <td>4.170</td>\n",
" <td>4.210</td>\n",
" </tr>\n",
" <tr>\n",
" <th>23</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2011-04-01</td>\n",
" <td>-0.7850</td>\n",
" <td>4.310</td>\n",
" <td>4.350</td>\n",
" </tr>\n",
" <tr>\n",
" <th>24</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2011-04-08</td>\n",
" <td>0.0230</td>\n",
" <td>4.330</td>\n",
" <td>4.370</td>\n",
" </tr>\n",
" <tr>\n",
" <th>25</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2011-04-15</td>\n",
" <td>0.1680</td>\n",
" <td>4.310</td>\n",
" <td>4.350</td>\n",
" </tr>\n",
" <tr>\n",
" <th>26</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2011-04-22</td>\n",
" <td>0.3205</td>\n",
" <td>4.265</td>\n",
" <td>4.305</td>\n",
" </tr>\n",
" <tr>\n",
" <th>27</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2011-04-29</td>\n",
" <td>0.4730</td>\n",
" <td>4.220</td>\n",
" <td>4.260</td>\n",
" </tr>\n",
" <tr>\n",
" <th>28</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2011-05-06</td>\n",
" <td>0.4550</td>\n",
" <td>4.220</td>\n",
" <td>4.260</td>\n",
" </tr>\n",
" <tr>\n",
" <th>29</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2011-05-13</td>\n",
" <td>0.5170</td>\n",
" <td>4.150</td>\n",
" <td>4.190</td>\n",
" </tr>\n",
" <tr>\n",
" <th>30</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2011-05-20</td>\n",
" <td>-0.1800</td>\n",
" <td>4.190</td>\n",
" <td>4.230</td>\n",
" </tr>\n",
" <tr>\n",
" <th>31</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2011-05-27</td>\n",
" <td>0.4940</td>\n",
" <td>4.120</td>\n",
" <td>4.160</td>\n",
" </tr>\n",
" <tr>\n",
" <th>32</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2011-06-03</td>\n",
" <td>0.2970</td>\n",
" <td>4.110</td>\n",
" <td>4.150</td>\n",
" </tr>\n",
" <tr>\n",
" <th>33</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2011-06-10</td>\n",
" <td>-0.3260</td>\n",
" <td>4.160</td>\n",
" <td>4.200</td>\n",
" </tr>\n",
" <tr>\n",
" <th>34</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2011-06-17</td>\n",
" <td>-0.2170</td>\n",
" <td>4.170</td>\n",
" <td>4.210</td>\n",
" </tr>\n",
" <tr>\n",
" <th>35</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2011-06-24</td>\n",
" <td>-0.1350</td>\n",
" <td>4.180</td>\n",
" <td>4.230</td>\n",
" </tr>\n",
" <tr>\n",
" <th>36</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2011-07-01</td>\n",
" <td>-0.0550</td>\n",
" <td>4.180</td>\n",
" <td>4.220</td>\n",
" </tr>\n",
" <tr>\n",
" <th>37</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2011-07-08</td>\n",
" <td>-0.6990</td>\n",
" <td>4.240</td>\n",
" <td>4.290</td>\n",
" </tr>\n",
" <tr>\n",
" <th>38</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2011-07-15</td>\n",
" <td>-0.9230</td>\n",
" <td>4.350</td>\n",
" <td>4.400</td>\n",
" </tr>\n",
" <tr>\n",
" <th>39</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2011-07-22</td>\n",
" <td>1.1810</td>\n",
" <td>4.250</td>\n",
