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'> DatetimeIndex: 4072 entries, 1999-01-04 00:00:00 to 2014-11-18 00:00:00 Data columns (total 2 columns): EUROSTOXX 4071 non-null float64 VSTOXX 4046 non-null float64 dtypes: float64(2)
Also, let's take a look at the top five lines of our new DataFrame object:
>>> print data.head(5) EUROSTOXX VSTOXX Date 1999-01-04 3543.10 18.2033 1999-01-05 3604.67 29.6912 1999-01-06 3685.36 25.1670 1999-01-07 3627.87 32.5205 1999-01-08 3616.57 33.2296
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