diff options
Diffstat (limited to 'python/notebooks/Option Trades.ipynb')
| -rw-r--r-- | python/notebooks/Option Trades.ipynb | 846 |
1 files changed, 832 insertions, 14 deletions
diff --git a/python/notebooks/Option Trades.ipynb b/python/notebooks/Option Trades.ipynb index 58b32b5d..9aa46523 100644 --- a/python/notebooks/Option Trades.ipynb +++ b/python/notebooks/Option Trades.ipynb @@ -2,15 +2,15 @@ "cells": [ { "cell_type": "code", - "execution_count": null, + "execution_count": 6, "metadata": {}, "outputs": [], "source": [ - "from analytics import Swaption, BlackSwaption, Index, VolatilitySurface, Portfolio\n", + "from analytics import Swaption, BlackSwaption, BlackSwaptionVolSurface, Index, Portfolio\n", "from analytics.scenarios import run_swaption_scenarios, run_index_scenarios, run_portfolio_scenarios\n", "import datetime\n", "\n", - "import exploration.swaption_calendar_spread as spread\n", + "from exploration.swaption_calendar_spread import plot_trade_scenarios\n", "#import swaption_calendar_spread as spread" ] }, @@ -25,12 +25,830 @@ }, { "cell_type": "code", - "execution_count": null, + "execution_count": 8, "metadata": {}, - "outputs": [], + "outputs": [ + { + "name": "stderr", + "output_type": "stream", + "text": [ + "/home/guillaume/projects/code/python/analytics/option.py:577: SettingWithCopyWarning: \n", + "A value is trying to be set on a copy of a slice from a DataFrame\n", + "\n", + "See the caveats in the documentation: http://pandas.pydata.org/pandas-docs/stable/indexing.html#indexing-view-versus-copy\n", + " inplace=True)\n" + ] + }, + { + "data": { + "application/javascript": [ + "/* Put everything inside the global mpl namespace */\n", + "window.mpl = {};\n", + "\n", + "\n", + "mpl.get_websocket_type = function() {\n", + " if (typeof(WebSocket) !== 'undefined') {\n", + " return WebSocket;\n", + " } else if (typeof(MozWebSocket) !== 'undefined') {\n", + " return MozWebSocket;\n", + " } else {\n", + " alert('Your browser does not have WebSocket support.' +\n", + " 'Please try Chrome, Safari or Firefox ≥ 6. ' +\n", + " 'Firefox 4 and 5 are also supported but you ' +\n", + " 'have to enable WebSockets in about:config.');\n", + " };\n", + "}\n", + "\n", + "mpl.figure = function(figure_id, websocket, ondownload, parent_element) {\n", + " this.id = figure_id;\n", + "\n", + " this.ws = websocket;\n", + "\n", + " this.supports_binary = (this.ws.binaryType != undefined);\n", + "\n", + " if (!this.supports_binary) {\n", + " var warnings = document.getElementById(\"mpl-warnings\");\n", + " if (warnings) {\n", + " warnings.style.display = 'block';\n", + " warnings.textContent = (\n", + " \"This browser does not support binary websocket messages. \" +\n", + " \"Performance may be slow.\");\n", + " }\n", + " }\n", + "\n", + " this.imageObj = new Image();\n", + "\n", + " this.context = undefined;\n", + " this.message = undefined;\n", + " this.canvas = undefined;\n", + " this.rubberband_canvas = undefined;\n", + " this.rubberband_context = undefined;\n", + " this.format_dropdown = undefined;\n", + "\n", + " this.image_mode = 'full';\n", + "\n", + " this.root = $('<div/>');\n", + " this._root_extra_style(this.root)\n", + " this.root.attr('style', 'display: inline-block');\n", + "\n", + " $(parent_element).append(this.root);\n", + "\n", + " this._init_header(this);\n", + " this._init_canvas(this);\n", + " this._init_toolbar(this);\n", + "\n", + " var fig = this;\n", + "\n", + " this.waiting = false;\n", + "\n", + " this.ws.onopen = function () {\n", + " fig.send_message(\"supports_binary\", {value: fig.supports_binary});\n", + " fig.send_message(\"send_image_mode\", {});\n", + " if (mpl.ratio != 1) {\n", + " fig.send_message(\"set_dpi_ratio\", {'dpi_ratio': mpl.ratio});\n", + " }\n", + " fig.send_message(\"refresh\", {});\n", + " }\n", + "\n", + " this.imageObj.onload = function() {\n", + " if (fig.image_mode == 'full') {\n", + " // Full images could contain transparency (where diff images\n", + " // almost always do), so we need to clear the canvas so that\n", + " // there is no ghosting.