" <td>4.290</td>\n",
" </tr>\n",
" <tr>\n",
" <th>40</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2016-01-15</td>\n",
" <td>0.1220</td>\n",
" <td>0.850</td>\n",
" <td>0.850</td>\n",
" </tr>\n",
" <tr>\n",
" <th>41</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2016-01-22</td>\n",
" <td>0.2690</td>\n",
" <td>0.820</td>\n",
" <td>0.820</td>\n",
" </tr>\n",
" <tr>\n",
" <th>42</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2016-01-29</td>\n",
" <td>1.1230</td>\n",
" <td>0.670</td>\n",
" <td>0.670</td>\n",
" </tr>\n",
" <tr>\n",
" <th>43</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2016-02-05</td>\n",
" <td>-0.2680</td>\n",
" <td>0.720</td>\n",
" <td>0.720</td>\n",
" </tr>\n",
" <tr>\n",
" <th>44</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2016-02-12</td>\n",
" <td>-0.2090</td>\n",
" <td>0.750</td>\n",
" <td>0.750</td>\n",
" </tr>\n",
" <tr>\n",
" <th>45</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2016-02-19</td>\n",
" <td>0.4540</td>\n",
" <td>0.690</td>\n",
" <td>0.690</td>\n",
" </tr>\n",
" <tr>\n",
" <th>46</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2016-02-26</td>\n",
" <td>0.5470</td>\n",
" <td>0.620</td>\n",
" <td>0.620</td>\n",
" </tr>\n",
" <tr>\n",
" <th>47</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2016-03-04</td>\n",
" <td>-0.1540</td>\n",
" <td>0.640</td>\n",
" <td>0.650</td>\n",
" </tr>\n",
" <tr>\n",
" <th>48</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2016-03-11</td>\n",
" <td>0.2800</td>\n",
" <td>0.610</td>\n",
" <td>0.610</td>\n",
" </tr>\n",
" <tr>\n",
" <th>49</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2016-03-18</td>\n",
" <td>0.3570</td>\n",
" <td>0.560</td>\n",
" <td>0.570</td>\n",
" </tr>\n",
" <tr>\n",
" <th>50</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2016-03-25</td>\n",
" <td>0.4110</td>\n",
" <td>0.535</td>\n",
" <td>0.540</td>\n",
" </tr>\n",
" <tr>\n",
" <th>51</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2016-04-01</td>\n",
" <td>0.4650</td>\n",
" <td>0.510</td>\n",
" <td>0.510</td>\n",
" </tr>\n",
" <tr>\n",
" <th>52</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2016-04-08</td>\n",
" <td>-0.1140</td>\n",
" <td>0.530</td>\n",
" <td>0.530</td>\n",
" </tr>\n",
" <tr>\n",
" <th>53</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2016-04-15</td>\n",
" <td>-0.0970</td>\n",
" <td>0.540</td>\n",
" <td>0.540</td>\n",
" </tr>\n",
" <tr>\n",
" <th>54</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2016-04-22</td>\n",
" <td>-0.6600</td>\n",
" <td>0.630</td>\n",
" <td>0.630</td>\n",
" </tr>\n",
" <tr>\n",
" <th>55</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2016-04-29</td>\n",
" <td>-0.3380</td>\n",
" <td>0.680</td>\n",
" <td>0.680</td>\n",
" </tr>\n",
" <tr>\n",
" <th>56</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2016-05-06</td>\n",
" <td>0.6500</td>\n",
" <td>0.600</td>\n",
" <td>0.600</td>\n",
