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import pandas as pd
from analytics import Index, Swaption
import pdb
from db import dbconn
from joblib import Parallel, delayed
serenitasdb = dbconn('serenitasdb')
data = pd.read_sql("SELECT * from swaption_ref_quotes JOIN swaption_quotes " \
"USING (quotedate, index, series, expiry) WHERE index=%s and series=%s " \
"ORDER BY quotedate",
"postgresql://serenitas_user@debian/serenitasdb",
params = ('IG', 27), parse_dates = ['quotedate', 'expiry'])
ig27 = Index.from_name("ig", 27, "5yr")
sigma = {}
sql_str = "INSERT INTO swaption_calib VALUES({}) ON CONFLICT DO NOTHING".format(",".join(["%s"] * 9))
def calib(d, payer, receiver):
payer.strike = d['strike']
receiver.strike = d['strike']
payer.pv = (d['pay_bid'] + d['pay_offer'])/2 * 1e-4
vol_payer = payer.sigma
receiver.pv = (d['rec_bid'] + d['rec_offer'])/2 * 1e-4
vol_receiver = receiver.sigma
payer.pv_black = (d['pay_bid'] + d['pay_offer'])/2 * 1e-4
vol_payer_black = payer.sigma
receiver.pv_black = (d['rec_bid'] + d['rec_offer'])/2 * 1e-4
vol_receiver_black = receiver.sigma
return (d['quotedate'], "IG", 27, expiry, d['strike'], vol_payer, vol_receiver,
vol_payer_black, vol_receiver_black)
for k, v in data.groupby([lambda x: data['quotedate'].loc[x].date(), 'expiry']):
trade_date, expiry = k
print(trade_date)
ig27.trade_date = trade_date
ig27.spread = v['ref'].iat[0]
payer = Swaption(ig27, expiry.date(), 70)
receiver = Swaption(ig27, expiry.date(), 70, "receiver")
r = Parallel(n_jobs=4)(delayed(calib)(d, payer, receiver) for d in
v[['quotedate', 'strike', 'pay_bid', 'pay_offer', 'rec_bid', 'rec_offer']].
to_dict(orient = 'records'))
with serenitasdb.cursor() as c:
c.executemany(sql_str, r)
serenitasdb.commit()
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