\n", + " fig.context.clearRect(0, 0, fig.canvas.width, fig.canvas.height);\n", + " }\n", + " fig.context.drawImage(fig.imageObj, 0, 0);\n", + " };\n", + "\n", + " this.imageObj.onunload = function() {\n", + " fig.ws.close();\n", + " }\n", + "\n", + " this.ws.onmessage = this._make_on_message_function(this);\n", + "\n", + " this.ondownload = ondownload;\n", + "}\n", + "\n", + "mpl.figure.prototype._init_header = function() {\n", + " var titlebar = $(\n", + " '<div class=\"ui-dialog-titlebar ui-widget-header ui-corner-all ' +\n", + " 'ui-helper-clearfix\"/>');\n", + " var titletext = $(\n", + " '<div class=\"ui-dialog-title\" style=\"width: 100%; ' +\n", + " 'text-align: center; padding: 3px;\"/>');\n", + " titlebar.append(titletext)\n", + " this.root.append(titlebar);\n", + " this.header = titletext[0];\n", + "}\n", + "\n", + "\n", + "\n", + "mpl.figure.prototype._canvas_extra_style = function(canvas_div) {\n", + "\n", + "}\n", + "\n", + "\n", + "mpl.figure.prototype._root_extra_style = function(canvas_div) {\n", + "\n", + "}\n", + "\n", + "mpl.figure.prototype._init_canvas = function() {\n", + " var fig = this;\n", + "\n", + " var canvas_div = $('<div/>');\n", + "\n", + " canvas_div.attr('style', 'position: relative; clear: both; outline: 0');\n", + "\n", + " function canvas_keyboard_event(event) {\n", + " return fig.key_event(event, event['data']);\n", + " }\n", + "\n", + " canvas_div.keydown('key_press', canvas_keyboard_event);\n", + " canvas_div.keyup('key_release', canvas_keyboard_event);\n", + " this.canvas_div = canvas_div\n", + " this._canvas_extra_style(canvas_div)\n", + " this.root.append(canvas_div);\n", + "\n", + " var canvas = $('<canvas/>');\n", + " canvas.addClass('mpl-canvas');\n", + " canvas.attr('style', \"left: 0; top: 0; z-index: 0; outline: 0\")\n", + "\n", + " this.canvas = canvas[0];\n", + " this.context = canvas[0].getContext(\"2d\");\n", + "\n", + " var backingStore = this.context.backingStorePixelRatio ||\n", + "\tthis.context.webkitBackingStorePixelRatio ||\n", + "\tthis.context.mozBackingStorePixelRatio ||\n", + "\tthis.context.msBackingStorePixelRatio ||\n", + "\tthis.context.oBackingStorePixelRatio ||\n", + "\tthis.context.backingStorePixelRatio || 1;\n", + "\n", + " mpl.ratio = (window.devicePixelRatio || 1) / backingStore;\n", + "\n", + " var rubberband = $('<canvas/>');\n", + " rubberband.attr('style', \"position: absolute; left: 0; top: 0; z-index: 1;\")\n", + "\n", + " var pass_mouse_events = true;\n", + "\n", + " canvas_div.resizable({\n", + " start: function(event, ui) {\n", + " pass_mouse_events = false;\n", + " },\n", + " resize: function(event, ui) {\n", + " fig.request_resize(ui.size.width, ui.size.height);\n", + " },\n", + " stop: function(event, ui) {\n", + " pass_mouse_events = true;\n", + " fig.request_resize(ui.size.width, ui.size.height);\n", + " },\n", + " });\n", + "\n", + " function mouse_event_fn(event) {\n", + " if (pass_mouse_events)\n", + " return fig.mouse_event(event, event['data']);\n", + " }\n", + "\n", + " rubberband.mousedown('button_press', mouse_event_fn);\n", + " rubberband.mouseup('button_release', mouse_event_fn);\n", + " // Throttle sequential mouse events to 1 every 20ms.\n", + " rubberband.mousemove('motion_notify', mouse_event_fn);\n", + "\n", + " rubberband.mouseenter('figure_enter', mouse_event_fn);\n", + " rubberband.mouseleave('figure_leave', mouse_event_fn);\n", + "\n", + " canvas_div.on(\"wheel\", function (event) {\n", + " event = event.originalEvent;\n", + " event['data'] = 'scroll'\n", + " if (event.deltaY < 0) {\n", + " event.step = 1;\n", + " } else {\n", + " event.step = -1;\n", + " }\n", + " mouse_event_fn(event);\n", + " });\n", + "\n", + " canvas_div.append(canvas);\n", + " canvas_div.append(rubberband);\n", + "\n", + " this.rubberband = rubberband;\n", + " this.rubberband_canvas = rubberband[0];\n", + " this.rubberband_context = rubberband[0].getContext(\"2d\");\n", + " this.rubberband_context.strokeStyle = \"#000000\";\n", + "\n", + " this._resize_canvas = function(width, height) {\n", + " // Keep the size of the canvas, canvas container, and rubber band\n", + " // canvas in synch.\n", + " canvas_div.css('width', width)\n", + " canvas_div.css('height', height)\n", + "\n", + " canvas.attr('width', width * mpl.ratio);\n", + " canvas.attr('height', height * mpl.ratio);\n", + " canvas.attr('style', 'width: ' + width + 'px; height: ' + height + 'px;');\n", + "\n", + " rubberband.attr('width', width);\n", + " rubberband.attr('height', height);\n", + " }\n", + "\n", + " // Set the figure to an initial 600x600px, this will subsequently be updated\n", + " // upon first draw.\n", + " this._resize_canvas(600, 600);\n", + "\n", + " // Disable right mouse context menu.\n", + " $(this.rubberband_canvas).bind(\"contextmenu\",function(e){\n", + " return false;\n", + " });\n", + "\n", + " function set_focus () {\n", + " canvas.focus();\n", + " canvas_div.focus();\n", + " }\n", + "\n", + " window.setTimeout(set_focus, 100);\n", + "}\n", + "\n", + "mpl.figure.prototype._init_toolbar = function() {\n", + " var fig = this;\n", + "\n", + " var nav_element = $('<div/>')\n", + " nav_element.attr('style', 'width: 100%');\n", + " this.root.append(nav_element);\n", + "\n", + " // Define a callback function for later on.