" </tr>\n",
" <tr>\n",
" <th>57</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2016-05-13</td>\n",
" <td>0.2110</td>\n",
" <td>0.570</td>\n",
" <td>0.570</td>\n",
" </tr>\n",
" <tr>\n",
" <th>58</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2016-05-20</td>\n",
" <td>-0.1420</td>\n",
" <td>0.590</td>\n",
" <td>0.590</td>\n",
" </tr>\n",
" <tr>\n",
" <th>59</th>\n",
" <td>EG04</td>\n",
" <td>ICE BofA 7-10 Year Euro Government Index</td>\n",
" <td>2016-05-27</td>\n",
" <td>0.4710</td>\n",
" <td>0.530</td>\n",
" <td>0.530</td>\n",
" </tr>\n", " </tr>\n",
" </tbody>\n", " </tbody>\n",
"</table>\n", "</table>\n",
"<p>2826 rows × 2 columns</p>\n",
"</div>" "</div>"
], ],
"text/plain": [ "text/plain": [
" Bond/Index Description Date \\\n", " Date Yld to Maturity\n",
"0 G0D0 ICE BofA German Government Index 2008-08-22 \n", "0 31/12/2014 0.144\n",
"1 G0D0 ICE BofA German Government Index 2008-08-29 \n", "1 02/01/2015 -0.079\n",
"2 G0D0 ICE BofA German Government Index 2008-09-05 \n", "2 05/01/2015 -0.074\n",
"3 G0D0 ICE BofA German Government Index 2008-09-12 \n", "3 06/01/2015 -0.075\n",
"4 G0D0 ICE BofA German Government Index 2008-09-19 \n", "4 07/01/2015 -0.069\n",
"5 G0D0 ICE BofA German Government Index 2008-09-26 \n", "... ... ...\n",
"6 G0D0 ICE BofA German Government Index 2008-10-03 \n", "2821 16/10/2025 1.928\n",
"7 G0D0 ICE BofA German Government Index 2008-10-10 \n", "2822 17/10/2025 1.928\n",
"8 G0D0 ICE BofA German Government Index 2008-10-17 \n", "2823 20/10/2025 1.928\n",
"9 G0D0 ICE BofA German Government Index 2008-10-24 \n", "2824 21/10/2025 1.927\n",
"10 G0D0 ICE BofA German Government Index 2008-10-31 \n", "2825 22/10/2025 1.928\n",
"11 G0D0 ICE BofA German Government Index 2008-11-07 \n",
"12 G0D0 ICE BofA German Government Index 2008-11-14 \n",
"13 G0D0 ICE BofA German Government Index 2008-11-21 \n",
"14 G0D0 ICE BofA German Government Index 2008-11-28 \n",
"15 G0D0 ICE BofA German Government Index 2008-12-05 \n",
"16 G0D0 ICE BofA German Government Index 2008-12-12 \n",
"17 G0D0 ICE BofA German Government Index 2008-12-19 \n",
"18 G0D0 ICE BofA German Government Index 2008-12-26 \n",
"19 G0D0 ICE BofA German Government Index 2009-01-02 \n",
"20 EG04 ICE BofA 7-10 Year Euro Government Index 2011-03-11 \n",
"21 EG04 ICE BofA 7-10 Year Euro Government Index 2011-03-18 \n",
"22 EG04 ICE BofA 7-10 Year Euro Government Index 2011-03-25 \n",
"23 EG04 ICE BofA 7-10 Year Euro Government Index 2011-04-01 \n",
"24 EG04 ICE BofA 7-10 Year Euro Government Index 2011-04-08 \n",
"25 EG04 ICE BofA 7-10 Year Euro Government Index 2011-04-15 \n",
"26 EG04 ICE BofA 7-10 Year Euro Government Index 2011-04-22 \n",
"27 EG04 ICE BofA 7-10 Year Euro Government Index 2011-04-29 \n",
"28 EG04 ICE BofA 7-10 Year Euro Government Index 2011-05-06 \n",
"29 EG04 ICE BofA 7-10 Year Euro Government Index 2011-05-13 \n",
"30 EG04 ICE BofA 7-10 Year Euro Government Index 2011-05-20 \n",
