diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/Makefile | 9 | ||||
| -rw-r--r-- | python/TAGS | 64 |
2 files changed, 41 insertions, 32 deletions
diff --git a/python/Makefile b/python/Makefile index bfd33b13..5985dd46 100644 --- a/python/Makefile +++ b/python/Makefile @@ -2,13 +2,16 @@ CFLAGS=-O2 -march=native -fpic LDLIBS=-lm -llapack LDFLAGS=-fpic -shared -GHquad.so: GHquad.o - $(CC) $(LDFLAGS) -o $@ $< $(LDLIBS) - tests: cd tests; \ python -m unittest discover -v +tags: + ctags -e -R . + +GHquad.so: GHquad.o + $(CC) $(LDFLAGS) -o $@ $< $(LDLIBS) + clean: rm -f GHquad.o GHquad.so diff --git a/python/TAGS b/python/TAGS index f9334794..18b0b9fe 100644 --- a/python/TAGS +++ b/python/TAGS @@ -451,35 +451,41 @@ def interpvalues(w, v, neww):interpvalues67,1951 b = np.array([2.5, 3.3])b102,2878 test = KLfit(P, w, b)test103,2907 -option_trades.py,1573 -import datetimedatetime1,0 -import mathmath2,16 -import numpy as npnp3,28 -import pandas as pdpd4,47 -from pandas.tseries.offsets import BDayBDay6,68 -from arch import arch_modelarch_model7,108 -from db import dbenginedbengine8,136 -from scipy.interpolate import interp1dinterp1d9,160 -from analytics import IndexIndex10,199 -serenitasdb = dbengine('serenitasdb')serenitasdb12,228 -def get_daily_pnl(index, series, tenor, coupon=1):get_daily_pnl14,267 -def daily_spreads(index, series, tenor):daily_spreads24,807 -def index_returns(date=None, years=3, index="IG", tenor="5yr"):index_returns40,1345 -def realized_vol(index, series, tenor, date=None, years=None):realized_vol54,2021 -def atm_vol_fun(v, ref_is_price=False, moneyness=0.2):atm_vol_fun63,2413 -def atm_vol(index, series, moneyness=0.2):atm_vol69,2734 -def atm_vol_date(index, date):atm_vol_date86,3608 -def rolling_vol(df, col='atm_vol', term=[3]):rolling_vol104,4562 - def aux(s, col, term):aux107,4724 -def vol_var(percentile=0.99, index='IG'):vol_var118,5202 -def lr_var(res):lr_var125,5455 -def index_rolling_returns(date=None, years=3, index="IG", tenor="5yr"):index_rolling_returns130,5655 -def get_index_spread(index, series, date, conn):get_index_spread141,6209 -def get_option_pnl(strike, expiry, index, series, start_date, engine):get_option_pnl153,6603 -def sell_vol_strategy(index="IG", months=3):sell_vol_strategy178,7869 - d1 = sell_vol_strategy(months=1)d1199,8868 - d2 = sell_vol_strategy(months=2)d2200,8905 - d3 = sell_vol_strategy(months=3)d3201,8942 +option_trades.py,1959 +import cvxpycvxpy1,0 +import datetimedatetime2,13 +import mathmath3,29 +import numpy as npnp4,41 +import pandas as pdpd5,60 +from pandas.tseries.offsets import BDayBDay7,81 +from arch import arch_modelarch_model8,121 +from db import dbenginedbengine9,149 +from scipy.interpolate import interp1dinterp1d10,173 +from analytics import IndexIndex11,212 +serenitasdb = dbengine('serenitasdb')serenitasdb13,241 +def get_daily_pnl(index, series, tenor, coupon=1):get_daily_pnl15,280 +def daily_spreads(index, series, tenor):daily_spreads25,820 +def index_returns(date=None, years=3, index="IG", tenor="5yr"):index_returns41,1358 +def realized_vol(index, series, tenor, date=None, years=None):realized_vol55,2034 +def atm_vol_fun(v, ref_is_price=False, moneyness=0.2):atm_vol_fun64,2426 +def atm_vol(index, series, moneyness=0.2):atm_vol70,2747 +def atm_vol_date(index, date):atm_vol_date87,3621 +def rolling_vol(df, col='atm_vol', term=[3]):rolling_vol105,4575 + def aux(s, col, term):aux108,4737 +def vol_var(percentile=0.99, index='IG'):vol_var119,5215 +def lr_var(res):lr_var126,5468 +def index_rolling_returns(date=None, years=3, index="IG", tenor="5yr"):index_rolling_returns131,5668 +def get_index_spread(index, series, date, conn):get_index_spread142,6222 +def get_index_ref(index, series, date, expiry, conn):get_index_ref154,6616 +def get_strike(index, series, date, expiry, conn):get_strike167,7117 +def get_option_pnl(strike, expiry, index, series, start_date, engine):get_option_pnl180,7575 +def sell_vol_strategy(index="IG", months=3):sell_vol_strategy212,9417 +def aggregate_trades(d):aggregate_trades243,10890 +def compute_allocation(df):compute_allocation250,11034 + d1 = sell_vol_strategy(months=1)d1275,11817 + d2 = sell_vol_strategy(months=2)d2276,11854 + d3 = sell_vol_strategy(months=3)d3277,11891 + all_tenors = pd.concat([aggregate_trades(d) for d in [d1, d2, d3]], axis=1)all_tenors278,11928 mailing_list.py,1332 import smtplibsmtplib1,0 |