diff options
Diffstat (limited to 'python/analytics/option.py')
| -rw-r--r-- | python/analytics/option.py | 12 |
1 files changed, 0 insertions, 12 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index ebce8e25..6f52bf3d 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -549,7 +549,6 @@ class VolatilitySurface(ForwardIndex): f = SmoothBivariateSpline(time, moneyness, vol) skew = SmoothBivariateSpline(time, strike, vol).ev(time, strike, dy=1) tail_prob = r[non_nan,1] + r[non_nan,2] * skew * 1e4 - # time, moneyness, tail_prob = fill_the_box(time, moneyness, tail_prob) g = SmoothBivariateSpline(time, moneyness, logit(tail_prob)) self._surfaces[surface_id] = f self._prob_surfaces[surface_id] = g @@ -557,14 +556,3 @@ class VolatilitySurface(ForwardIndex): else: return self._surfaces[surface_id] -def fill_the_box(time, moneyness, tail_prob): - box_ratio = 1.2 - uniques = np.unique(time, return_index = True) - ranges = np.append(uniques[1], time.size).astype(int) - for i, x in enumerate(uniques[0]): - time = np.append(time, [x, x]) - max_money = moneyness[ranges[i]:ranges[i+1]].max() - min_money = moneyness[ranges[i]:ranges[i+1]].min() - moneyness = np.append(moneyness, [max_money*box_ratio, min_money/box_ratio]) - tail_prob = np.append(tail_prob, [0,1]) - return time, moneyness, tail_prob
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