"31 EG04 ICE BofA 7-10 Year Euro Government Index 2011-05-27 \n",
"32 EG04 ICE BofA 7-10 Year Euro Government Index 2011-06-03 \n",
"33 EG04 ICE BofA 7-10 Year Euro Government Index 2011-06-10 \n",
"34 EG04 ICE BofA 7-10 Year Euro Government Index 2011-06-17 \n",
"35 EG04 ICE BofA 7-10 Year Euro Government Index 2011-06-24 \n",
"36 EG04 ICE BofA 7-10 Year Euro Government Index 2011-07-01 \n",
"37 EG04 ICE BofA 7-10 Year Euro Government Index 2011-07-08 \n",
"38 EG04 ICE BofA 7-10 Year Euro Government Index 2011-07-15 \n",
"39 EG04 ICE BofA 7-10 Year Euro Government Index 2011-07-22 \n",
"40 EG04 ICE BofA 7-10 Year Euro Government Index 2016-01-15 \n",
"41 EG04 ICE BofA 7-10 Year Euro Government Index 2016-01-22 \n",
"42 EG04 ICE BofA 7-10 Year Euro Government Index 2016-01-29 \n",
"43 EG04 ICE BofA 7-10 Year Euro Government Index 2016-02-05 \n",
"44 EG04 ICE BofA 7-10 Year Euro Government Index 2016-02-12 \n",
"45 EG04 ICE BofA 7-10 Year Euro Government Index 2016-02-19 \n",
"46 EG04 ICE BofA 7-10 Year Euro Government Index 2016-02-26 \n",
"47 EG04 ICE BofA 7-10 Year Euro Government Index 2016-03-04 \n",
"48 EG04 ICE BofA 7-10 Year Euro Government Index 2016-03-11 \n",
"49 EG04 ICE BofA 7-10 Year Euro Government Index 2016-03-18 \n",
"50 EG04 ICE BofA 7-10 Year Euro Government Index 2016-03-25 \n",
"51 EG04 ICE BofA 7-10 Year Euro Government Index 2016-04-01 \n",
"52 EG04 ICE BofA 7-10 Year Euro Government Index 2016-04-08 \n",
"53 EG04 ICE BofA 7-10 Year Euro Government Index 2016-04-15 \n",
"54 EG04 ICE BofA 7-10 Year Euro Government Index 2016-04-22 \n",
"55 EG04 ICE BofA 7-10 Year Euro Government Index 2016-04-29 \n",
"56 EG04 ICE BofA 7-10 Year Euro Government Index 2016-05-06 \n",
"57 EG04 ICE BofA 7-10 Year Euro Government Index 2016-05-13 \n",
"58 EG04 ICE BofA 7-10 Year Euro Government Index 2016-05-20 \n",
"59 EG04 ICE BofA 7-10 Year Euro Government Index 2016-05-27 \n",
"\n", "\n",
" Total Return % 1-wk-LOC Yield to Maturity (s.a.) \\\n", "[2826 rows x 2 columns]"
"0 -0.3020 4.210 \n",
"1 0.3040 4.180 \n",
"2 0.9780 3.990 \n",
"3 -1.0580 4.170 \n",
"4 -0.2860 4.220 \n",
"5 0.6610 4.050 \n",
"6 1.8900 3.710 \n",
"7 0.0940 3.610 \n",
"8 -0.3550 3.670 \n",
"9 1.6370 3.390 \n",
"10 -0.5350 3.410 \n",
"11 1.3250 3.200 \n",
"12 0.4490 3.070 \n",
"13 1.3560 2.890 \n",
"14 0.7780 2.860 \n",
"15 1.4660 2.690 \n",
"16 -1.9100 2.960 \n",
"17 1.7980 2.650 \n",
"18 0.3120 2.600 \n",
"19 0.2640 2.560 \n",
"20 0.3750 4.170 \n",
"21 0.8000 4.070 \n",
"22 -0.6850 4.170 \n",
"23 -0.7850 4.310 \n",
"24 0.0230 4.330 \n",
"25 0.1680 4.310 \n",
"26 0.3205 4.265 \n",
"27 0.4730 4.220 \n",
"28 0.4550 4.220 \n",
"29 0.5170 4.150 \n",
"30 -0.1800 4.190 \n",
"31 0.4940 4.120 \n",
"32 0.2970 4.110 \n",
"33 -0.3260 4.160 \n",
"34 -0.2170 4.170 \n",
"35 -0.1350 4.180 \n",
"36 -0.0550 4.180 \n",
"37 -0.6990 4.240 \n",
"38 -0.9230 4.350 \n",
"39 1.1810 4.250 \n",
