Python 宏觀經(jīng)濟報告

Python宏觀經(jīng)濟報告importmatplotlib.pyplotaspltimportmatplotlibimportpandasaspdimportnumpyasnpimportxlrdfrommpl_toolkits.axisartist.parasite_axesimportHostAxes,ParasiteAxesimportmatplotlib.datesasmdatesfromdatetimeimportdatetimeio="D:\【ZW】交接材料2020.10.21\宏觀\k1.xls"data=pd.read_excel(io,header=0,#index_col=0,engine='xlrd')#設置顯示中文plt.rcParams['font.sans-serif']=['SimHei']#顯示中文標簽plt.rcParams['axes.unicode_minus']=False#這兩行需要手動設置#看看數(shù)據(jù)張啥樣#print(data)x=data["指標名稱"]data["銅/金"]=data["期貨結算價(活躍合約):COMEX銅"]/data['期貨收盤價(活躍合約):COMEX黃金']data["油/金"]=data["期貨結算價(連續(xù)):WTI原油"]/data['期貨收盤價(活躍合約):COMEX黃金']y1=data["銅/金"]y2=data["油/金"]y3=data["美國:國債收益率:10年"]#y4=data['美國:聯(lián)邦目標利率']y4todo=data['美國:聯(lián)邦目標利率']print(data["美國:CPI"])y5todo=data["美國:CPI:當月同比"]y4=[np.nan]top=len(y4todo)foriinrange(1,top):ify4todo[i]!=y4todo[i]:y4.append(y4[i-1])else:y4.append(y4todo[i])nexty5=[np.nan]top=len(y5todo)foriinrange(1,top):ify5todo[i]!=y5todo[i]:y5.append(y5[i-1])else:y5.append(y5todo[i])next#print(y4)#畫第一個圖deffigdraw1():#創(chuàng)建圖表fig=plt.figure(figsize=(35,5),dpi=90)matplotlib.rcParams.update({'font.size':22})plt.subplots_adjust(left=0.02,right=0.99,top=0.95,bottom=0.05)#設置圖形位置，[左，下，寬，高]左+寬應當小于1，下和高亦然ax_mainy1=HostAxes(fig,[0.05,0.1,0.85,0.8])#設置y軸坐標#設置子圖ax，設置共享x軸ax_y2=ParasiteAxes(ax_mainy1,sharex=ax_mainy1)ax_y3=ParasiteAxes(ax_mainy1,sharex=ax_mainy1)ax_y4=ParasiteAxes(ax_mainy1,sharex=ax_mainy1)ax_y5=ParasiteAxes(ax_mainy1,sharex=ax_mainy1)#為主圖添加共享y軸的子圖ax_y2、ax_y3ax_mainy1.parasites.append(ax_y2)ax_mainy1.parasites.append(ax_y3)ax_mainy1.parasites.append(ax_y4)ax_mainy1.parasites.append(ax_y5)#為子圖設置固定的副軸y2_axisline=ax_y2.get_grid_helper().new_fixed_axisy3_axisline=ax_y3.get_grid_helper().new_fixed_axisy4_axisline=ax_y4.get_grid_helper().new_fixed_axisy5_axisline=ax_y5.get_grid_helper().new_fixed_axis#設置副軸偏移量#ax_mainy1.axis['right']=y2_axisline(loc='right',axes=ax_mainy1,offset=(0,0))ax_y2.axis['right']=y2_axisline(loc='right',axes=ax_y2,offset=(0,0))ax_y3.axis['right']=y3_axisline(loc='right',axes=ax_y3,offset=(90,0))ax_y4.axis['right']=y3_axisline(loc='right',axes=ax_y4,offset=(150,0))ax_y5.axis['right']=y3_axisline(loc='right',axes=ax_y5,offset=(210,0))#為fig增加子圖fig.add_axes(ax_mainy1)#隱藏主圖上軸、右軸ax_mainy1.axis['right'].set_visible(False)ax_mainy1.axis['top'].set_visible(False)ax_y2.axis['right'].set_visible(True)ax_y2.axis['right'].major_ticklabels.set_visible(True)ax_y2.axis['right'].label.set_visible(True)#給坐標軸取名字ax_mainy1.set_ylabel("Cu/Au")ax_mainy1.set