Dataframe: P1:pecds -#
Bond-implied CDS spread proxy (PECDS).
DataFrame Glimpse#
Rows: 16727368
Columns: 30
$ date <datetime[ns]> 2006-07-03 00:00:00
$ ticker <str> 'T'
$ redcode <str> '001AEC'
$ tenor <str> '5Y'
$ currency <str> 'USD'
$ docclause <str> 'XR14'
$ cds_spread <f64> 0.00234669375
$ year_month <str> '2006-07'
$ bond_date <datetime[ns]> 2006-07-31 00:00:00
$ issue_id <f64> 21454.0
$ cusip <str> '879240AN9'
$ company_symbol <str> 'T'
$ bond_type <str> 'CDEB'
$ conv <f64> 0.0
$ coupon <f64> 9.8
$ maturity <datetime[ns]> 2012-02-01 00:00:00
$ tmt <f64> 5.586111111111111
$ price_eom <f64> 116.589
$ yield <f64> 0.06204082935158779
$ rating_class <str> '0.IG'
$ sp_rating <str> 'NR'
$ sp_ig <str> null
$ moodys_rating <str> 'NR'
$ moodys_ig <str> null
$ matched_treasury_no <f64> 203672.0
$ matched_treasury_id <str> '20060803.400000'
$ matched_treasury_yield <f64> 0.04806782735433515
$ matched_treasury_duration <f64> 3.0
$ match_dist <f64> 2.5861111111111112
$ pecds <f64> 0.01397300199725264
Dataframe Manifest#
Dataframe Name |
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|---|---|
Dataframe ID |
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Data Sources |
Constructed: PECDS proxy |
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_PECDS.py |
Data available up to (min) |
N/A (large file) |
Data available up to (max) |
N/A (large file) |
Dataframe Path |
/Users/kebo/Downloads/MS FinMath/Courses/Full Stack/p13_Bai_Collin-Dufresne_2019/_data/pecds.parquet |
Linked Charts:
None
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 |