diff options
Diffstat (limited to 'python/exploration/option_trades.py')
| -rw-r--r-- | python/exploration/option_trades.py | 2 |
1 files changed, 2 insertions, 0 deletions
diff --git a/python/exploration/option_trades.py b/python/exploration/option_trades.py index ab61a520..8562549d 100644 --- a/python/exploration/option_trades.py +++ b/python/exploration/option_trades.py @@ -83,10 +83,12 @@ def atm_vol(index, date, series=None, moneyness=0.2): df = pd.read_sql_query(sql_str, serenitasdb, index_col=['quotedate', 'expiry', 'series'], params=params, parse_dates=['quotedate']) + df = df.groupby(df.index).filter(lambda x: len(x)>2) return atm_vol_calc(df, index, moneyness) def rolling_vol(df, col='atm_vol', term=[3]): """compute the rolling volatility for various terms""" + df = df.reset_index(level=['expiry', 'series']) df = df.groupby(df.index).filter(lambda x: len(x)>2) def aux(s, col, term): k = s.index[0] |