Mastering Python for Finance

Merging the data

Since the earliest dates in the text files are 31.12.1986 and 04.01.1999 for the STOXX Europe 600 and VSTOXX data file respectively, we will require both the datasets to begin from a common date at 04.01.1999. We will also use values from the SX5E and V2TX columns to retrieve our EURO STOXX 50 Index and VSTOXX historical data values. The following Python code extracts these values into a new Pandas DataFrame object:

import datetime as dt

cutoff_date = dt.datetime(1999, 1, 4)
data = pd.DataFrame(
{'EUROSTOXX' :stoxxeu600['SX5E'][stoxxeu600.index >= cutoff_date],
 'VSTOXX':vstoxx['V2TX'][vstoxx.index >= cutoff_date]})

Now, let's take a look at our DataFrame information:

>>> print data.info()
<class 'pandas.core.frame.DataFrame'>