\n", + " function toolbar_event(event) {\n", + " return fig.toolbar_button_onclick(event['data']);\n", + " }\n", + " function toolbar_mouse_event(event) {\n", + " return fig.toolbar_button_onmouseover(event['data']);\n", + " }\n", + "\n", + " for(var toolbar_ind in mpl.toolbar_items) {\n", + " var name = mpl.toolbar_items[toolbar_ind][0];\n", + " var tooltip = mpl.toolbar_items[toolbar_ind][1];\n", + " var image = mpl.toolbar_items[toolbar_ind][2];\n", + " var method_name = mpl.toolbar_items[toolbar_ind][3];\n", + "\n", + " if (!name) {\n", + " // put a spacer in here.\n", + " continue;\n", + " }\n", + " var button = $('<button/>');\n", + " button.addClass('ui-button ui-widget ui-state-default ui-corner-all ' +\n", + " 'ui-button-icon-only');\n", + " button.attr('role', 'button');\n", + " button.attr('aria-disabled', 'false');\n", + " button.click(method_name, toolbar_event);\n", + " button.mouseover(tooltip, toolbar_mouse_event);\n", + "\n", + " var icon_img = $('<span/>');\n", + " icon_img.addClass('ui-button-icon-primary ui-icon');\n", + " icon_img.addClass(image);\n", + " icon_img.addClass('ui-corner-all');\n", + "\n", + " var tooltip_span = $('<span/>');\n", + " tooltip_span.addClass('ui-button-text');\n", + " tooltip_span.html(tooltip);\n", + "\n", + " button.append(icon_img);\n", + " button.append(tooltip_span);\n", + "\n", + " nav_element.append(button);\n", + " }\n", + "\n", + " var fmt_picker_span = $('<span/>');\n", + "\n", + " var fmt_picker = $('<select/>');\n", + " fmt_picker.addClass('mpl-toolbar-option ui-widget ui-widget-content');\n", + " fmt_picker_span.append(fmt_picker);\n", + " nav_element.append(fmt_picker_span);\n", + " this.format_dropdown = fmt_picker[0];\n", + "\n", + " for (var ind in mpl.extensions) {\n", + " var fmt = mpl.extensions[ind];\n", + " var option = $(\n", + " '<option/>', {selected: fmt === mpl.default_extension}).html(fmt);\n", + " fmt_picker.append(option)\n", + " }\n", + "\n", + " // Add hover states to the ui-buttons\n", + " $( \".ui-button\" ).hover(\n", + " function() { $(this).addClass(\"ui-state-hover\");},\n", + " function() { $(this).removeClass(\"ui-state-hover\");}\n", + " );\n", + "\n", + " var status_bar = $('<span class=\"mpl-message\"/>');\n", + " nav_element.append(status_bar);\n", + " this.message = status_bar[0];\n", + "}\n", + "\n", + "mpl.figure.prototype.request_resize = function(x_pixels, y_pixels) {\n", + " // Request matplotlib to resize the figure. Matplotlib will then trigger a resize in the client,\n", + " // which will in turn request a refresh of the image.\n", + " this.send_message('resize', {'width': x_pixels, 'height': y_pixels});\n", + "}\n", + "\n", + "mpl.figure.prototype.send_message = function(type, properties) {\n", + " properties['type'] = type;\n", + " properties['figure_id'] = this.id;\n", + " this.ws.send(JSON.stringify(properties));\n", + "}\n", + "\n", + "mpl.figure.prototype.send_draw_message = function() {\n", + " if (!this.waiting) {\n", + " this.waiting = true;\n", + " this.ws.send(JSON.stringify({type: \"draw\", figure_id: this.id}));\n", + " }\n", + "}\n", + "\n", + "\n", + "mpl.figure.prototype.handle_save = function(fig, msg) {\n", + " var format_dropdown = fig.format_dropdown;\n", + " var format = format_dropdown.options[format_dropdown.selectedIndex].value;\n", + " fig.ondownload(fig, format);\n", + "}\n", + "\n", + "\n", + "mpl.figure.prototype.handle_resize = function(fig, msg) {\n", + " var size = msg['size'];\n", + " if (size[0] != fig.canvas.width || size[1] != fig.canvas.height) {\n", + " fig._resize_canvas(size[0], size[1]);\n", + " fig.send_message(\"refresh\", {});\n", + " };\n", + "}\n", + "\n", + "mpl.figure.prototype.handle_rubberband = function(fig, msg) {\n", + " var x0 = msg['x0'] / mpl.ratio;\n", + " var y0 = (fig.canvas.height - msg['y0']) / mpl.ratio;\n", + " var x1 = msg['x1'] / mpl.ratio;\n", + " var y1 = (fig.canvas.height - msg['y1']) / mpl.ratio;\n", + " x0 = Math.floor(x0) + 0.5;\n", + " y0 = Math.floor(y0) + 0.5;\n", + " x1 = Math.floor(x1) + 0.5;\n", + " y1 = Math.floor(y1) + 0.5;\n", + " var min_x = Math.min(x0, x1);\n", + " var min_y = Math.min(y0, y1);\n", + " var width = Math.abs(x1 - x0);\n", + " var height = Math.abs(y1 - y0);\n", + "\n", + " fig.rubberband_context.clearRect(\n", + " 0, 0, fig.canvas.width, fig.canvas.height);\n", + "\n", + " fig.rubberband_context.strokeRect(min_x, min_y, width, height);\n", + "}\n", + "\n", + "mpl.figure.prototype.handle_figure_label = function(fig, msg) {\n", + " // Updates the figure title.