except Exception as e:
print(e)
continue
stop = timeit.default_timer()
print('calibration time : ', stop - start)
#print('daily_hedge_errors = ',daily_hedge_errors)
#print('daily_pct_hedge_errors = ',daily_pct_hedge_errors)
with open(
os.path.abspath('..') +
'/intermediate_data/hedging_daily_hedge_errors_svi_call.pickle',
'wb') as f:
pickle.dump([daily_hedge_errors, daily_pct_hedge_errors], f)
print(daily_pct_hedge_errors.keys())
mny_0, mny_1, mny_2, mny_3 = hedge_util.hedging_performance(
daily_pct_hedge_errors, daily_pct_hedge_errors.keys())
print("=" * 100)
print(
"SVI Model Average Hedging Percent Error,CALL (SVI VOL SURFACE 5-Day SMOOTHING) : "
)
print("=" * 100)
print("%20s %20s %30s" %
("contract month", "moneyness", "avg hedging error(%)"))
print("-" * 100)
for i in range(4):
if len(mny_0.get(i)) > 0:
print("%20s %20s %25s" %
(i, ' < 0.97',
round(sum(mny_0.get(i)) * 100 / len(mny_0.get(i)), 4)))
if len(mny_1.get(i)) > 0:
print("%20s %20s %25s" %
print(daily_pct_hedge_errors.keys())
p1 = hedge_util.get_1st_percentile_dates(daily_pct_hedge_errors)
p2 = hedge_util.get_2nd_percentile_dates(daily_pct_hedge_errors)
p3 = hedge_util.get_3rd_percentile_dates(daily_pct_hedge_errors)
p4 = hedge_util.get_4th_percentile_dates(daily_pct_hedge_errors)
container = [p1, p2, p3, p4]
samples = ['2015.9-2016.1', '2016.2-2016.7', '2016.8-2017.1', '2017.2-2017.7']
print("=" * 100)
print(
"SVI Model Average Hedging Percent Error,PUT (SVI VOL SURFACE 5-Day SMOOTHING) : "
)
print("=" * 100)
print("%20s %20s %20s %30s" %
("sample dates", "contract month", "moneyness", "avg hedging error(%)"))
for idx_c, r in enumerate(container):
mny_0, mny_1, mny_2, mny_3 = hedge_util.hedging_performance(r, r.keys())
print("-" * 100)
for i in range(4):
if len(mny_0.get(i)) > 0:
print(
"%20s %20s %20s %25s" %
(samples[idx_c], i, ' < 0.97',
round(sum(np.abs(mny_0.get(i))) * 100 / len(mny_0.get(i)),
4)))
if len(mny_1.get(i)) > 0:
print(
"%20s %20s %20s %25s" %
(samples[idx_c], i, ' 0.97 - 1.00',
round(sum(np.abs(mny_1.get(i))) * 100 / len(mny_1.get(i)),
4)))
if len(mny_2.get(i)) > 0: