def spd_ratiovol_by_product(products, start_d, end_d, periods=12, tenor='-1m'):
cont_mth, exch = dbaccess.prod_main_cont_exch(products)
contlist = contract_range(products, exch, cont_mth, start_d, end_d)
exp_dates = [get_opt_expiry(cont, inst2contmth(cont)) for cont in contlist]
data = {
'is_dtime': True,
'data_column': 'close',
'data_freq': '30min',
'xs': [0.5, 0.25, 0.75],
'xs_names': ['atm', 'v25', 'v75'],
'xs_func': 'bs_delta_to_strike',
'rehedge_period': 1,
'term_tenor': tenor,
'database': 'hist_data'
}
option_input = {
'otype': True,
'ir': 0.0,
'end_vol': 0.0,
'ref_vol': 0.5,
'pricer_func': 'bsopt.BSOpt',
'delta_func': 'bsopt.BSDelta',
'is_dtime': data['is_dtime'],
}
freq = data['data_freq']
for cont, expiry in zip(contlist, exp_dates):
expiry_d = expiry.date()
if expiry_d > end_d:
break
p_str = '-' + str(int(tenor[1:-1]) * periods) + tenor[-1]
d_start = day_shift(expiry_d, p_str)
cnx = dbaccess.connect(**dbaccess.dbconfig)
if freq == 'd':
df = dbaccess.load_daily_data_to_df(cnx,
'fut_daily',
cont,
d_start,
expiry_d,
index_col=None)
else:
mdf = dbaccess.load_min_data_to_df(cnx,
'fut_min',
cont,
d_start,
expiry_d,
minid_start=300,
minid_end=2115,
index_col=None)
mdf = cleanup_mindata(mdf, products, index_col=None)
mdf['bar_id'] = dh.bar_conv_func2(mdf['min_id'])
df = dh.conv_ohlc_freq(mdf,
freq,
bar_func=dh.bar_conv_func2,
extra_cols=['bar_id'],
index_col=None)
cnx.close()
option_input['expiry'] = expiry
data['dataframe'] = df
vol_df = realized_termstruct(option_input, data)
print cont, expiry_d, vol_df
def hist_cso_by_product(prodcode, start_d, end_d, periods = 24, tenor = '-1w', max_spd = 2, writeDB = False, mode = 'n'):
cont_mth, exch = dbaccess.prod_main_cont_exch(prodcode)
contlist, _ = contract_range(prodcode, exch, cont_mth, start_d, end_d)
exp_dates = [get_opt_expiry(cont, inst2contmth(cont)) for cont in contlist]
if mode == 'n':
xs_func = 'bachelier_delta_to_strike'
pricer_func = 'bsopt.BSFwdNormal'
delta_func = 'bsopt.BSFwdNormalDelta'
else:
xs_func = 'bs_delta_to_strike'
pricer_func = 'bsopt.BSOpt'
delta_func = 'bsopt.BSDelta'
data = {'is_dtime': True,
'data_column': 'close',
'data_freq': '30min',
'xs': [0.5, 0.25, 0.75],
'xs_names': ['atm', 'v25', 'v75'],
'xs_func': xs_func,
'rehedge_period': 1,
'term_tenor': tenor,
'database': 'hist_data'
}
option_input = {'otype': True,
'ir': 0.0,
'end_vol': 0.0,
'ref_vol': 0.5,
'pricer_func': pricer_func,
'delta_func': delta_func,
'is_dtime': data['is_dtime'],
}
freq = data['data_freq']
dbconfig = copy.deepcopy(**dbaccess.hist_dbconfig)
dbconfig['database'] = data['database']
cnx = dbaccess.connect(**dbconfig)
for cont, expiry in zip(contlist, exp_dates):
expiry_d = expiry.date()
if expiry_d > end_d:
break
p_str = '-' + str(int(tenor[1:-1]) * periods) + tenor[-1]
d_start = day_shift(expiry_d, p_str)
if freq == 'd':
df = dbaccess.load_daily_data_to_df(cnx, 'fut_daily', cont, d_start, expiry_d, index_col = None)
else:
mdf = dbaccess.load_min_data_to_df(cnx, 'fut_min', cont, d_start, expiry_d, minid_start=300,
minid_end=2115, index_col = None)
mdf = cleanup_mindata(mdf, prodcode, index_col = None)
mdf['bar_id'] = dh.bar_conv_func2(mdf['min_id'])
df = dh.conv_ohlc_freq(mdf, freq, bar_func=dh.bar_conv_func2, extra_cols=['bar_id'], index_col = None)
cnx.close()
option_input['expiry'] = expiry
data['dataframe'] = df
vol_df = realized_termstruct(option_input, data)
print cont, expiry_d, vol_df
def conv_bar_id(self, min_id, inst):
#trading_hrs = trading_hours(self.instruments[inst].product, self.instruments[inst].exchange)
#if prod in night_session_markets:
return data_handler.bar_conv_func2(min_id)