\n", + " fig.header.textContent = msg['label'];\n", + "}\n", + "\n", + "mpl.figure.prototype.handle_cursor = function(fig, msg) {\n", + " var cursor = msg['cursor'];\n", + " switch(cursor)\n", + " {\n", + " case 0:\n", + " cursor = 'pointer';\n", + " break;\n", + " case 1:\n", + " cursor = 'default';\n", + " break;\n", + " case 2:\n", + " cursor = 'crosshair';\n", + " break;\n", + " case 3:\n", + " cursor = 'move';\n", + " break;\n", + " }\n", + " fig.rubberband_canvas.style.cursor = cursor;\n", + "}\n", + "\n", + "mpl.figure.prototype.handle_message = function(fig, msg) {\n", + " fig.message.textContent = msg['message'];\n", + "}\n", + "\n", + "mpl.figure.prototype.handle_draw = function(fig, msg) {\n", + " // Request the server to send over a new figure.\n", + " fig.send_draw_message();\n", + "}\n", + "\n", + "mpl.figure.prototype.handle_image_mode = function(fig, msg) {\n", + " fig.image_mode = msg['mode'];\n", + "}\n", + "\n", + "mpl.figure.prototype.updated_canvas_event = function() {\n", + " // Called whenever the canvas gets updated.\n", + " this.send_message(\"ack\", {});\n", + "}\n", + "\n", + "// A function to construct a web socket function for onmessage handling.\n", + "// Called in the figure constructor.\n", + "mpl.figure.prototype._make_on_message_function = function(fig) {\n", + " return function socket_on_message(evt) {\n", + " if (evt.data instanceof Blob) {\n", + " /* FIXME: We get \"Resource interpreted as Image but\n", + " * transferred with MIME type text/plain:\" errors on\n", + " * Chrome. But how to set the MIME type? It doesn't seem\n", + " * to be part of the websocket stream */\n", + " evt.data.type = \"image/png\";\n", + "\n", + " /* Free the memory for the previous frames */\n", + " if (fig.imageObj.src) {\n", + " (window.URL || window.webkitURL).revokeObjectURL(\n", + " fig.imageObj.src);\n", + " }\n", + "\n", + " fig.imageObj.src = (window.URL || window.webkitURL).createObjectURL(\n", + " evt.data);\n", + " fig.updated_canvas_event();\n", + " fig.waiting = false;\n", + " return;\n", + " }\n", + " else if (typeof evt.data === 'string' && evt.data.slice(0, 21) == \"data:image/png;base64\") {\n", + " fig.imageObj.src = evt.data;\n", + " fig.updated_canvas_event();\n", + " fig.waiting = false;\n", + " return;\n", + " }\n", + "\n", + " var msg = JSON.parse(evt.data);\n", + " var msg_type = msg['type'];\n", + "\n", + " // Call the \"handle_{type}\" callback, which takes\n", + " // the figure and JSON message as its only arguments.\n", + " try {\n", + " var callback = fig[\"handle_\" + msg_type];\n", + " } catch (e) {\n", + " console.log(\"No handler for the '\" + msg_type + \"' message type: \", msg);\n", + " return;\n", + " }\n", + "\n", + " if (callback) {\n", + " try {\n", + " // console.log(\"Handling '\" + msg_type + \"' message: \", msg);\n", + " callback(fig, msg);\n", + " } catch (e) {\n", + " console.log(\"Exception inside the 'handler_\" + msg_type + \"' callback:\", e, e.stack, msg);\n", + " }\n", + " }\n", + " };\n", + "}\n", + "\n", + "// from http://stackoverflow.com/questions/1114465/getting-mouse-location-in-canvas\n", + "mpl.findpos = function(e) {\n", + " //this section is from http://www.quirksmode.org/js/events_properties.html\n", + " var targ;\n", + " if (!e)\n", + " e = window.event;\n", + " if (e.target)\n", + " targ = e.target;\n", + " else if (e.srcElement)\n", + " targ = e.srcElement;\n", + " if (targ.nodeType == 3) // defeat Safari bug\n", + " targ = targ.parentNode;\n", + "\n", + " // jQuery normalizes the pageX and pageY\n", + " // pageX,Y are the mouse positions relative to the document\n", + " // offset() returns the position of the element relative to the document\n", + " var x = e.pageX - $(targ).offset().left;\n", + " var y = e.pageY - $(targ).offset().top;\n", + "\n", + " return {\"x\": x, \"y\": y};\n", + "};\n", + "\n", + "/*\n", + " * return a copy of an object with only non-object keys\n", + " * we need this to avoid circular references\n", + " * http://stackoverflow.com/a/24161582/3208463\n", + " */\n", + "function simpleKeys (original) {\n", + " return Object.keys(original).reduce(function (obj, key) {\n", + " if (typeof original[key] !