def test_CrackTermStructure(undList, weights, startContract, endContract, Term,
exceptionDateList):
undVolList = []
CrkVolList = []
legendList = []
mkt = hydra.db.read('/' + undList[0])
ContractList = mkt.ContractRange(startContract, endContract)
for cont in ContractList:
startD = datetime.date(2004, 7, 1)
minDate = datetime.date(2050, 1, 1)
tsList = []
for und in undList:
contString = und + '_' + str(cont)
mkt = hydra.db.read('/' + und)
endD = min(mkt.ExpirationDateByContract(cont), cont)
if endD == 'N/A':
endD = minDate
ts = tsfns.TimeSeries(contString, StartDate=startD, EndDate=endD)
tsList.append(ts)
minDate = min(minDate, ts.Dates()[-1])
endD = expiryT = minDate
CrkVol, undVol = BSHistVol.Crack_ATMVol_TermStr(
tsList,
weights,
expiryT,
termTenor=Term,
exceptionDateList=exceptionDateList)
ToM = [(expiryT - x).days / 365. * 12.0 for x in CrkVol.Dates()]
crk_vol = [y * 100.0 for y in CrkVol.Values()]
und_vol = [y * 100.0 for y in undVol.Values()]
legendList.append(str(cont))
CrkVolList.append(zip(ToM, crk_vol))
undVolList.append(zip(ToM, und_vol))
gridfig, ax, axF = plotxy.createFigure(pylab.figure(), GridEnabled=True)
plotxy.PlotXY(undVolList,
Legends=legendList,
xlabel='Time to expiry [months]',
ylabel='Underlier Cumulative Vol',
figure=gridfig)
gridfig, ax, axF = plotxy.createFigure(pylab.figure(), GridEnabled=True)
plotxy.PlotXY(CrkVolList,
Legends=legendList,
xlabel='Time to expiry [months]',
ylabel='Crack Vol',
figure=gridfig)
def test_SingleTermStructure(und,
startContract,
endContract,
Term='1m',
exceptionDateList=[]):
plotList = []
legendList = []
mkt = hydra.db.read('/' + und)
ContractList = mkt.ContractRange(startContract, endContract)
for cont in ContractList:
startD = datetime.date(1980, 1, 1)
contString = und + '_' + str(cont)
expiryT = mkt.ExpirationDateByContract(cont)
if expiryT != 'N/A':
endD = expiryT
else:
endD = datetime.date(2012, 1, 1)
ts = tsfns.TimeSeries(contString,
StartDate=startD,
EndDate=endD,
folder=TS_folder)
if expiryT != endD:
endD = expiryT = ts.Dates()[-1]
IsCall = 1
volTS = BSHistVol.BS_ATMVol_TermStr(
IsCall,
ts,
expiryT,
rd=0.0,
rf=0.0,
endVol=0.0,
termTenor=Term,
rehedgingTenor="1d",
exceptionDateList=exceptionDateList)
ToM = [(expiryT - x).days / 365. * 12.0 for x in volTS.Dates()]
vol = [y * 100.0 for y in volTS.Values()]
plotList.append(zip(ToM, vol))
legendList.append(str(cont))
plotxy.PlotXY(plotList,
Legends=legendList,
xlabel='Time to expiry [months]',
ylabel='BS Cumulative vol')
def test_ConstDelta_VolSurface(und, Contract, Term='1m', exceptionDateList=[]):
plotList = []
legendList = []
mkt = hydra.db.read('/' + und)
startD = datetime.date(2001, 1, 1)
contString = und + '_' + str(Contract)
expiryT = mkt.ExpirationDateByContract(Contract)
if expiryT != 'N/A':
endD = expiryT
else:
endD = datetime.date(2012, 1, 1)
ts = tsfns.TimeSeries(contString, StartDate=startD, EndDate=endD)
if expiryT != endD:
endD = expiryT = ts.Dates()[-1]
moneynessList = [0.95, 1.0, 1.05]
volTS = BSHistVol.BS_ConstDelta_VolSurf(ts,
moneynessList,
expiryT,
rd=0.0,
rf=0.0,
exceptionDateList=[])
ToM = []
crvList = [[]] * len(moneynessList)
for d in volTS.Dates():
ToM += [(expiryT - d).days / 365. * 12.0]
for n in range(len(moneynessList)):
crvList[n].append(volTS[d][n] * 100.0)
for n in range(len(moneynessList)):
plotList.append(zip(ToM, crvList[n]))
legendList.append(str(moneynessList[n]))
plotxy.PlotXY(plotList,
Legends=legendList,
xlabel='Time to expiry [months]',
