diff options
Diffstat (limited to 'python/calibrate_swaption.py')
| -rw-r--r-- | python/calibrate_swaption.py | 64 |
1 files changed, 37 insertions, 27 deletions
diff --git a/python/calibrate_swaption.py b/python/calibrate_swaption.py index 41210a26..bd3a17d7 100644 --- a/python/calibrate_swaption.py +++ b/python/calibrate_swaption.py @@ -1,23 +1,20 @@ import pandas as pd +import argparse from analytics import Index, Swaption -import pdb from db import dbconn from joblib import Parallel, delayed from pickle import loads, dumps -serenitasdb = dbconn('serenitasdb') - -data = pd.read_sql("SELECT * from swaption_ref_quotes JOIN swaption_quotes " \ - "USING (quotedate, index, series, expiry) WHERE index=%s and series=%s " \ - "ORDER BY quotedate", - "postgresql://serenitas_user@debian/serenitasdb", - params = ('IG', 27), parse_dates = ['quotedate', 'expiry']) -ig27 = Index.from_name("ig", 27, "5yr") -sigma = {} -sql_str = "INSERT INTO swaption_calib VALUES({}) ON CONFLICT DO NOTHING".format(",".join(["%s"] * 9)) +serenitasdb = dbconn('serenitasdb') +def get_data(index, series): + return pd.read_sql("SELECT * from swaption_ref_quotes JOIN swaption_quotes " \ + "USING (quotedate, index, series, expiry) WHERE index=%s and series=%s " \ + "ORDER BY quotedate", + "postgresql://serenitas_user@debian/serenitasdb", + params = (index, series), parse_dates = ['quotedate', 'expiry']) -def calib(d, option, expiry): +def calib(d, option, expiry, index, series): option.strike = d['strike'] option.ref = d['ref'] r = [] @@ -27,22 +24,35 @@ def calib(d, option, expiry): option.option_type = 'payer' if option_type == 'pay' else 'receiver' try: setattr(option, pv_type, mid) - except ValueError: + except ValueError as e: r.append(None) - print(d['ref'], d['strike'], mid, option.intrinsic_value) + print(e) else: r.append(option.sigma) - return [d['quotedate'], "IG", 27, expiry, d['strike']] + r + return [d['quotedate'], index, series, expiry, d['strike']] + r + +def calibrate(index_type, series): + sql_str = ("INSERT INTO swaption_calib VALUES({}) ON CONFLICT DO NOTHING". + format(",".join(["%s"] * 9))) + data = get_data(index_type, series) + index = Index.from_name(index_type, series, "5yr") + + for k, v in data.groupby([data['quotedate'].dt.date, 'expiry']): + trade_date, expiry = k + index.trade_date = trade_date + option = Swaption(index, expiry.date(), 100, + strike_is_price = index_type == "HY") + r = Parallel(n_jobs=4)( + delayed(calib)(d, option, expiry.date(), index_type, series) for d in + v[['ref', 'quotedate', 'strike', 'pay_bid', 'pay_offer', 'rec_bid', 'rec_offer']]. + to_dict(orient = 'records')) + with serenitasdb.cursor() as c: + c.executemany(sql_str, r) + serenitasdb.commit() -for k, v in data.groupby([data['quotedate'].dt.date, 'expiry']): - trade_date, expiry = k - print(trade_date, expiry.date()) - ig27.trade_date = trade_date - option = Swaption(ig27, expiry.date(), 70) - r = Parallel(n_jobs=4)(delayed(calib)(d, option, expiry.date()) for d in - v[['ref', 'quotedate', 'strike', 'pay_bid', 'pay_offer', - 'rec_bid', 'rec_offer']]. - to_dict(orient = 'records')) - with serenitasdb.cursor() as c: - c.executemany(sql_str, r) - serenitasdb.commit() +if __name__ == "__main__": + parser = argparse.ArgumentParser() + parser.add_argument('--index', required=True, type = lambda s: s.upper()) + parser.add_argument('--series', required=True, type=int) + args = parser.parse_args() + calibrate(args.index, args.series) |