== 'object')\n", + " obj[key] = original[key]\n", + " return obj;\n", + " }, {});\n", + "}\n", + "\n", + "mpl.figure.prototype.mouse_event = function(event, name) {\n", + " var canvas_pos = mpl.findpos(event)\n", + "\n", + " if (name === 'button_press')\n", + " {\n", + " this.canvas.focus();\n", + " this.canvas_div.focus();\n", + " }\n", + "\n", + " var x = canvas_pos.x * mpl.ratio;\n", + " var y = canvas_pos.y * mpl.ratio;\n", + "\n", + " this.send_message(name, {x: x, y: y, button: event.button,\n", + " step: event.step,\n", + " guiEvent: simpleKeys(event)});\n", + "\n", + " /* This prevents the web browser from automatically changing to\n", + " * the text insertion cursor when the button is pressed. We want\n", + " * to control all of the cursor setting manually through the\n", + " * 'cursor' event from matplotlib */\n", + " event.preventDefault();\n", + " return false;\n", + "}\n", + "\n", + "mpl.figure.prototype._key_event_extra = function(event, name) {\n", + " // Handle any extra behaviour associated with a key event\n", + "}\n", + "\n", + "mpl.figure.prototype.key_event = function(event, name) {\n", + "\n", + " // Prevent repeat events\n", + " if (name == 'key_press')\n", + " {\n", + " if (event.which === this._key)\n", + " return;\n", + " else\n", + " this._key = event.which;\n", + " }\n", + " if (name == 'key_release')\n", + " this._key = null;\n", + "\n", + " var value = '';\n", + " if (event.ctrlKey && event.which != 17)\n", + " value += \"ctrl+\";\n", + " if (event.altKey && event.which != 18)\n", + " value += \"alt+\";\n", + " if (event.shiftKey && event.which != 16)\n", + " value += \"shift+\";\n", + "\n", + " value += 'k';\n", + " value += event.which.toString();\n", + "\n", + " this._key_event_extra(event, name);\n", + "\n", + " this.send_message(name, {key: value,\n", + " guiEvent: simpleKeys(event)});\n", + " return false;\n", + "}\n", + "\n", + "mpl.figure.prototype.toolbar_button_onclick = function(name) {\n", + " if (name == 'download') {\n", + " this.handle_save(this, null);\n", + " } else {\n", + " this.send_message(\"toolbar_button\", {name: name});\n", + " }\n", + "};\n", + "\n", + "mpl.figure.prototype.toolbar_button_onmouseover = function(tooltip) {\n", + " this.message.textContent = tooltip;\n", + "};\n", + "mpl.toolbar_items = [[\"Home\", \"Reset original view\", \"fa fa-home icon-home\", \"home\"], [\"Back\", \"Back to previous view\", \"fa fa-arrow-left icon-arrow-left\", \"back\"], [\"Forward\", \"Forward to next view\", \"fa fa-arrow-right icon-arrow-right\", \"forward\"], [\"\", \"\", \"\", \"\"], [\"Pan\", \"Pan axes with left mouse, zoom with right\", \"fa fa-arrows icon-move\", \"pan\"], [\"Zoom\", \"Zoom to rectangle\", \"fa fa-square-o icon-check-empty\", \"zoom\"], [\"\", \"\", \"\", \"\"], [\"Download\", \"Download plot\", \"fa fa-floppy-o icon-save\", \"download\"]];\n", + "\n", + "mpl.extensions = [\"eps\", \"jpeg\", \"pdf\", \"png\", \"ps\", \"raw\", \"svg\", \"tif\"];\n", + "\n", + "mpl.default_extension = \"png\";var comm_websocket_adapter = function(comm) {\n", + " // Create a \"websocket\"-like object which calls the given IPython comm\n", + " // object with the appropriate methods. Currently this is a non binary\n", + " // socket, so there is still some room for performance tuning.\n", + " var ws = {};\n", + "\n", + " ws.close = function() {\n", + " comm.close()\n", + " };\n", + " ws.send = function(m) {\n", + " //console.log('sending', m);\n", + " comm.send(m);\n", + " };\n", + " // Register the callback with on_msg.\n", + " comm.on_msg(function(msg) {\n", + " //console.log('receiving', msg['content']['data'], msg);\n", + " // Pass the mpl event to the overridden (by mpl) onmessage function.\n", + " ws.onmessage(msg['content']['data'])\n", + " });\n", + " return ws;\n", + "}\n", + "\n", + "mpl.mpl_figure_comm = function(comm, msg) {\n", + " // This is the function which gets called when the mpl process\n", + " // starts-up an IPython Comm through the \"matplotlib\" channel.\n", + "\n", + " var id = msg.content.data.id;\n", + " // Get hold of the div created by the display call when the Comm\n", + " // socket was opened in Python.\n", + " var element = $(\"#\" + id);\n", + " var ws_proxy = comm_websocket_adapter(comm)\n", + "\n", + " function ondownload(figure, format) {\n", + " window.open(figure.imageObj.src);\n", + " }\n", + "\n", + " var fig = new mpl.figure(id, ws_proxy,\n", + " ondownload,\n", + " element.get(0));\n", + "\n", + " // Call onopen now - mpl needs it, as it is assuming we've passed it a real\n", + " // web socket which is closed, not our websocket->open comm proxy.\n", + " ws_proxy.onopen();\n", + "\n", + " fig.parent_element = element.get(0);\n", + " fig.cell_info = mpl.find_output_cell(\"<div id='\" + id + \"'></div>\");\n", + " if (!fig.cell_info) {\n", + " console.error(\"Failed to find cell for figure\", id, fig);\n", + " return;\n", + " }\n", + "\n", + " var output_index = fig.cell_info[2]\n", + " var cell = fig.cell_info[0];\n", + "\n", + "};\n", + "\n", + "mpl.figure.prototype.handle_close = function(fig, msg) {\n", + " var width = fig.canvas.width/mpl.ratio\n", + " fig.root.unbind('remove')\n", + "\n", + " // Update the output cell to use the data from the current canvas.