{ "cells": [ { "cell_type": "code", "execution_count": 16, "metadata": { "collapsed": true }, "outputs": [], "source": [ "import exploration.option_trades as rvol\n", "import datetime\n", "import pandas as pd\n", "\n", "from exploration.curve_trades import on_the_run\n", "from scipy.interpolate import interp1d\n", "from matplotlib import pyplot as plt\n", "from ipywidgets import widgets" ] }, { "cell_type": "code", "execution_count": 17, "metadata": {}, "outputs": [ { "data": { "application/vnd.jupyter.widget-view+json": { "model_id": "7d3eaa85fd6a4980bc652fd6a3614c9a" } }, "metadata": {}, "output_type": "display_data" } ], "source": [ "w = widgets.Dropdown(\n", " options=['IG', 'HY'],\n", " value='IG',\n", " description='Index:',\n", " disabled=False,\n", ")\n", "w" ] }, { "cell_type": "code", "execution_count": 18, "metadata": { "collapsed": true }, "outputs": [], "source": [ "index = w.value\n", "start_date=datetime.date(2014, 6, 11)\n", "onTR, model = rvol.realized_vol(index, on_the_run('IG'), \"5yr\", years=3)" ] }, { "cell_type": "code", "execution_count": 19, "metadata": {}, "outputs": [], "source": [ "#onTR.plot()" ] }, { "cell_type": "code", "execution_count": 20, "metadata": {}, "outputs": [ { "data": { "text/html": [ "\n", "\n", "\n", " \n", "\n", "\n", " \n", "\n", "\n", " \n", "\n", "\n", " \n", "\n", "\n", " \n", "\n", "\n", " \n", "\n", "\n", " \n", "\n", "\n", " \n", "\n", "
Constant Mean - GARCH Model Results
Dep. Variable: spread_return R-squared: -0.000
Mean Model: Constant Mean Adj. R-squared: -0.000
Vol Model: GARCH Log-Likelihood: 34.5073
Distribution: Normal AIC: -61.0146
Method: Maximum Likelihood BIC: -52.5061
No. Observations: 62
Date: Thu, Dec 21 2017 Df Residuals: 58
Time: 14:17:36 Df Model: 4
\n", "\n", "\n", "\n", " \n", "\n", "\n", " \n", "\n", "
Mean Model
coef std err t P>|t| 95.0% Conf. Int.
mu -0.0279 1.758e-02 -1.587 0.113 [-6.236e-02,6.557e-03]
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Volatility Model
coef std err t P>|t| 95.0% Conf. Int.
omega 1.3703e-03 1.681e-03 0.815 0.415 [-1.924e-03,4.665e-03]
alpha[1] 9.1408e-14 8.012e-03 1.141e-11 1.000 [-1.570e-02,1.570e-02]
beta[1] 0.9310 9.562e-02 9.737 2.098e-22 [ 0.744, 1.118]
" ], "text/plain": [ "\n", "\"\"\"\n", " Constant Mean - GARCH Model Results \n", "==============================================================================\n", "Dep. Variable: spread_return R-squared: -0.000\n", "Mean Model: Constant Mean Adj. R-squared: -0.000\n", "Vol Model: GARCH Log-Likelihood: 34.5073\n", "Distribution: Normal AIC: -61.0146\n", "Method: Maximum Likelihood BIC: -52.5061\n", " No. Observations: 62\n", "Date: Thu, Dec 21 2017 Df Residuals: 58\n", "Time: 14:17:36 Df Model: 4\n", " Mean Model \n", "=============================================================================\n", " coef std err t P>|t| 95.0% Conf. Int.\n", "-----------------------------------------------------------------------------\n", "mu -0.0279 1.758e-02 -1.587 0.113 [-6.236e-02,6.557e-03]\n", " Volatility Model \n", "=============================================================================\n", " coef std err t P>|t| 95.0% Conf. Int.\n", "-----------------------------------------------------------------------------\n", "omega 1.3703e-03 1.681e-03 0.815 0.415 [-1.924e-03,4.665e-03]\n", "alpha[1] 9.1408e-14 8.012e-03 1.141e-11 1.000 [-1.570e-02,1.570e-02]\n", "beta[1] 0.9310 9.562e-02 9.737 2.098e-22 [ 0.744, 1.118]\n", "=============================================================================\n", "\n", "Covariance estimator: robust\n", "\"\"\"" ] }, "execution_count": 20, "metadata": {}, "output_type": "execute_result" } ], "source": [ "model.summary()" ] }, { "cell_type": "code", "execution_count": 21, "metadata": {}, "outputs": [ { "name": "stderr", "output_type": "stream", "text": [ "/home/edwin/projects/code/python/yieldcurve.py:54: RuntimeWarning: cache miss for date: 2017-12-21\n", " RuntimeWarning)\n" ] }, { "data": { "text/html": [ "
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1m2m3m
0.025-0.058402-0.042662-0.037079
0.9750.0560150.0424490.035047
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" ], "text/plain": [ " 1m 2m 3m\n", "0.025 -0.058402 -0.042662 -0.037079\n", "0.975 0.056015 0.042449 0.035047" ] }, "execution_count": 21, "metadata": {}, "output_type": "execute_result" } ], "source": [ "#compute lo and hi percentiles of atm volatility daily change (vol of vol)\n", "rvol.vol_var()" ] }, { "cell_type": "code", "execution_count": 28, "metadata": { "collapsed": true }, "outputs": [], "source": [ "df = rvol.atm_vol(index, start_date, moneyness = .2)\n", "df['steepness'] = df.otm_vol - df.atm_vol\n", "df1 = df.reset_index()\n", "df1['date'] = df1.quotedate.dt.date\n", "df1 = df1.groupby(['date','expiry']).last()\n", "#Need to do: the vol looks jumpy, is it because of quote source issue? yes, need to first try to get the same quote source..." ] }, { "cell_type": "code", "execution_count": 31, "metadata": { "scrolled": false }, "outputs": [ { "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 = $('
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