_xlabel("Time")ax_y2.set_ylabel("Oil/Au")ax_y3.set_ylabel("10YYield")ax_y4.set_ylabel("US:FedFundsRate")ax_y5.set_ylabel("US:CPI,YoY")#alpha定義透明度，越小越透明，facecolor:柱子顏色；edgecolor：輪廓顏色，lw：輪廓寬度,label圖例ax_mainy1.plot(x,y1,color="blueviolet",label="Cu/Au")ax_y2.plot(x,y2,color="aquamarine",label="Oil/Au")ax_y3.plot(x,y3,color="cornflowerblue",label="10YYield")ax_y4.plot(x,y4,color="black",label="US:FedFundsRate")ax_y5.plot(x,y5,color="firebrick",label="US:CPI,YoY")#添加圖例,第一個是橫坐標，越小越靠左，第二個是縱坐標，越接近1越靠上ax_mainy1.legend()plt.savefig('D:\【ZW】交接材料2020.10.21\宏觀\\macro0.png')y6=data["美國:國債實際收益率:5年期"]y7=data["美國:國債實際收益率:10年期"]y8todo=data['美國:所有聯(lián)儲銀行:資產(chǎn):持有證券:美國國債;短期債券']y9todo=data['美國:所有聯(lián)儲銀行:資產(chǎn):持有證券:美國國債;中長期名義債券']y10todo=data['美國:所有聯(lián)儲銀行:資產(chǎn):持有證券:美國國債;中長期通脹指數(shù)債券']y11todo=data['美國:所有聯(lián)儲銀行:資產(chǎn):持有證券:美國國債;通脹補償債券']y12todo=data['美國:所有聯(lián)儲銀行:資產(chǎn):持有證券:聯(lián)邦機構債券']y13todo=data["美國:所有聯(lián)儲銀行:資產(chǎn):持有證券:抵押貸款支持債券(MBS)"]y8=[np.nan]top2=len(y8todo)foriinrange(1,top2):ify8todo[i]!=y8todo[i]:y8.append(y8[i-1])else:y8.append(y8todo[i])nexty9=[np.nan]top2=len(y9todo)foriinrange(1,top2):ify9todo[i]!=y9todo[i]:y9.append(y9[i-1])else:y9.append(y9todo[i])nexty10=[np.nan]top2=len(y10todo)foriinrange(1,top2):ify10todo[i]!=y10todo[i]:y10.append(y10[i-1])else:y10.append(y10todo[i])nexty11=[np.nan]top2=len(y11todo)foriinrange(1,top2):ify11todo[i]!=y11todo[i]:y11.append(y11[i-1])else:y11.append(y11todo[i])nexty12=[np.nan]top2=len(y12todo)foriinrange(1,top2):ify12todo[i]!=y12todo[i]:y12.append(y12[i-1])else:y12.append(y12todo[i])nexty13=[np.nan]top2=len(y13todo)foriinrange(1,top2):ify13todo[i]!=y13todo[i]:y13.append(y13[i-1])else:y13.append(y13todo[i])nextytttodo=data['美國:外國投資者持有美國國債:合計']yjptodo=data['美國:外國投資者持有美國國債:日本']ycntodo=data['美國:外國投資者持有美國國債:中國']yottodo=ytttodo-yjptodo-ycntodoytt=[np.nan]top3=len(ytttodo)foriinrange(1,top3):ifytttodo[i]!=ytttodo[i]:ytt.append(ytt[i-1])else:ytt.append(ytttodo[i])nextyjp=[np.nan]top3=len(yjptodo)foriinrange(1,top3):ifyjptodo[i]!=yjptodo[i]:yjp.append(yjp[i-1])else:yjp.append(yjptodo[i])nextyot=[np.nan]top3=len(yottodo)foriinrange(1,top3):ifyottodo[i]!=yottodo[i]:yot.append(yot[i-1])else:yot.append(yottodo[i])nextycn=[np.nan]top3=len(ycntodo)foriinrange(1,top3):ifycntodo[i]!