\n", + " fig.push_to_output();\n", + " var dataURL = fig.canvas.toDataURL();\n", + " // Re-enable the keyboard manager in IPython - without this line, in FF,\n", + " // the notebook keyboard shortcuts fail.\n", + " IPython.keyboard_manager.enable()\n", + " $(fig.parent_element).html('<img src=\"' + dataURL + '\" width=\"' + width + '\">');\n", + " fig.close_ws(fig, msg);\n", + "}\n", + "\n", + "mpl.figure.prototype.close_ws = function(fig, msg){\n", + " fig.send_message('closing', msg);\n", + " // fig.ws.close()\n", + "}\n", + "\n", + "mpl.figure.prototype.push_to_output = function(remove_interactive) {\n", + " // Turn the data on the canvas into data in the output cell.\n", + " var width = this.canvas.width/mpl.ratio\n", + " var dataURL = this.canvas.toDataURL();\n", + " this.cell_info[1]['text/html'] = '<img src=\"' + dataURL + '\" width=\"' + width + '\">';\n", + "}\n", + "\n", + "mpl.figure.prototype.updated_canvas_event = function() {\n", + " // Tell IPython that the notebook contents must change.\n", + " IPython.notebook.set_dirty(true);\n", + " this.send_message(\"ack\", {});\n", + " var fig = this;\n", + " // Wait a second, then push the new image to the DOM so\n", + " // that it is saved nicely (might be nice to debounce this).\n", + " setTimeout(function () { fig.push_to_output() }, 1000);\n", + "}\n", + "\n", + "mpl.figure.prototype._init_toolbar = function() {\n", + " var fig = this;\n", + "\n", + " var nav_element = $('<div/>')\n", + " nav_element.attr('style', 'width: 100%');\n", + " this.root.append(nav_element);\n", + "\n", + " // Define a callback function for later on.\n", + " function toolbar_event(event) {\n", + " return fig.toolbar_button_onclick(event['data']);\n", + " }\n", + " function toolbar_mouse_event(event) {\n", + " return fig.toolbar_button_onmouseover(event['data']);\n", + " }\n", + "\n", + " for(var toolbar_ind in mpl.toolbar_items){\n", + " var name = mpl.toolbar_items[toolbar_ind][0];\n", + " var tooltip = mpl.toolbar_items[toolbar_ind][1];\n", + " var image = mpl.toolbar_items[toolbar_ind][2];\n", + " var method_name = mpl.toolbar_items[toolbar_ind][3];\n", + "\n", + " if (!name) { continue; };\n", + "\n", + " var button = $('<button class=\"btn btn-default\" href=\"#\" title=\"' + name + '\"><i class=\"fa ' + image + ' fa-lg\"></i></button>');\n", + " button.click(method_name, toolbar_event);\n", + " button.mouseover(tooltip, toolbar_mouse_event);\n", + " nav_element.append(button);\n", + " }\n", + "\n", + " // Add the status bar.\n", + " var status_bar = $('<span class=\"mpl-message\" style=\"text-align:right; float: right;\"/>');\n", + " nav_element.append(status_bar);\n", + " this.message = status_bar[0];\n", + "\n", + " // Add the close button to the window.\n", + " var buttongrp = $('<div class=\"btn-group inline pull-right\"></div>');\n", + " var button = $('<button class=\"btn btn-mini btn-primary\" href=\"#\" title=\"Stop Interaction\"><i class=\"fa fa-power-off icon-remove icon-large\"></i></button>');\n", + " button.click(function (evt) { fig.handle_close(fig, {}); } );\n", + " button.mouseover('Stop Interaction', toolbar_mouse_event);\n", + " buttongrp.append(button);\n", + " var titlebar = this.root.find($('.ui-dialog-titlebar'));\n", + " titlebar.prepend(buttongrp);\n", + "}\n", + "\n", + "mpl.figure.prototype._root_extra_style = function(el){\n", + " var fig = this\n", + " el.on(\"remove\", function(){\n", + "\tfig.close_ws(fig, {});\n", + " });\n", + "}\n", + "\n", + "mpl.figure.prototype._canvas_extra_style = function(el){\n", + " // this is important to make the div 'focusable\n", + " el.attr('tabindex', 0)\n", + " // reach out to IPython and tell the keyboard manager to turn it's self\n", + " // off when our div gets focus\n", + "\n", + " // location in version 3\n", + " if (IPython.notebook.keyboard_manager) {\n", + " IPython.notebook.keyboard_manager.register_events(el);\n", + " }\n", + " else {\n", + " // location in version 2\n", + " IPython.keyboard_manager.register_events(el);\n", + " }\n", + "\n", + "}\n", + "\n", + "mpl.figure.prototype._key_event_extra = function(event, name) {\n", + " var manager = IPython.notebook.keyboard_manager;\n", + " if (!manager)\n", + " manager = IPython.keyboard_manager;\n", + "\n", + " // Check for shift+enter\n", + " if (event.shiftKey && event.which == 13) {\n", + " this.canvas_div.blur();\n", + " event.shiftKey = false;\n", + " // Send a \"J\" for go to next cell\n", + " event.which = 74;\n", + " event.keyCode = 74;\n", + " manager.command_mode();\n", + " manager.handle_keydown(event);\n", + " }\n", + "}\n", + "\n", + "mpl.figure.prototype.handle_save = function(fig, msg) {\n", + " fig.ondownload(fig, null);\n", + "}\n", + "\n", + "\n", + "mpl.find_output_cell = function(html_output) {\n", + " // Return the cell and output element which can be found *uniquely* in the notebook.