Include Three datasets from the segmented arbitrage

[kausthub-keshava]

• Test the code that Jermey would provide for three of the arbitrage datasets
• Create the plots to compare replication and include in the doc
• create the create_ftsfr_datasets

[kausthub-keshava]

@jmbejara to provide -

1. Code scripts
2. Add data to the google drive
3. Include in the dodo

[kausthub-keshava]

@jmbejara checking in to see if you were able to add the scripts for the three arbitrage datasets

[kausthub-keshava]

@jmbejara checking in to see if you were able to add the scripts for the three arbitrage datasets

[kausthub-keshava]

Treasury spot - futures spread:

@jmbejara can we please recheck the treasury_df.parquet file since the Implied_Repo columns are blank for the entire time period and this is causing an error in further steps.

[kausthub-keshava]

Treasury Swap spread - looks good, we see largely negative spreads which enables the arbitrage (as confirmed by the paper). I have included the plot in the paper.

For TIPS Treasury arbitrage - created a new branch with the relevant changes; Bloomberg fetches the inflation swap data from 2020 - 2025; Do we want to refresh that to 2010 - 2025? Was unsure about this, hence created a separate branch with pull request for review.

[jmbejara]

Hi Kausthub. Sorry for being so slow on this. It took a lot of work to get the scripts working, especially the bloomberg pulls for the treasury sf basis trade. It should be working now. The data is uploaded and available too. I fixed the issue with all of the blanks too. Thanks!

[kausthub-keshava]

Update: TIPS Treasury arbitrage has been refreshed with the new Bloomberg data.

[kausthub-keshava]

Update: Included the Treasury spot futures plot with the updated data.

[kausthub-keshava]

For kk: Update the way the charts are formatted. Use the vanilla matplotlib formating for the charts.

[kausthub-keshava]

Update: Plots uniform formatting and changes pushed