diff options
Diffstat (limited to 'python/analytics/option.py')
| -rw-r--r-- | python/analytics/option.py | 36 |
1 files changed, 36 insertions, 0 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index 0e8aec51..1079f9d5 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -672,6 +672,42 @@ class ProbSurface(QuoteSurface): """computes the prob for a given moneyness and term.""" return expit(self[surface_id](T, strike)) + def quantile_spread(self, T, prob, surface_id): + """computes the spread for a given probability and term.""" + l_prob = logit(prob) + def prob_calib(x, T, surface_id): + return l_prob- self[surface_id](T, x) + eta = 1.5 + a = .1 + b = 50 * eta + while True: + if prob_calib(b, T, surface_id) > 0: + break + b *= eta + prog = brentq(prob_calib, a, b, args=(T, surface_id), full_output=True) + if prog[1].converged is True: + return prog[0] + else: + return ValueError("unable to converge") + + def quantile_plot(self, surface_id): + fig = plt.figure() + ax = fig.gca(projection='3d') + min, max = .001, .999 + time = self[surface_id].T + y = np.arange(min, max, 0.01) + x = np.arange(time[0], time[-1], 0.01) + z = np.array([]).reshape(0, y.size) + for xx in x: + zz = [self.quantile_spread(xx, yy, surface_id) for yy in y] + z = np.vstack((z, zz)) + xx, yy = np.meshgrid(x, y) + surf = ax.plot_surface(xx, yy, z.T, + cmap=cm.viridis) + ax.set_xlabel("Year fraction") + ax.set_ylabel("Probability") + ax.set_zlabel("Spread") + def plot(self, surface_id): fig = plt.figure() ax = fig.gca(projection='3d') |