I want to pass the parameters in my def to inputs in pandas loc but I am not sure how to do so, as loc requires defined labels as inputs. Or is there any other way I can perform Excel INDEX MATCH equivalent in Python but not using loc? Many thanks!
Below please find my code:
def get_correl_diff_tenor(p1, p2):
correl = IRCorrMatrix.loc['p1', 'p2']
return correl
p1 and p2 in loc['p1', 'p2'] refer to the tenor pairs for calling the corresponding correlation value in the matrix below.
IRCorrMatrix is shown below, which is a correlation matrix defined by tenor pairs.
2w 1m 3m 6m 1y
Tenor
2w 1.00 0.73 0.64 0.57 0.44
1m 0.73 1.00 0.78 0.67 0.50
3m 0.64 0.78 1.00 0.85 0.66
6m 0.57 0.67 0.85 1.00 0.81
1y 0.44 0.50 0.66 0.81 1.00