Dataframe: P04:all_strip_prices -#
Comprehensive panel of strip prices for all date-exdate combinations. Used to look up the current value of the previously selected strip when calculating holding-period returns.
DataFrame Glimpse#
Rows: 3633
Columns: 5
$ date <datetime[ns]> 2024-12-31 00:00:00
$ exdate <datetime[ns]> 2029-12-21 00:00:00
$ strip_price <f64> 226.02374911608968
$ tau <f64> 4.975342465753425
$ r_implied <f64> 0.045081989534843984
Dataframe Manifest#
Dataframe Name |
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Dataframe ID |
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Data Sources |
Derived from clean_options and implied_rates |
Data Providers |
Internal pipeline |
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? |
Constructed by calc_strip_prices.py. |
Data available up to (min) |
2024-12-31 00:00:00 |
Data available up to (max) |
2024-12-31 00:00:00 |
Dataframe Path |
/Users/jielin/Desktop/full_stack/p04_golez_jackwerth_2024/_data/calc/all_strip_prices.parquet |
Linked Charts:
None
Pipeline Manifest#
Pipeline Name |
Holding Period Effects in Dividend Strip Returns |
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Pipeline ID |
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Lead Pipeline Developer |
Jie Lin and Zimeng Yi |
Contributors |
Jie Lin, Zimeng Yi |
Git Repo URL |
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Pipeline Web Page |
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Date of Last Code Update |
2026-03-16 00:21:10 |
OS Compatibility |
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Linked Dataframes |
P04:crsp_sp500_daily |