# A new DataFrame including only the three feature ["10_yrs_rt","3_mth_rt","cpi_index"] is created
df_slope=features.loc[:,["10_yrs_rt","3_mth_rt","cpi_index"]]
# First the features slope is created
df_slope["slope"]=df_slope["10_yrs_rt"]-df_slope["3_mth_rt"]
# Then the 3 months change of the "slope" is added
df_slope["d_slope_3m "]=df_slope["slope"].diff(3)
# Eventually the 6 months change of the "slope" is added
df_slope["d_slope_6m "]=df_slope["slope"].diff(6)
# the feature "cpi" is created:
df_slope["cpi"]=df_slope["cpi_index"].pct_change(12).mul(100)
# the feature "real_rate" is generated with its 3 and 6 months changes:
df_slope["real_rate"]=df_slope["3_mth_rt"]-df_slope["cpi"]
df_slope["d_rr_3m"]=df_slope["real_rate"].diff(3)
df_slope["d_rr_6m"]=df_slope["real_rate"].diff(6)
df_slope.drop(["10_yrs_rt","3_mth_rt","cpi_index","cpi"],axis=1,inplace=True)