=ycntodo[i]:ycn.append(ycn[i-1])else:ycn.append(ycntodo[i])nextyaulongtodo=data['COMEX:黃金:報告頭寸多頭總持倉:持倉數(shù)量占比']yaushorttodo=data['COMEX:黃金:報告頭寸空頭總持倉:持倉數(shù)量占比']yculongtodo=data['COMEX:1號銅:報告頭寸多頭總持倉:持倉數(shù)量']/(data['COMEX:1號銅:報告頭寸多頭總持倉:持倉數(shù)量']+data['COMEX:1號銅:報告頭寸空頭總持倉:持倉數(shù)量'])ycushorttodo=data['COMEX:1號銅:報告頭寸空頭總持倉:持倉數(shù)量']/(data['COMEX:1號銅:報告頭寸多頭總持倉:持倉數(shù)量']+data['COMEX:1號銅:報告頭寸空頭總持倉:持倉數(shù)量'])yoillongtodo=data['IPE:WTI原油:期貨(新版):生產(chǎn)商/貿(mào)易商/加工商/用戶:多頭持倉:持倉數(shù)量占比']yoilshorttodo=data['IPE:WTI原油:期貨(新版):生產(chǎn)商/貿(mào)易商/加工商/用戶:空頭持倉:持倉數(shù)量占比']yaulong=[np.nan]top4=len(yaulongtodo)foriinrange(1,top4):ifyaulongtodo[i]!=yaulongtodo[i]:yaulong.append(yaulong[i-1])else:yaulong.append(yaulongtodo[i])nextyaushort=[np.nan]top3=len(yaushorttodo)foriinrange(1,top3):ifyaushorttodo[i]!=yaushorttodo[i]:yaushort.append(yaushort[i-1])else:yaushort.append(yaushorttodo[i])nextyculong=[np.nan]top3=len(yculongtodo)foriinrange(1,top3):ifyculongtodo[i]!=yculongtodo[i]:yculong.append(yculong[i-1])else:yculong.append(yculongtodo[i])nextycushort=[np.nan]top3=len(ycushorttodo)foriinrange(1,top3):ifycushorttodo[i]!=ycushorttodo[i]:ycushort.append(ycushort[i-1])else:ycushort.append(ycushorttodo[i])nextyoillong=[np.nan]top3=len(yoillongtodo)foriinrange(1,top3):ifyoillongtodo[i]!=yoillongtodo[i]:yoillong.append(yoillong[i-1])else:yoillong.append(yoillongtodo[i])nextyoilshort=[np.nan]top3=len(yoilshorttodo)foriinrange(1,top3):ifyoilshorttodo[i]!=yoilshorttodo[i]:yoilshort.append(yoilshort[i-1])else:yoilshort.append(yoilshorttodo[i])next#畫第二個圖deffigdraw2():matplotlib.rcParams.update({'font.size':22})fig=plt.figure(figsize=(30,20),dpi=90)plt.subplots_adjust(left=0.05,right=0.9,top=0.95,bottom=0.05)#第一個子圖ax1=fig.add_subplot(511)ax1.plot(x,y6,color="blue",label="5YRealYield",linewidth=2)ax1.plot(x,y7,color="olivedrab",label="7YRealYield",linewidth=2)ax1.plot(x,y4,color="mediumblue",linewidth=4,label="FedFundsRate")ax1.set_yticks(np.linspace(-0.5,1,4))ax2=ax1.twinx()ax2.plot(x,y5,color="black",label="CPIYoY",linewidth=1)ax3=ax1.twinx()ax3.plot(x,data['期貨收盤價(活躍合約):COMEX黃金'],color="darkorange",label="Au")ax1.legend(loc='centerleft',bbox_to_anchor=(0.3,1.12),ncol=3,frameon=False)ax2.legend(loc='centerleft',bbox_to_anchor=(0.2,1.12),ncol=2,frameon=False)ax3.legend(loc='centerleft',bbox_to_anchor=(0.1,1.12),ncol=1,frameon=False)box=ax1.get_position()#想將圖例放上面就box.height*0.8，放右邊就box.width*0.8ax1.set_position([box.x0,box.y0,box.width,box.height*0.8])country=["CN","JP","Others"]colors=["orange","plum","seagreen"]#第二個子圖axn2=fig.add_subplot(523)axn2.stackplot(x,ycn,yjp,yot,labels=country,colors=colors)#axn2.plot(x,ycn,color="red",label="China")#axn2.plot(x,yjp,color="green",label="Japan")#axn2.plot(x,yot,color="lightblue