"40 0.1220 0.850 \n",
"41 0.2690 0.820 \n",
"42 1.1230 0.670 \n",
"43 -0.2680 0.720 \n",
"44 -0.2090 0.750 \n",
"45 0.4540 0.690 \n",
"46 0.5470 0.620 \n",
"47 -0.1540 0.640 \n",
"48 0.2800 0.610 \n",
"49 0.3570 0.560 \n",
"50 0.4110 0.535 \n",
"51 0.4650 0.510 \n",
"52 -0.1140 0.530 \n",
"53 -0.0970 0.540 \n",
"54 -0.6600 0.630 \n",
"55 -0.3380 0.680 \n",
"56 0.6500 0.600 \n",
"57 0.2110 0.570 \n",
"58 -0.1420 0.590 \n",
"59 0.4710 0.530 \n",
"\n",
" Yield to Maturity (conv.) \n",
"0 4.250 \n",
"1 4.220 \n",
"2 4.030 \n",
"3 4.210 \n",
"4 4.270 \n",
"5 4.090 \n",
"6 3.750 \n",
"7 3.650 \n",
"8 3.700 \n",
"9 3.420 \n",
"10 3.440 \n",
"11 3.230 \n",
"12 3.100 \n",
"13 2.920 \n",
"14 2.880 \n",
"15 2.700 \n",
"16 2.980 \n",
"17 2.670 \n",
"18 2.620 \n",
"19 2.570 \n",
"20 4.210 \n",
"21 4.100 \n",
"22 4.210 \n",
"23 4.350 \n",
"24 4.370 \n",
"25 4.350 \n",
"26 4.305 \n",
"27 4.260 \n",
"28 4.260 \n",
"29 4.190 \n",
"30 4.230 \n",
"31 4.160 \n",
"32 4.150 \n",
"33 4.200 \n",
"34 4.210 \n",
"35 4.230 \n",
"36 4.220 \n",
"37 4.290 \n",
"38 4.400 \n",
"39 4.290 \n",
"40 0.850 \n",
"41 0.820 \n",
"42 0.670 \n",
"43 0.720 \n",
"44 0.750 \n",
"45 0.690 \n",
"46 0.620 \n",
"47 0.650 \n",
"48 0.610 \n",
"49 0.570 \n",
"50 0.540 \n",
"51 0.510 \n",
"52 0.530 \n",
"53 0.540 \n",
"54 0.630 \n",
"55 0.680 \n",
"56 0.600 \n",
"57 0.570 \n",
"58 0.590 \n",
"59 0.530 "
] ]
}, },
"execution_count": 13, "execution_count": 10,
"metadata": {}, "metadata": {},
"output_type": "execute_result" "output_type": "execute_result"
} }
@ -852,12 +193,12 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 14, "execution_count": 11,
"id": "36ec4312", "id": "36ec4312",
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
"source": [ "source": [
"sample_df.to_csv('eur_gov_indices.csv', index=False)" "sample_df.to_csv('str_Rates.csv', index=False)"
] ]
} }
], ],

101
data_exploration/str_rates.csv
View File

@ -1,101 +0,0 @@
Date,Yld to Maturity
04/12/2015,-0.138
07/12/2015,-0.142
08/12/2015,-0.147
09/12/2015,-0.235
10/12/2015,-0.232
11/12/2015,-0.231
14/12/2015,-0.23
15/12/2015,-0.239
16/12/2015,-0.241
17/12/2015,-0.238
18/12/2015,-0.237
21/12/2015,-0.231
22/12/2015,-0.231
23/12/2015,-0.234
24/12/2015,-0.244
28/12/2015,-0.238
29/12/2015,-0.223
30/12/2015,-0.14
31/12/2015,-0.127
04/01/2016,-0.241
05/01/2016,-0.251
06/01/2016,-0.253
07/01/2016,-0.233
08/01/2016,-0.235
11/01/2016,-0.236
12/01/2016,-0.233
13/01/2016,-0.237
14/01/2016,-0.24
15/01/2016,-0.239
18/01/2016,-0.24
19/01/2016,-0.239
20/01/2016,-0.238
21/01/2016,-0.24
22/01/2016,-0.241
25/01/2016,-0.238
26/01/2016,-0.236
27/01/2016,-0.237
28/01/2016,-0.239
29/01/2016,-0.228
31/01/2016,-0.228
01/02/2016,-0.237
02/02/2016,-0.232
03/02/2016,-0.247
04/02/2016,-0.231
05/02/2016,-0.236
08/02/2016,-0.242
09/02/2016,-0.237
10/02/2016,-0.237
11/02/2016,-0.239
12/02/2016,-0.24
15/02/2016,-0.243
16/02/2016,-0.242
17/02/2016,-0.244
18/02/2016,-0.244
19/02/2016,-0.243