ylabel='BS Cumulative vol')
def test_SpreadTermStructure(undList, operator, startContract, endContract,
Term, exceptionDateList):
HRPlotList = []
HRLegendList = []
CorrPlotList = []
CorrLegendList = []
und1 = undList[0]
und2 = undList[1]
mkt1 = hydra.db.read('/' + und1)
mkt2 = hydra.db.read('/' + und2)
Op = operator
ContractList = mkt2.ContractRange(startContract, endContract)
for cont in ContractList:
startD = datetime.date(1950, 1, 1)
contString1 = und1 + '_' + str(cont)
contString2 = und2 + '_' + str(cont)
expiryT = min(mkt1.ExpirationDateByContract(cont),
mkt2.ExpirationDateByContract(cont), cont)
if expiryT != 'N/A':
endD = expiryT
else:
endD = datetime.date(2050, 1, 1)
ts1 = tsfns.TimeSeries(contString1, StartDate=startD, EndDate=endD)
ts2 = tsfns.TimeSeries(contString2, StartDate=startD, EndDate=endD)
if expiryT != endD:
endD = expiryT = min(ts1.Dates()[-1], ts2.Dates()[-1])
HRVol, HRcorr, VolF1, VolF2 = BSHistVol.Spread_ATMVolCorr_TermStr(
ts1=ts1,
ts2=ts2,
op=Op,
expiryT=expiryT,
r1=0.0,
r2=0.0,
termTenor=Term,
exceptionDateList=exceptionDateList)
ToM = [(expiryT - x).days / 365. * 12.0 for x in HRVol.Dates()]
cross_vol = [y * 100.0 for y in HRVol.Values()]
corr = [y * 100.0 for y in HRcorr.Values()]
HRPlotList.append(zip(ToM, cross_vol))
HRLegendList.append(str(cont))
CorrPlotList.append(zip(ToM, corr))
CorrLegendList.append(str(cont))
gridfig, ax, axF = plotxy.createFigure(pylab.figure(), GridEnabled=True)
plotxy.PlotXY(HRPlotList,
Legends=HRLegendList,
xlabel='Time to expiry [months]',
ylabel='HR BS Cumulative vol',
figure=gridfig)
gridfig, ax, axF = plotxy.createFigure(pylab.figure(), GridEnabled=True)
plotxy.PlotXY(CorrPlotList,
Legends=CorrLegendList,
xlabel='Time to expiry [months]',
ylabel='HR BS correlation',
figure=gridfig)
def test_CCYCommodTermStr(und,
ccyName,
startContract,
endContract,
Term='1m',
exceptionDateList=[]):
HRPlotList = []
HRLegendList = []
CorrPlotList = []
CorrLegendList = []
ccyPair = ccyName + '-USD'
pairObj = hydra.db['/' + ccyPair]
op = '*'
mkt = hydra.db.read('/' + und)
ContractList = mkt.ContractRange(startContract, endContract)
for cont in ContractList:
startD = datetime.date(1950, 1, 1)
contString = und + '_' + str(cont)
expiryT = min(mkt.ExpirationDateByContract(cont), cont)
if expiryT != 'N/A':
endD = expiryT
else:
endD = datetime.date(2012, 1, 1)
ts1 = tsfns.TimeSeries(contString, StartDate=startD, EndDate=endD)
if expiryT != endD:
endD = expiryT = ts1.Dates()[-1]
startD = ts1.Dates()[0]
tsexprfns.StartDate = startD
tsexprfns.EndDate = endD
ts2 = tsexprfns.fxforwarddate(ccyPair, cont.strftime('%d%b%y'))
HRVol, HRcorr, VolF1, VolF2 = BSHistVol.Spread_ATMVolCorr_TermStr(
ts1=ts1,
ts2=ts2,
op=op,
expiryT=expiryT,
r1=0.0,
r2=0.0,
termTenor=Term,
exceptionDateList=exceptionDateList)
ToM = [(expiryT - x).days / 365. * 12.0 for x in HRVol.Dates()]
cross_vol = [y * 100.0 for y in HRVol.Values()]
corr = [y * 100.0 for y in HRcorr.Values()]
HRPlotList.append(zip(ToM, cross_vol))
HRLegendList.append(str(cont))
CorrPlotList.append(zip(ToM, corr))
CorrLegendList.append(str(cont))
gridfig, ax, axF = plotxy.createFigure(pylab.figure(), GridEnabled=True)
plotxy.PlotXY(HRPlotList,
Legends=HRLegendList,
xlabel='Time to expiry [months]',
ylabel='HR BS Cumulative vol',
figure=gridfig)
gridfig, ax, axF = plotxy.createFigure(pylab.figure(), GridEnabled=True)
plotxy.PlotXY(CorrPlotList,
Legends=CorrLegendList,
xlabel='Time to expiry [months]',
ylabel='HR BS correlation',
figure=gridfig)