#可转债折溢价
BDate=’20200601′
EDate=’20200630′
calendar=DataAPI.TradeCalGet(exchangeCD=u”XSHG”,beginDate=BDate,endDate=EDate,field=u””,pandas=”1″)
calendar=calendar[calendar.isOpen==1][calendar.isWeekEnd==1]#只取周末日期
factor_list=[]
for tdate in calendar.calendarDate.values:#拿到因子数据，遍历每一天
kzzyj=DataAPI.MktConsBondPremiumGet(SecID=u””,tickerBond=u””,beginDate=tdate,endDate=tdate,
field=u”tickerBond,tradeDate,bondPremDisc”,pandas=”1″)
table={‘tradeDate’:([tdate]),’MBPD’:([np.median(kzzyj.bondPremDisc)])}
DF=pd.DataFrame(table)
factor_list.append(DF)
MBPD=pd.concat(factor_list)
MBPD.head(70)
| MBPD | tradeDate | |
|---|---|---|
| 0 | 20.35490 | 2020-06-05 |
| 0 | 19.69165 | 2020-06-12 |
| 0 | 1.00000 | 2020-06-19 |
| 0 | 1.00000 | 2020-06-24 |