calibrate_date4 = to_ql_date(dates[idx_date])
calibrate_date3 = to_ql_date(dates[idx_date + 1])
calibrate_date2 = to_ql_date(dates[idx_date + 2])
calibrate_date1 = to_ql_date(dates[idx_date + 3])
calibrate_date = to_ql_date(dates[idx_date + 4])
hedge_date = to_ql_date(dates[idx_date + 5])
liquidition_date = to_ql_date(dates[idx_date + 6])
# Liquidition Date Dataset
dataset_on_liquidition_date = daily_svi_dataset.get(
to_dt_date(liquidition_date))
cal_vols, put_vols, maturity_dates, spot, rf_pcprs = dataset_on_liquidition_date
# SELECT CALL OPTION DATA!!
expiration_dates = to_ql_dates(maturity_dates)
orgnized_data_liquidition_date = svi_util.orgnize_data_for_hedging(
liquidition_date, daycounter, cal_vols, expiration_dates, spot)
optiontype = ql.Option.Call
# Hedge Date Data Set
dataset_on_hedge_date = daily_svi_dataset.get(to_dt_date(hedge_date))
cal_vols_h, put_vols_h, maturity_dates_h, spot_on_hedge_date, rfs_on_hedge_date = dataset_on_hedge_date
expiration_dates_h = to_ql_dates(maturity_dates_h)
orgnized_data_hedge_date = svi_util.orgnize_data_for_hedging(
hedge_date, daycounter, cal_vols_h, expiration_dates_h,
spot_on_hedge_date)
calibrated_params = daily_params.get(
to_dt_date(calibrate_date)) # on calibrate_date
calibrated_params1 = daily_params.get(
to_dt_date(calibrate_date1)) # on calibrate_date
calibrated_params2 = daily_params.get(
for idx_date, date in enumerate(dates[0:len(dates) - 2]):
try:
print(idx_date)
calibrate_date = to_ql_date(dates[idx_date])
optiontype = ql.Option.Put
estimate_vol = estimated_vols.get(to_dt_date(calibrate_date))
curve = svi_data.get_curve_treasury_bond(calibrate_date, daycounter)
# Local Vol Surface
cal_vols_c, put_vols_c, maturity_dates_c, spot_c, rf_c = daily_svi_dataset.get(
to_dt_date(calibrate_date))
expiration_dates_h = to_ql_dates(maturity_dates_c)
orgnized_data = svi_util.orgnize_data_for_hedging(
calibrate_date, daycounter, put_vols_c, expiration_dates_h, spot_c)
pricing_error_Ms = {}
for nbr_month in range(4):
moneyness, strikes, close_prices, expiration_date = orgnized_data.get(
nbr_month)
rf = curve.zeroRate(expiration_date, daycounter,
ql.Continuous).rate()
pricing_errors = []
moneyness = []
#print('liquidition date : ', calibrate_date, ',', nbr_month)
for idx_k, k in enumerate(strikes):
if k in close_prices.keys():
close_l = close_prices.get(k)
else:
print('strike not found in L date')
continue
