diff options
Diffstat (limited to 'python/exploration/option_trades.py')
| -rw-r--r-- | python/exploration/option_trades.py | 5 |
1 files changed, 4 insertions, 1 deletions
diff --git a/python/exploration/option_trades.py b/python/exploration/option_trades.py index 8562549d..733c2cfb 100644 --- a/python/exploration/option_trades.py +++ b/python/exploration/option_trades.py @@ -9,7 +9,7 @@ from arch import arch_model from db import dbengine, dbconn from scipy.interpolate import interp1d from analytics import Index, ForwardIndex -from index_data import index_returns +from analytics.index_data import index_returns serenitasdb = dbengine('serenitasdb') @@ -80,9 +80,12 @@ def atm_vol(index, date, series=None, moneyness=0.2): if series: sql_str += ' AND series = %s' params = params + (series,) + qsrc_sql = "select distinct(quotedate), quote_source from swaption_quotes" + qsrc = pd.read_sql_query(qsrc_sql, serenitasdb, index_col=['quotedate'], parse_dates=['quotedate']) df = pd.read_sql_query(sql_str, serenitasdb, index_col=['quotedate', 'expiry', 'series'], params=params, parse_dates=['quotedate']) + df = df.merge(qsrc) df = df.groupby(df.index).filter(lambda x: len(x)>2) return atm_vol_calc(df, index, moneyness) |