diff options
| -rw-r--r-- | python/option_trades.py | 25 |
1 files changed, 10 insertions, 15 deletions
diff --git a/python/option_trades.py b/python/option_trades.py index bf622ab6..c3f9cb77 100644 --- a/python/option_trades.py +++ b/python/option_trades.py @@ -85,8 +85,16 @@ def realized_vol(index, series, tenor, date=None, years=None): return (res.conditional_volatility * math.sqrt(252), res) def lr_var(res): - """ computes long run variance of the garch process""" - var = res.params.omega/(1 - res.params['alpha[1]'] - res.params['beta[1]']) + """ computes long run variance of the garch process + + .. math:: + + \sigma^2=\frac{\omega}{1-\sum_{i=1}^p \alpha_i + \sum_{i=1}^q \beta_i} + + """ + names = res.model.volatility.parameter_names() + ## names[0] is omega, rest is alpha[1],..., alpha[p], beta[1],...,beta[q] + var = res.params[names[0]]/(1 - res.params[names[1:]]) return math.sqrt(var * 252) def atm_vol_fun(v, ref_is_price=False, moneyness=0.2): @@ -188,19 +196,6 @@ def get_index_ref(index, series, date, expiry, conn): conn.commit() return ref, fwdspread -def get_strike(index, series, date, expiry, conn): - with conn.cursor() as c: - c.execute("SELECT strike from index_quotes " \ - "WHERE index=%s and series=%s and quotedate::date=%s "\ - "AND expiry=%s ORDER BY quotedate desc", - (index, series, date, expiry)) - try: - stri - except TypeError: - ref, fwdspread = None, None - conn.commit() - return ref, fwdspread - def get_option_pnl(strike, expiry, index, series, start_date, engine): for s in [strike, strike+2.5, strike-2.5, strike+5]: df = pd.read_sql_query("SELECT quotedate, (pay_bid+pay_offer)/2 AS pay_mid, " \ |