diff options
Diffstat (limited to 'python/analytics/option.py')
| -rw-r--r-- | python/analytics/option.py | 5 |
1 files changed, 3 insertions, 2 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index 2c41f1be..148e0e34 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -548,7 +548,7 @@ class ProbSurface(QuoteSurface): quotedate, source = surface_id quotes = self._quotes[(self._quotes.quotedate == quotedate) & (self._quotes.quote_source == source)] - self._index.ref = quotes.ref[0] + self._index.ref = quotes.ref.iat[0] quotes = quotes.assign(time=((quotes.expiry - self.trade_date).dt.days + 0.25) / 365, pay_mid=quotes[['pay_bid','pay_offer']].mean(1), rec_mid=quotes[['rec_bid','rec_offer']].mean(1), @@ -559,9 +559,10 @@ class ProbSurface(QuoteSurface): quotes = quotes.sort_values(['expiry', 'strike']) prob_pay = np.concatenate([-np.gradient(df.pay_mid, df.strike) for _, df in quotes.groupby('expiry')]) - prob_rec = np.concatenate([1-np.gradient(df.rec_mid, df.strike) + prob_rec = np.concatenate([1 - np.gradient(df.rec_mid, df.strike) for _, df in quotes.groupby('expiry')]) prob = bn.nanmean(np.stack([prob_pay, prob_rec]), axis=0) + prob = np.clip(prob, 1e-10, None, out=prob) f = SmoothBivariateSpline(quotes.time.values[~np.isnan(prob)], quotes.strike.values[~np.isnan(prob)], logit(prob[~np.isnan(prob)])) |