Fix bloomberg data

turing-usp · May 8, 2021 · 5b4cc21 · 5b4cc21
1 parent 0356041
commit 5b4cc21
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Showing 3 changed files with 23 additions and 23 deletions.
diff --git a/hack_itau_quant/bloomberg_data.py b/hack_itau_quant/bloomberg_data.py
@@ -15,12 +15,12 @@ def get_hack_data():
         df_IMAB.index = pd.to_datetime(df_IMAB.index)
         df_IRFM.index = pd.to_datetime(df_IRFM.index)
 
-        df_IMAB_indice = blp.bdh('BZRFIMAB index', 'PX_LAST', '2017-12-30', '2019-05-20')
+        df_IMAB_indice = blp.bdh('BZRFIMAB index', 'PX_LAST', '2017-12-30', '2019-05-19')
         df_IMAB_indice.index = pd.to_datetime(df_IMAB_indice.index)
         df_IMAB_indice = df_IMAB_indice.rename(columns ={'BZRFIMAB index' : 'IMAB11 BZ Equity'})
         df_IMAB = pd.concat([df_IMAB_indice/1000, df_IMAB])
 
-        df_IRFM_indice = blp.bdh('BZRFIRFM Index', 'PX_LAST', '2017-12-30', '2019-09-23')
+        df_IRFM_indice = blp.bdh('BZRFIRFM Index', 'PX_LAST', '2017-12-30', '2019-09-22')
         df_IRFM_indice.index = pd.to_datetime(df_IRFM_indice.index)
         df_IRFM_indice = df_IRFM_indice.rename(columns ={'BZRFIRFM Index' : 'IRFM11 BZ Equity'})
         df_IRFM = pd.concat([df_IRFM_indice/1000, df_IRFM])

diff --git a/hack_itau_quant/efficient_frontier.py b/hack_itau_quant/efficient_frontier.py
@@ -67,48 +67,48 @@ def _plot(self, returns, risks, weigths):
                             hovertemplate="Volatilities: %{x:,.2f}<br>"+
                             "Returns: %{y:.5f}<br>"+
                             "Sharpe: %{text:.5f}<br>"+
-                            "BOVV11: %{customdata[0]}%<br>"+
-                            "SPXI11: %{customdata[1]}%<br>"+
-                            "IMAB11: %{customdata[2]}%<br>"+
-                            "IRFM11: %{customdata[3]}%<br>",
+                            "BOVV11 BZ Equity: %{customdata[0]}%<br>"+
+                            "SPXI11 BZ Equity: %{customdata[1]}%<br>"+
+                            "IMAB11 BZ Equity: %{customdata[2]}%<br>"+
+                            "IRFM11 BZ Equity: %{customdata[3]}%<br>",
                             mode = ' markers + lines',
                             showlegend = False)
 
         Max_Sharpe = go.Scatter(x = max_sharpe.Volatilies,
                             y = max_sharpe.Returns,
                             text=df[df['Volatilies']  == float(max_sharpe.Volatilies)]['Sharpe'],
-                            customdata = np.stack((df[df['Volatilies']  == float(max_sharpe.Volatilies)]['BOVV11'], 
-                                                df[df['Volatilies']  == float(max_sharpe.Volatilies)]['SPXI11'], 
-                                                df[df['Volatilies']  == float(max_sharpe.Volatilies)]['IMAB11'], 
-                                                df[df['Volatilies']  == float(max_sharpe.Volatilies)]['IRFM11']), 
+                            customdata = np.stack((df[df['Volatilies']  == float(max_sharpe.Volatilies)]['BOVV11 BZ Equity'], 
+                                                df[df['Volatilies']  == float(max_sharpe.Volatilies)]['SPXI11 BZ Equity'], 
+                                                df[df['Volatilies']  == float(max_sharpe.Volatilies)]['IMAB11 BZ Equity'], 
+                                                df[df['Volatilies']  == float(max_sharpe.Volatilies)]['IRFM11 BZ Equity']), 
                                                 axis = -1),
                             hovertemplate=
                             "Volatilities: %{x:,.2f}<br>"+
                             "Returns: %{y:.5f}<br>"+
                             "Sharpe: %{text:.4f}<br>"+
-                            "BOVV11: %{customdata[0]}%<br>"+
-                            "SPXI11: %{customdata[1]}%<br>"+
-                            "IMAB11: %{customdata[2]}%<br>"+
-                            "IRFM11: %{customdata[3]}%<br>",
+                            "BOVV11 BZ Equity: %{customdata[0]}%<br>"+
+                            "SPXI11 BZ Equity: %{customdata[1]}%<br>"+
+                            "IMAB11 BZ Equity: %{customdata[2]}%<br>"+
+                            "IRFM11 BZ Equity: %{customdata[3]}%<br>",
                             mode = ' markers + lines',
                             name = 'Maximum Sharpe')
 
         Min_Vol = go.Scatter(x = min_vol.Volatilies,
                             y = min_vol.Returns,
                             text=df[df['Volatilies']  == float(min_vol.Volatilies)]['Sharpe'],
-                            customdata = np.stack((df[df['Volatilies']  == float(min_vol.Volatilies)]['BOVV11'], 
-                                                df[df['Volatilies']  == float(min_vol.Volatilies)]['SPXI11'], 
-                                                df[df['Volatilies']  == float(min_vol.Volatilies)]['IMAB11'], 
-                                                df[df['Volatilies']  == float(min_vol.Volatilies)]['IRFM11']), 
+                            customdata = np.stack((df[df['Volatilies']  == float(min_vol.Volatilies)]['BOVV11 BZ Equity'], 
+                                                df[df['Volatilies']  == float(min_vol.Volatilies)]['SPXI11 BZ Equity'], 
+                                                df[df['Volatilies']  == float(min_vol.Volatilies)]['IMAB11 BZ Equity'], 
+                                                df[df['Volatilies']  == float(min_vol.Volatilies)]['IRFM11 BZ Equity']), 
                                                 axis = -1),
                             hovertemplate=
                             "Volatilities: %{x:,.2f}<br>"+
                             "Returns: %{y:.5f}<br>"+
                             "Sharpe: %{text:.4f}<br>"+
-                            "BOVV11: %{customdata[0]}%<br>"+
-                            "SPXI11: %{customdata[1]}%<br>"+
-                            "IMAB11: %{customdata[2]}%<br>"+
-                            "IRFM11: %{customdata[3]}%<br>",
+                            "BOVV11 BZ Equity: %{customdata[0]}%<br>"+
+                            "SPXI11 BZ Equity: %{customdata[1]}%<br>"+
+                            "IMAB11 BZ Equity: %{customdata[2]}%<br>"+
+                            "IRFM11 BZ Equity: %{customdata[3]}%<br>",
                             mode = ' markers + lines',
                             name = 'Minimal Volatility')
 

diff --git a/test.py b/test.py
@@ -2,7 +2,7 @@
 import matplotlib.pyplot as plt
 import numpy as np
 
-close_prices = BloombergData.get()
+close_prices = BloombergData.get_hack_data()
 
 returns = close_prices.pct_change()[1:]