\n", + " // Note - this is a bit hacky, but it is done because the \"notebook_saving.Notebook\"\n", + " // IPython event is triggered only after the cells have been serialised, which for\n", + " // our purposes (turning an active figure into a static one), is too late.\n", + " var cells = IPython.notebook.get_cells();\n", + " var ncells = cells.length;\n", + " for (var i=0; i<ncells; i++) {\n", + " var cell = cells[i];\n", + " if (cell.cell_type === 'code'){\n", + " for (var j=0; j<cell.output_area.outputs.length; j++) {\n", + " var data = cell.output_area.outputs[j];\n", + " if (data.data) {\n", + " // IPython >= 3 moved mimebundle to data attribute of output\n", + " data = data.data;\n", + " }\n", + " if (data['text/html'] == html_output) {\n", + " return [cell, data, j];\n", + " }\n", + " }\n", + " }\n", + " }\n", + "}\n", + "\n", + "// Register the function which deals with the matplotlib target/channel.\n", + "// The kernel may be null if the page has been refreshed.\n", + "if (IPython.notebook.kernel != null) {\n", + " IPython.notebook.kernel.comm_manager.register_target('matplotlib', mpl.mpl_figure_comm);\n", + "}\n" + ], + "text/plain": [ + "<IPython.core.display.Javascript object>" + ] + }, + "metadata": {}, + "output_type": "display_data" + }, + { + "data": { + "text/html": [ + "<div id='89a7f060-3b6d-4fbd-84ea-ed955bd951da'></div>" + ], + "text/plain": [ + "<IPython.core.display.HTML object>" + ] + }, + "metadata": {}, + "output_type": "display_data" + }, + { + "ename": "NameError", + "evalue": "name 'matplotlib' is not defined", + "output_type": "error", + "traceback": [ + "\u001b[0;31m---------------------------------------------------------------------------\u001b[0m", + "\u001b[0;31mNameError\u001b[0m Traceback (most recent call last)", + "\u001b[0;32m<ipython-input-8-de95e8fea496>\u001b[0m in \u001b[0;36m<module>\u001b[0;34m()\u001b[0m\n\u001b[1;32m 20\u001b[0m \u001b[0mportf\u001b[0m \u001b[0;34m=\u001b[0m \u001b[0mPortfolio\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0;34m[\u001b[0m\u001b[0moption1\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0moption2\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0moption3\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0moption_delta\u001b[0m\u001b[0;34m]\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m 21\u001b[0m \u001b[0;31m#Plot Scenarios Inputs: Portfolio, spread shock tightening%, spread shock widening%, snapshot period)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0;32m---> 22\u001b[0;31m \u001b[0mplot_trade_scenarios\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mportf\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0;34m-\u001b[0m\u001b[0;36m.15\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0;36m.8\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0;34m-\u001b[0m\u001b[0;36m4\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mvol_time_roll\u001b[0m\u001b[0;34m=\u001b[0m\u001b[0;32mFalse\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0m", + "\u001b[0;32m~/projects/code/python/exploration/swaption_calendar_spread.py\u001b[0m in \u001b[0;36mplot_trade_scenarios\u001b[0;34m(portf, shock_min, shock_max, period, vol_time_roll)\u001b[0m\n\u001b[1;32m 55\u001b[0m \u001b[0mshock\u001b[0m \u001b[0;34m=\u001b[0m \u001b[0mhy_plot_range\u001b[0m \u001b[0;32mif\u001b[0m \u001b[0mindex\u001b[0m \u001b[0;34m==\u001b[0m \u001b[0;34m'HY'\u001b[0m \u001b[0;32melse\u001b[0m \u001b[0mportf\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0mindices\u001b[0m\u001b[0;34m[\u001b[0m\u001b[0;36m0\u001b[0m\u001b[0;34m]\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0mspread\u001b[0m \u001b[0;34m*\u001b[0m \u001b[0;34m(\u001b[0m\u001b[0;36m1\u001b[0m \u001b[0;34m+\u001b[0m \u001b[0mspread_shock\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m 56\u001b[0m \u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0;32m---> 57\u001b[0;31m \u001b[0mplot_time_color_map\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mdf\u001b[0m\u001b[0;34m[\u001b[0m\u001b[0mround\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mdf\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0mvol_shock\u001b[0m\u001b[0;34m,\u001b[0m\u001b[0;36m2\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m==\u001b[0m\u001b[0;36m0\u001b[0m\u001b[0;34m]\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mshock\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0;34m'pnl'\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mindex\u001b[0m\u001b[0;34m=\u001b[0m\u001b[0mindex\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0m\u001b[1;32m 58\u001b[0m \u001b[0mplot_time_color_map\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mdf\u001b[0m\u001b[0;34m[\u001b[0m\u001b[0mround\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mdf\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0mvol_shock\u001b[0m\u001b[0;34m,\u001b[0m\u001b[0;36m2\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m==\u001b[0m\u001b[0;36m.2\u001b[0m\u001b[0;34m]\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mshock\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0;34m'pnl'\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mindex\u001b[0m\u001b[0;34m=\u001b[0m\u001b[0mindex\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m 59\u001b[0m \u001b[0mplot_color_map\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mdf\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0mloc\u001b[0m\u001b[0;34m[\u001b[0m\u001b[0mdate_range\u001b[0m\u001b[0;34m[\u001b[0m\u001b[0mperiod\u001b[0m\u001b[0;34m]\u001b[0m\u001b[0;34m]\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mshock\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mvol_shock\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0;34m'pnl'\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mindex\u001b[0m\u001b[0;34m=\u001b[0m\u001b[0mindex\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n", + "\u001b[0;32m~/projects/code/python/graphics.py\u001b[0m in \u001b[0;36mplot_time_color_map\u001b[0;34m(df, spread_shock, attr, path, color_map, index)\u001b[0m\n\u001b[1;32m 68\u001b[0m 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= BlackSwaption(option_delta, datetime.date(2018, 2, 21), 55, option_type=\"payer\")\n", "option2 = BlackSwaption(option_delta, datetime.date(2018, 2, 21), 67.5, option_type=\"payer\")\n", @@ -50,7 +868,7 @@ "option_delta.notional = abs(option_delta.notional)\n", "portf = Portfolio([option1, option2, option3, option_delta])\n", "#Plot Scenarios Inputs: Portfolio, spread shock tightening%, spread shock widening%, snapshot period)\n", - "df = spread.plot_trade_scenarios(portf, -.15, .8, -4, vol_time_roll=False)" + "plot_trade_scenarios(portf, -.15, .8, -4, vol_time_roll=False)" ] }, { @@ -101,7 +919,7 @@ "option1 = BlackSwaption.from_tradeid(3, option_delta)\n", "option2 = BlackSwaption.from_tradeid(4, option_delta)\n", "portf = Portfolio([option1, option2, option_delta])\n", - "spread.plot_trade_scenarios(portf)" + "plot_trade_scenarios(portf)" ] }, { @@ -115,7 +933,7 @@ "option1 = BlackSwaption.from_tradeid(5, option_delta)\n", "option2 = BlackSwaption.from_tradeid(6, option_delta)\n", "portf = Portfolio([option1, option2, option_delta])\n", - "spread.plot_trade_scenarios(portf)" + "plot_trade_scenarios(portf)" ] }, { @@ -129,7 +947,7 @@ "option1 = BlackSwaption.from_tradeid(7, option_delta)\n", "option2 = BlackSwaption.from_tradeid(8, option_delta)\n", "portf = Portfolio([option1, option2, option_delta])\n", - "spread.plot_trade_scenarios(portf)" + "plot_trade_scenarios(portf)" ] }, { @@ -149,7 +967,7 @@ "portf = Portfolio([option1_pf, option2_pf, option_delta_pf])\n", "portf.trade_date = datetime.date(2017, 5, 17)\n", "portf.mark()\n", - "spread.plot_trade_scenarios(portf)" + "plot_trade_scenarios(portf)" ] }, { @@ -163,7 +981,7 @@ "option1 = BlackSwaption.from_tradeid(10, option_delta)\n", "option2 = BlackSwaption.from_tradeid(11, option_delta)\n", "portf = Portfolio([option1, option2, option_delta])\n", - "spread.plot_trade_scenarios(portf)" + "plot_trade_scenarios(portf)" ] }, { @@ -197,7 +1015,7 @@ "option_delta.notional = abs(option_delta.notional)\n", "portf = Portfolio([option1, option2, option3, option4, option_delta])\n", "#Plot Scenarios Inputs: Portfolio, spread shock tightening%, spread shock widening%, snapshot period)\n", - "df = spread.plot_trade_scenarios(portf, -.15, .8, -4, vol_time_roll=False)" + "plot_trade_scenarios(portf, -.15, .8, -4, vol_time_roll=False)" ] }, { @@ -253,7 +1071,7 @@ "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", - "version": "3.6.1" + "version": "3.6.4" } }, "nbformat": 4, |