",label="Others")axn2.legend(loc=2)axn1=fig.add_subplot(524)axn1.plot(x,y8,color="black",label="T-bills")axn1.plot(x,y9,color="blue",label="T-notes&Bonds")axn1.plot(x,y10,color="lime",label="inflationindexedsecurity")axn1.plot(x,y11,color="orange",label="TIPS")axn1.plot(x,y12,color="brown",linewidth=1,label="FederalAgencyBond")axn1.plot(x,y13,color="steelblue",label="MBS")axn1.legend(loc=2)#第三個子圖axn2=fig.add_subplot(513)axn2.stackplot(x,data["總庫存:LME銅"],labels=["LMEcopperinventory"])axn22=axn2.twinx()axn22.plot(x,data['現(xiàn)貨結算價:LME銅'],color="black",label="LMEcopperfutures",linewidth=4)axn23=axn2.twinx()axn23.plot(x,yculong,color='maroon',label='LMECULong',linewidth=1)axn23.plot(x,ycushort,color='darkslategrey',label='LMECUShort',linewidth=1)axn2.legend(loc='centerleft',bbox_to_anchor=(1.03,0.5),ncol=1,frameon=False)axn22.legend(loc='centerleft',bbox_to_anchor=(1.03,0.7),ncol=1,frameon=False)axn23.legend(loc='centerleft',bbox_to_anchor=(1.03,0.9),ncol=1,frameon=False)box=axn2.get_position()#想將圖例放上面就box.height*0.8，放右邊就box.width*0.8axn2.set_position([box.x0,box.y0,box.width*0.9,box.height])axn3=fig.add_subplot(514)axn3.stackplot(x,data["SPDR:黃金ETF:持有量(噸)"],color="gold",labels=["COMEXGoldInventory"])axn32=axn3.twinx()axn32.plot(x,data['期貨收盤價(活躍合約):COMEX黃金'],color="black",label="COMEXGoldFutures",linewidth=4)axn33=axn32.twinx()axn33.plot(x,yaulong,color='maroon',label='COMEXAULong',linewidth=2)axn33.plot(x,yaushort,color='darkslategrey',label='COMEXAUShort',linewidth=2)axn3.legend(loc='centerleft',bbox_to_anchor=(1.03,0.5),ncol=1,frameon=False)axn32.legend(loc='centerleft',bbox_to_anchor=(1.03,0.7),ncol=1,frameon=False)axn33.legend(loc='centerleft',bbox_to_anchor=(1.03,0.9),ncol=1,frameon=False)box=axn3.get_position()#想將圖例放上面就box.height*0.8，放右邊就box.width*0.8axn3.set_position([box.x0,box.y0,box.width*0.9,box.height])axn4=fig.add_subplot(515)axn4.stackplot(x,data["庫存量:商業(yè)原油:全美:日(工作日)"],labels=["OilInventory"])axn42=axn4.twinx()axn42.plot(x,data['期貨結算價(連續(xù)):WTI原油'],color="black",label="WTIOilFutures",linewidth=4)axn43=axn42.twinx()axn43.plot(x,yoillong,color='maroon',label='OilLong',linewidth=2)axn43.plot(x,yoilshort,color='darkslategrey',label='OilShort',linewidth=2)axn4.legend(loc='centerleft',bbox_to_anchor=(1.03,0.5),ncol=1,frameon=False)axn42.legend(loc='centerleft',bbox_to_anchor=(1.03,0.7),ncol=1,frameon=False)axn43.legend(loc='centerleft',bbox_to_anchor=(1.03,0.9),ncol=1,frameon=False)box=axn4.get_position()#想將圖例放上面就box.height*0.8，放右邊就box.width*0.8axn4.set_position