22/02/2016,-0.242
23/02/2016,-0.246
24/02/2016,-0.247
25/02/2016,-0.249
26/02/2016,-0.243
29/02/2016,-0.227
01/03/2016,-0.238
02/03/2016,-0.234
03/03/2016,-0.238
04/03/2016,-0.236
07/03/2016,-0.239
08/03/2016,-0.234
09/03/2016,-0.236
10/03/2016,-0.242
11/03/2016,-0.242
14/03/2016,-0.243
15/03/2016,-0.248
16/03/2016,-0.339
17/03/2016,-0.347
18/03/2016,-0.345
21/03/2016,-0.345
22/03/2016,-0.344
23/03/2016,-0.346
24/03/2016,-0.349
28/03/2016,-0.349
29/03/2016,-0.347
30/03/2016,-0.347
31/03/2016,-0.303
01/04/2016,-0.335
04/04/2016,-0.331
05/04/2016,-0.332
06/04/2016,-0.334
07/04/2016,-0.33
08/04/2016,-0.334
11/04/2016,-0.333
12/04/2016,-0.341
13/04/2016,-0.337
14/04/2016,-0.34
15/04/2016,-0.341
18/04/2016,-0.348
19/04/2016,-0.34
20/04/2016,-0.343
21/04/2016,-0.342
22/04/2016,-0.34
25/04/2016,-0.341
1 Date Yld to Maturity
2 04/12/2015 -0.138
3 07/12/2015 -0.142
4 08/12/2015 -0.147
5 09/12/2015 -0.235
6 10/12/2015 -0.232
7 11/12/2015 -0.231
8 14/12/2015 -0.23
9 15/12/2015 -0.239
10 16/12/2015 -0.241
11 17/12/2015 -0.238
12 18/12/2015 -0.237
13 21/12/2015 -0.231
14 22/12/2015 -0.231
15 23/12/2015 -0.234
16 24/12/2015 -0.244
17 28/12/2015 -0.238
18 29/12/2015 -0.223
19 30/12/2015 -0.14
20 31/12/2015 -0.127
21 04/01/2016 -0.241
22 05/01/2016 -0.251
23 06/01/2016 -0.253
24 07/01/2016 -0.233
25 08/01/2016 -0.235
26 11/01/2016 -0.236
27 12/01/2016 -0.233
28 13/01/2016 -0.237
29 14/01/2016 -0.24
30 15/01/2016 -0.239
31 18/01/2016 -0.24
32 19/01/2016 -0.239
33 20/01/2016 -0.238
34 21/01/2016 -0.24
35 22/01/2016 -0.241
36 25/01/2016 -0.238
37 26/01/2016 -0.236
38 27/01/2016 -0.237
39 28/01/2016 -0.239
40 29/01/2016 -0.228
41 31/01/2016 -0.228
42 01/02/2016 -0.237
43 02/02/2016 -0.232
44 03/02/2016 -0.247
45 04/02/2016 -0.231
46 05/02/2016 -0.236
47 08/02/2016 -0.242
48 09/02/2016 -0.237
49 10/02/2016 -0.237
50 11/02/2016 -0.239
51 12/02/2016 -0.24
52 15/02/2016 -0.243
53 16/02/2016 -0.242
54 17/02/2016 -0.244
55 18/02/2016 -0.244
56 19/02/2016 -0.243
57 22/02/2016 -0.242
58 23/02/2016 -0.246
59 24/02/2016 -0.247
60 25/02/2016 -0.249
61 26/02/2016 -0.243
62 29/02/2016 -0.227
63 01/03/2016 -0.238
64 02/03/2016 -0.234
65 03/03/2016 -0.238
66 04/03/2016 -0.236
67 07/03/2016 -0.239
68 08/03/2016 -0.234
69 09/03/2016 -0.236
70 10/03/2016 -0.242
71 11/03/2016 -0.242
72 14/03/2016 -0.243
73 15/03/2016 -0.248
74 16/03/2016 -0.339
75 17/03/2016 -0.347
76 18/03/2016 -0.345
77 21/03/2016 -0.345
78 22/03/2016 -0.344
79 23/03/2016 -0.346
80 24/03/2016 -0.349
81 28/03/2016 -0.349
82 29/03/2016 -0.347
83 30/03/2016 -0.347
84 31/03/2016 -0.303
85 01/04/2016 -0.335
86 04/04/2016 -0.331
87 05/04/2016 -0.332
88 06/04/2016 -0.334
89 07/04/2016 -0.33
90 08/04/2016 -0.334
91 11/04/2016 -0.333
92 12/04/2016 -0.341
93 13/04/2016 -0.337
94 14/04/2016 -0.34
95 15/04/2016 -0.341
96 18/04/2016 -0.348
97 19/04/2016 -0.34
98 20/04/2016 -0.343
99 21/04/2016 -0.342
100 22/04/2016 -0.34
101 25/04/2016 -0.341