Chart: Figure 1 (Replication Window): CDS–Bond Basis#
Median basis with 10th/90th percentiles for IG and HY, through SAMPLE_END_DATE.
Chart#
Sources: Constructed: CDS–bond basis
Replication of Bai & Collin-Dufresne (2019) Figure 1.
Chart Specs#
Chart Name |
Figure 1 (Replication Window): CDS–Bond Basis |
|---|---|
Chart ID |
figure1_replication |
Topic Tags |
Cds, Basis |
Data Series Start Date |
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Data Frequency |
daily |
Observation Period |
2006-07-01 to 2014-12-30 |
Lag in Data Release |
unknown |
Data Release Timing |
historical |
Seasonal Adjustment |
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Units |
basis points |
HTML Chart |
Dataframe Manifest#
Dataframe Name |
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|---|---|
Dataframe ID |
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Data Sources |
Constructed: CDS–bond basis |
Data Providers |
Internal |
Links to Providers |
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Topic Tags |
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Type of Data Access |
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How is data pulled? |
Built by src/calc_basis.py |
Data available up to (min) |
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Data available up to (max) |
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Dataframe Path |
/Users/kebo/Downloads/MS FinMath/Courses/Full Stack/p13_Bai_Collin-Dufresne_2019/_data/basis.parquet |
Linked Charts:
Pipeline Manifest#
Pipeline Name |
p13_Bai_Collin-Dufresne_2019 |
|---|---|
Pipeline ID |
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Lead Pipeline Developer |
Nicholas Kebo & Lucie Martin |
Contributors |
Nicholas Kebo & Lucie Martin |
Git Repo URL |
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Pipeline Web Page |
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Date of Last Code Update |
2026-03-11 13:30:24 |
OS Compatibility |
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Linked Dataframes |
P1:bond_prices |