mapping
Description
mapping provides functionality for mapping to and from generic exposures and
tradeable instruments for financial assets.
An example of this might be on 2016-12-01 we would have CL1 -> CLZ16, i.e.
the first generic for Crude oil on the above date corresponds to trading the
December 2016 contract.
The main features of mapping include:
- creating continuous return series for Futures instruments
- creating time series of percentage allocations to tradeable contracts
- creating instrument trade lists
Currently there is no support for indexing/futures instrument rescaling, e.g.
what happened to the VIX, discussed
here. This should
accounted for by rescaling the instrument data upstream of using mapping
Details
The mapping of instruments to and from generics is equivalent to solving the
equation Ax = b where A is the weights and b is the instrument holdings.
When Ax = b has no solution we solve for x' such that Ax' is closest to
b in the least squares sense with the additional constraint that
sum(x') = sum(instruments).
A more realistic example of a mapping is given below
| Generic | Instruments | ||||
|---|---|---|---|---|---|
| CL1 | CL2 | Scenario 1 | Scenario 2 | Scenario 3 | |
| CLX16 | 0.5 | 0 | 10 | 10 | 10 |
| CLZ16 | 0.5 | 0.5 | 20 | 20 | 25 |
| CLF17 | 0 | 0.5 | 10 | 11 | 11 |
Which would result in the following solutions to the mapping from instruments to generics
| Generic | Scenario 1 | Scenario 2 | Scenario 3 |
| CL1 | 20 | 19.5 | 22 |
| CL2 | 20 | 21.5 | 24 |
Usage
A general workflow for using mapping for mapping from generics to tradeable
instruments is as follows
The layout for mapping from tradeables to generics is as follows
Install
You can pip install this package from github, i.e.
pip install git+git://github.com/matthewgilbert/mapping.git@master
mapping is also available on PyPI,
you can pip install the latest version using
pip install mapping