([box.x0,box.y0,box.width*0.9,box.height])plt.savefig('D:\【ZW】交接材料2020.10.21\宏觀\\macro1.png')#plt.show()deffigdraw3():io2="D:\【ZW】交接材料2020.10.21\宏觀\k2.xls"data2=pd.read_excel(io2,header=0,#index_col=0,engine='xlrd')monthsFmt=matplotlib.dates.DateFormatter('%b')matplotlib.rcParams.update({'font.size':18})#風險板塊x2=data2['指標名稱']yf1todo=data2['美國:經(jīng)濟政策不確定性指數(shù):按用途加權']yf1=[np.nan]top3=len(yf1todo)foriinrange(1,top3):ifyf1todo[i]!=yf1todo[i]:yf1.append(yf1[i-1])else:yf1.append(yf1todo[i])nextyfgold=data2['期貨結算價(活躍合約):COMEX黃金']yfvix=data2['美國:標準普爾500波動率指數(shù)(VIX)']yf2todo=data2['美國:企業(yè)債券日均成交量:公開交易:高收益']/data2['美國:企業(yè)債券日均成交量:公開交易:投資級']yf2=[np.nan]top3=len(yf2todo)foriinrange(1,top3):ifyf2todo[i]!=yf2todo[i]:yf2.append(yf2[i-1])else:yf2.append(yf2todo[i])nextyjpy=1/data2['美元兌日元']ybk=data2['美國:納斯達克銀行指數(shù):收盤價']yspx=data2['美國:標準普爾500指數(shù)']yRE=data2['美國:威爾希爾美國房地產(chǎn)證券市場總指數(shù)']ybk_spx=ybk/yspxyRE_spx=yRE/yspxyHY_spxtodo=data2['美國:企業(yè)債券日均成交量:公開交易:高收益']/yspxyHY_spx=[np.nan]top3=len(yHY_spxtodo)foriinrange(1,top3):ifyHY_spxtodo[i]!=yHY_spxtodo[i]:yHY_spx.append(yHY_spx[i-1])else:yHY_spx.append(yHY_spxtodo[i])next#==================================================================fign=plt.figure(figsize=(25,15),dpi=90)plt.subplots_adjust(left=0.05,right=0.95,top=0.95,bottom=0.05)axf4=fign.add_subplot(7,4,1)axf4.plot(x2,yf2,label='HYG/LOD')axf4.xaxis.set_major_formatter(monthsFmt)axf4.legend()axf1=fign.add_subplot(7,4,5)axf1.plot(x2,yf1,color='r',label="EPUIndex")axf1.xaxis.set_major_formatter(monthsFmt)axf1.legend()axf3=fign.add_subplot(749)axf3.plot(x2,yfvix,color='r',label="VIX")axf3.xaxis.set_major_formatter(monthsFmt)axf3.legend()axf7=fign.add_subplot(7,4,13)axf7.plot(x2,yHY_spx,color='r',label="HighYield/SPX")axf7.xaxis.set_major_formatter(monthsFmt)axf7.legend()axf5=fign.add_subplot(7,4,17)axf5.plot(x2,yjpy,color='r',label="JPY/USD")axf5.xaxis.set_major_formatter(monthsFmt)axf5.legend()axf2=fign.add_subplot(7,4,21)axf2.plot(x2,yfgold,color='r',label="Gold")axf2.xaxis.set_major_formatter(monthsFmt)axf2.legend()#匯率yUSD_RMB=data2['即期匯率(23:30):美元兌人民幣']yUSD_JPY=data2['美元兌日元']yUSD_EUR=1/data2['歐元兌美元']yRMB_EUR=1/data2['中間價:歐元兌人民幣']yBTC=data2['成交均價:比特幣:Bitstamp(USD)']axc1=fign.add_subplot(742)axc1.plot(x2,yUSD_RMB,label="USD/RMB")axc1.xaxis.set_major_formatter(monthsFmt)axc1.legend()axc2=fign.add_subplot(746)axc2.plot(x2,yUSD_JPY,label="USD/JPY")axc2.xaxis.set_major_formatter(monthsFmt)axc2.legend()axc3=fign.add_subplot(7,4,10)axc3.plot(x2,yUSD_EUR,label