diff options
Diffstat (limited to 'python/analytics/option.py')
| -rw-r--r-- | python/analytics/option.py | 3 |
1 files changed, 3 insertions, 0 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index e7c87fbb..14e64d54 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -424,6 +424,8 @@ class VolatilitySurface(ForwardIndex): engine, parse_dates = ['quotedate', 'expiry'], params=(trade_date, index_type.upper(), series)) + if self._quotes.empty: + raise ValueError("No quotes for that day") self._quotes['quotedate'] = (self._quotes['quotedate']. dt.tz_convert('America/New_York'). dt.tz_localize(None)) @@ -479,6 +481,7 @@ class VolatilitySurface(ForwardIndex): quotes = quotes.assign(mid = quotes[['pay_bid','pay_offer']].mean(1) * 1e-4) else: quotes = quotes.assign(mid = quotes[['rec_bid','rec_offer']].mean(1) * 1e-4) + quotes = quotes.dropna(subset=['mid']) with Pool(4) as p: for expiry, df in quotes.groupby(['expiry']): atm_strike = ATMstrike(self._index, expiry.date()) |