diff options
Diffstat (limited to 'python/option_trades.py')
| -rw-r--r-- | python/option_trades.py | 11 |
1 files changed, 6 insertions, 5 deletions
diff --git a/python/option_trades.py b/python/option_trades.py index b05c1833..bf622ab6 100644 --- a/python/option_trades.py +++ b/python/option_trades.py @@ -79,10 +79,16 @@ def realized_vol(index, series, tenor, date=None, years=None): raise ValueError("need to provide at least one of date or years") date = (pd.Timestamp.now() - pd.DateOffset(years=years)).date() returns = daily_spreads(index, series, tenor) + # GARCH(1,1) volatility process with constant mean am = arch_model(returns) res = am.fit(update_freq=0, disp='off') return (res.conditional_volatility * math.sqrt(252), res) +def lr_var(res): + """ computes long run variance of the garch process""" + var = res.params.omega/(1 - res.params['alpha[1]'] - res.params['beta[1]']) + return math.sqrt(var * 252) + def atm_vol_fun(v, ref_is_price=False, moneyness=0.2): f = interp1d(v.strike.values, v.vol.values, fill_value='extrapolate') atm_val = v['fwdspread'].iat[0] @@ -145,11 +151,6 @@ def vol_var(percentile=0.99, index='IG'): df = df.groupby(df.index.date).last() return df.pct_change().quantile(percentile) -def lr_var(res): - """ computes long run variance of the garch process""" - var = res.params.omega/(1 - res.params['alpha[1]'] - res.params['beta[1]']) - return math.sqrt(var) * math.sqrt(252) - def index_rolling_returns(date=None, years=3, index="IG", tenor="5yr"): """computes on the run returns""" if date is None: |