="USD/EUR")axc3.xaxis.set_major_formatter(monthsFmt)axc3.legend()axc4=fign.add_subplot(7,4,14)axc4.plot(x2,yRMB_EUR,label='RMB/EUR')axc4.xaxis.set_major_formatter(monthsFmt)axc4.legend()axc5=fign.add_subplot(7,4,18)axc5.plot(x2,yBTC,label="BTC")axc5.xaxis.set_major_formatter(monthsFmt)axc5.legend()#指數(shù)yszzh=data2['上證綜合指數(shù)']yhs300=data2['滬深300指數(shù)']ycyb=data2['創(chuàng)業(yè)板指數(shù)']ykcb=data2['上證科創(chuàng)板50成份指數(shù)']axz1=fign.add_subplot(743)axz1.plot(x2,yszzh,label="上證綜指")axz1.xaxis.set_major_formatter(monthsFmt)axz1.legend()axz2=fign.add_subplot(747)axz2.plot(x2,yhs300,label="滬深300")axz2.xaxis.set_major_formatter(monthsFmt)axz2.legend()axz3=fign.add_subplot(7,4,11)axz3.plot(x2,ycyb,label="創(chuàng)業(yè)板")axz3.xaxis.set_major_formatter(monthsFmt)axz3.legend()axz4=fign.add_subplot(7,4,15)axz4.plot(x2,ykcb,label="科創(chuàng)板")axz4.xaxis.set_major_formatter(monthsFmt)axz4.legend()axz5=fign.add_subplot(7,4,19)axz5.plot(x2,yspx,label="SPX")axz5.xaxis.set_major_formatter(monthsFmt)axz5.legend()#貨幣和債券y10y=data2['國債到期收益率:10年']y5y=data2['國債到期收益率:5年']#y2y=data['國債到期收益率:2年']y6m=data2['國債到期收益率:6個月']y7d=data2['逆回購利率:7天']y7drepo=data2['7天回購利率:加權平均:最近1周(B1W)']ytftodo=data2['公開市場操作:貨幣凈投放']ytf=[np.nan]ytf8=[np.nan]top3=len(ytftodo)foriinrange(1,top3):ifytftodo[i]!=ytftodo[i]:ytf.append(ytf[i-1])ytf8.append(ytf8[i-1])else:ytf.append(ytftodo[i])ytf8.append(0)nextyshibor=data2['SHIBOR:隔夜']axh1=fign.add_subplot(544)axh1.plot(x2,y10y,label="10Y&5Yyield(r)")axh1.plot(x2,y5y,color='red')axh1.xaxis.set_major_formatter(monthsFmt)axh1.legend()axh3=fign.add_subplot(548)axh3.plot(x2,y10y,label="10Y&6Myield(r)")axh3.plot(x2,y6m,color='red')axh3.xaxis.set_major_formatter(monthsFmt)#axh3.xaxis.set_major_formatter(mdates.DateFormatter('%m'))axh3.legend()axh5=fign.add_subplot(5,4,12)axh5.plot(x2,yshibor,label="Shibor&R007(r)&7DRepo(g)")axh5.plot(x2,y7d,color="green")axh5.plot(x2,y7drepo,color="r")axh5.xaxis.set_major_formatter(monthsFmt)axh5.legend()axh7=fign.add_subplot(5,4,16)axh7.plot(x2,ytf,label="貨幣凈投放")axh7.plot(x2,ytf8,color="black")axh7.xaxis.set_major_formatter(mdates.DateFormatter('%m%d'))axh7.legend()plt.savefig('D:\【ZW】交接材料2020.10.21\宏觀\\macro2.png')#figdraw1()#figdraw2()figdraw3()下面代碼是處理原始數(shù)據(jù)的：importmatplotlib.pyplotaspltimportpandasaspdimportnumpyasnpimportxlrdfrommpl_toolkits.axisartist.parasite_axesimportHostAxes,ParasiteAxesdefclean():io="D:\【ZW】交接材料2020.10.21\宏觀\全球宏觀.xls"dataraw=pd.read_excel(io,header=0,index_col=0,engine='xlrd')datato=dataraw.tail(1095)