@property
def takeout_event(self):
return TakeoutEvent(self.stock, TakeoutParams.loc[self.stock,
'Bucket'])
@property
def events(self):
return self.earnings_events + [self.takeout_event]
event8_info = pd.read_excel('CLVS_RiskScenarios.xlsx',
header=[0],
index_col=[0, 1],
sheet_name='Sub_States')
idio = IdiosyncraticVol('CLVS', .05)
takeout = TakeoutEvent('CLVS', 2)
pres_elec = SysEvt_PresElection('CLVS', .02)
earns_q2 = Earnings('CLVS', .05, dt.date(2018, 5, 15), 'Q2_2018')
earns_q3 = Earnings('CLVS', .05, dt.date(2018, 8, 15), 'Q3_2018')
earns_q4 = Earnings('CLVS', .05, dt.date(2018, 11, 15), 'Q4_2018')
fda_meeting = Event('CLVS', .1, 'Q2_2018', 'FDA Meeting')
data = Event('CLVS', Distribution(pd.read_csv('CLVS.csv')), 'Q2_2018',
'Ph3_Data')
elagolix = ComplexEvent('CLVS', Distribution_MultiIndex(event8_info),
dt.date(2018, 6, 1), 'Elagolix Approval')
events = [
idio, takeout, pres_elec, earns_q2, earns_q3, earns_q4, fda_meeting,
elagolix
]
earnings = get_earnings_events('CLVS')
expiry4 = dt.date(2018, 8, 21)
expiry5 = dt.date(2018, 9, 21)
expiry6 = dt.date(2018, 10, 21)
expiry6 = dt.date(2018, 11, 21)
expiry6 = dt.date(2018, 12, 21)
expiries = [expiry1, expiry2, expiry3, expiry4, expiry5, expiry6]
expiries = [expiry1, expiry3, expiry5]
expiries = [expiry3]
# Define Events
event8_info = pd.read_excel('CLVS_RiskScenarios.xlsx',
header=[0],
index_col=[0, 1],
sheet_name='Sub_States')
event0 = IdiosyncraticVol('CLVS', .15)
event1 = SysEvt_PresElection('CLVS', .02, 'Q2_2018')
event2 = Event('CLVS', .05, 'Q2_2018', 'Q2_Earnings')
event3 = Event('CLVS', .05, 'Q3_2018', 'Q3_Earnings')
event4 = Event('CLVS', .075, 'Q3_2018', 'Investor_Day')
event5 = Event('CLVS', .1, 'Q2_2018', 'FDA_Approval')
event6 = TakeoutEvent('CLVS', 2)
event7 = Event('CLVS', Distribution(pd.read_csv('CLVS.csv')), 'Q2_2018',
'Ph3_Data')
event8 = Event('CLVS', Distribution_MultiIndex(event8_info), 'Q3_2018',
'Elagolix_Approval')
events = [event0, event1, event2, event3, event4, event5, event6]
#events = [event0, event6]
event0_bid = IdiosyncraticVol('CLVS', .125)
event1_bid = SysEvt_PresElection('CLVS', .01, 'Q2_2018')
from Event_Module import IdiosyncraticVol
import datetime as dt
from Distribution_Module import Distribution, float_to_bs_distribution
import numpy as np
import pandas as pd
event = IdiosyncraticVol('CLVS', .1)
distribution = event.get_distribution(dt.date(2018,5,10))
print(distribution.mean_move, distribution.average_move, distribution.straddle)
distribution.get_histogram()
event_input_distribution = Distribution(event.event_input_distribution_df)
print(event_input_distribution.mean_move, event_input_distribution.average_move, event_input_distribution.straddle)
event_input_dist = event.event_input
print(event_input_dist.mean_move, event_input_dist.average_move, event_input_dist.straddle)
dist = float_to_bs_distribution(.5)
print("HERE",dist.mean_move, dist.average_move, dist.straddle)
lambda event_grouping: get_total_mc_distribution(
event_grouping, expiry), event_groupings))
#[get_histogram_from_array(mc_distribution) for mc_distribution in mc_distributions]
#show_term_structure(mc_distributions)
option_sheets = list(
map(
lambda dist: get_option_sheet_from_mc_distribution(dist, expiry).
loc[:, ['IV']], mc_distributions))
return reduce(
lambda x, y: pd.merge(x, y, left_index=True, right_index=True),
option_sheets)
# Define Events
event0 = IdiosyncraticVol('CLVS', .2)
event1 = SysEvt_PresElection('CLVS', .02, 'Q2_2018')
event2 = Event('CLVS', .05, 'Q2_2018', 'Q2_Earnings')
event3 = Event('CLVS', .05, 'Q3_2018', 'Q3_Earnings')
event4 = Event('CLVS', .075, 'Q3_2018', 'Investor_Day')
event5 = Event('CLVS', .1, 'Q2_2018', 'FDA_Approval')
event6 = TakeoutEvent('CLVS', 1)
event7 = Event('CLVS', Distribution(pd.read_csv('CLVS.csv')), 'Q2_2018',
'Ph3_Data')
events = [event0, event1, event2, event3, event4, event5, event6, event7]
# Define Expiries
expiry1 = dt.date(2018, 4, 20)
expiry2 = dt.date(2018, 5, 21)
expiry3 = dt.date(2018, 7, 18)
def idio_vol(self):
return IdiosyncraticVol(self.stock, .05)