I have 2 dataframe df1 as below:
df1:
PriceDate Term_By_Day ccr Mid_Spread
0 01/07/2019 365 AUD-USD 0.011745
1 01/07/2019 730 USD-EUR 0.027624
2 01/07/2019 1825 AUD-USD 0.244957
3 01/07/2019 30 AUD-USD 0.012500
4 01/07/2019 60 Eur-USD 0.007353
and df2 as below:
df2:
PriceDate tenor ccr
0 01/07/2019 180 AUD-USD
1 01/07/2019 182 USD-EUR
2 01/07/2019 183 AUD-USD
3 01/07/2019 185 AUD-USD
4 01/07/2019 186 Eur-USD
As you can see, df1 is the data out of BBG which has all other columns based on period (1month, 1 year, 2 year, 5 year,...) however df2 is based on detailed dates for each month ( at least 15 days of each month). i need to interpolate df1 to be fit based on all detailed date instead of period. then attach df1 to df2 to calculate "midspread".
for example if i have 180 days and 270 days in "term by day" in df1 then i would have many days in "tenor" between 180 days and 270 days.
can you please help me what's the best way to get accurate and fast interpolation ?
Many thanks in advance for taking your time
Cheers, Z