diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/calibrate_swaption.py | 24 |
1 files changed, 13 insertions, 11 deletions
diff --git a/python/calibrate_swaption.py b/python/calibrate_swaption.py index b091980b..c768ea8d 100644 --- a/python/calibrate_swaption.py +++ b/python/calibrate_swaption.py @@ -5,6 +5,7 @@ import datetime from db import dbengine from functools import partial from multiprocessing import Pool +from itertools import repeat serenitas_engine = dbengine('serenitasdb') def get_data(index, series, date = datetime.date.min): @@ -39,17 +40,17 @@ def get_data_latest(): finally: return df -def calib(option, index_type, series, d): - option.strike = d[2] - option.ref = d[0] +def calib(option, ref, strike, pay_bid, pay_offer, rec_bid, rec_offer): + option.ref = ref + option.strike = strike r = [] for pv_type in ['pv', 'pv_black']: for option_type in ['pay', 'rec']: if option_type == "pay": - mid = (d[3] + d[4]) / 2 * 1e-4 + mid = (pay_bid + pay_offer) / 2 * 1e-4 option.option_type = 'payer' else: - mid = (d[5] + d[6]) / 2 * 1e-4 + mid = (rec_bid + rec_offer) / 2 * 1e-4 option.option_type = 'receiver' try: setattr(option, pv_type, mid) @@ -58,7 +59,7 @@ def calib(option, index_type, series, d): print(e) else: r.append(option.sigma) - return [d[1], index_type, series, option.exercise_date, d[2]] + r + return [strike] + r def calibrate(index_type=None, series=None, date=None, nproc=4, latest=False): sql_str = ("INSERT INTO swaption_calib VALUES({}) ON CONFLICT DO NOTHING". @@ -72,12 +73,13 @@ def calibrate(index_type=None, series=None, date=None, nproc=4, latest=False): trade_date, expiry, index_type, series = k index = Index.from_name(index_type, series, "5yr", trade_date) option = Swaption(index, expiry.date(), 100) - mycalib = partial(calib, option, index_type, series) + mycalib = partial(calib, option) with Pool(nproc) as p: - r = p.map(mycalib, v[['ref', 'quotedate', 'strike', 'pay_bid', - 'pay_offer', 'rec_bid', 'rec_offer']]. - itertuples(index=False, name=None)) - serenitas_engine.execute(sql_str, r) + r = p.starmap(mycalib, v[['ref', 'strike', 'pay_bid', + 'pay_offer', 'rec_bid', 'rec_offer']]. + itertuples(index=False, name=None)) + to_insert = [[a, index_type, series, expiry] + b for a, b in zip(v.quotedate.tolist(), r)] + serenitas_engine.execute(sql_str, to_insert) if __name__ == "__main__": parser = argparse.ArgumentParser() |