I have a big portfolio of bonds and I want to create a table with days as index, the bonds as columns and the notional of the bonds as values.
I need to put at 0 the rows before the starting date and after the terminating date of each bond.
Is there a more efficient way than this:
[[np.where( (day>=bonds.inception[i]) &
(day + relativedelta(months=+m) >= bonds.maturity[i] ) &
(day <= bonds.maturity[i]),
bonds.principal[i],
0)
for i in range(bonds.shape[0])] for day in idx_d]
id | nom | inception | maturity |
---|---|---|---|
38 | 200 | 22/04/2022 | 22/04/2032 |
87 | 100 | 22/04/2022 | 22/04/2052 |
day | 38 | 87 |
---|---|---|
21/04/2022 | 0 | 0 |
22/04/2022 | 100 | 200 |
The solution below still requires a loop. I don't know if it's faster, or whether you find it clear, but I'll offer it as an alternative.
Create an example dataframe (with a few extra bonds for demonstration purposes):
import pandas as pd
df = pd.DataFrame({'id': [38, 87, 49, 51, 89],
'nom': [200, 100, 150, 50, 250],
'start_date': ['22/04/2022', '22/04/2022', '01/01/2022', '01/05/2022', '23/04/2012'],
'end_date': ['22/04/2032', '22/04/2052', '01/01/2042', '01/05/2042', '23/04/2022']})
df['start_date'] = pd.to_datetime(df['start_date'])
df['end_date'] = pd.to_datetime(df['end_date'])
df = df.set_index('id')
print(df)
This then looks like:
id | nom | start_date | end_date |
---|---|---|---|
38 | 200 | 2022-04-22 00:00:00 | 2032-04-22 00:00:00 |
87 | 100 | 2022-04-22 00:00:00 | 2052-04-22 00:00:00 |
49 | 150 | 2022-01-01 00:00:00 | 2042-01-01 00:00:00 |
51 | 50 | 2022-01-05 00:00:00 | 2042-01-05 00:00:00 |
89 | 250 | 2012-04-23 00:00:00 | 2022-04-23 00:00:00 |
Now, create a new blank dataframe, with 0 as the default value:
new = pd.DataFrame(data=0, columns=df.index, index=pd.date_range('2022-04-20', '2062-04-22'))
new.index.rename('day', inplace=True)
Then, iterate over the columns (or index of the original dataframe), selecting the relevant interval and set the column value to the relevant 'nom' for that selected interval:
for column in new.columns:
sel = (new.index >= df.loc[column, 'start_date']) & (new.index <= df.loc[column, 'end_date'])
new.loc[sel, column] = df.loc[df.index == column, 'nom'].values
print(new)
which results in:
day | 38 | 87 | 49 | 51 | 89 |
---|---|---|---|---|---|
2022-04-20 00:00:00 | 0 | 0 | 150 | 50 | 250 |
2022-04-21 00:00:00 | 0 | 0 | 150 | 50 | 250 |
2022-04-22 00:00:00 | 200 | 100 | 150 | 50 | 250 |
2022-04-23 00:00:00 | 200 | 100 | 150 | 50 | 250 |
2022-04-24 00:00:00 | 200 | 100 | 150 | 50 | 0 |
... | |||||
2062-04-21 00:00:00 | 0 | 0 | 0 | 0 | 0 |
2062-04-22 00:00:00 | 0 | 0 | 0 | 0 | 0 |
[14613 rows x 5 columns]
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