diff options
Diffstat (limited to 'python/notebooks/Realized Vol.ipynb')
| -rw-r--r-- | python/notebooks/Realized Vol.ipynb | 25 |
1 files changed, 8 insertions, 17 deletions
diff --git a/python/notebooks/Realized Vol.ipynb b/python/notebooks/Realized Vol.ipynb index a67654c5..4fa97ede 100644 --- a/python/notebooks/Realized Vol.ipynb +++ b/python/notebooks/Realized Vol.ipynb @@ -6,18 +6,9 @@ "metadata": {}, "outputs": [], "source": [ - "import warnings\n", - "warnings.simplefilter('ignore')\n", - "\n", - "import os\n", - "import sys\n", - "sys.path.append(os.path.join(os.environ['CODE_DIR'], 'python', 'exploration'))\n", - "sys.path.append(os.path.join(os.environ['CODE_DIR'], 'python'))\n", - "\n", - "%matplotlib inline\n", - "import seaborn\n", - "seaborn.mpl.rcParams['figure.figsize'] = (10.0, 6.0)\n", - "seaborn.mpl.rcParams['savefig.dpi'] = 90" + "from option_trades import realized_vol\n", + "from matplotlib import pyplot as plt\n", + "plt.style.use('ggplot')" ] }, { @@ -26,7 +17,8 @@ "metadata": {}, "outputs": [], "source": [ - "import option_trades as ot" + "ig28, model_ig = realized_vol(\"IG\", 28, \"5yr\", years=3)\n", + "hy27, model_hy = realized_vol(\"HY\", 27, \"5yr\", years=3)" ] }, { @@ -35,8 +27,7 @@ "metadata": {}, "outputs": [], "source": [ - "HY28Vol = ot.realized_vol(\"HY\", 28,\"5yr\", years = 3)\n", - "IG28Vol = ot.realized_vol(\"IG\", 28,\"5yr\", years = 3)" + "ig28.plot()" ] }, { @@ -45,7 +36,7 @@ "metadata": {}, "outputs": [], "source": [ - "HY28Vol[0].plot()" + "hy27.plot()" ] }, { @@ -54,7 +45,7 @@ "metadata": {}, "outputs": [], "source": [ - "IG28Vol[0].plot()" + "model_ig.summary()" ] }, { |