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_put_5day.pickle',
'wb') as f:
pickle.dump([daily_hedge_errors, daily_pct_hedge_errors], f)
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:
key_date1 = datetime.date(liquidition_date.year(),liquidition_date.month(),liquidition_date.dayOfMonth())
daily_hedge_errors.update({key_date1: hedge_error_Ms})
daily_pct_hedge_errors_ed.update({key_date1: hedge_error_pct_Ms})
except Exception as e:
print(e)
continue
print("=" * 110)
print("SVI Model Average Hedging Percent Error, PUT (NO SMOOTHING) : ")
print("=" * 110)
print("%20s %15s %15s %25s %25s" % ("sample dates", "month", "moneyness", "total delta PnL(%)","eff delta PnL(%)"))
samples = ['2015.9-2016.1', '2016.2-2016.7', '2016.8-2017.1', '2017.2-2017.7']
p1_td = hedge_util.get_1st_percentile_dates(daily_pct_hedge_errors_td)
p2_td = hedge_util.get_2nd_percentile_dates(daily_pct_hedge_errors_td)
p3_td = hedge_util.get_3rd_percentile_dates(daily_pct_hedge_errors_td)
p4_td = hedge_util.get_4th_percentile_dates(daily_pct_hedge_errors_td)
container_td = [p1_td, p2_td, p3_td, p4_td]
p1_ed = hedge_util.get_1st_percentile_dates(daily_pct_hedge_errors_ed)
p2_ed = hedge_util.get_2nd_percentile_dates(daily_pct_hedge_errors_ed)
p3_ed = hedge_util.get_3rd_percentile_dates(daily_pct_hedge_errors_ed)
p4_ed = hedge_util.get_4th_percentile_dates(daily_pct_hedge_errors_ed)
container = [p1_ed, p2_ed, p3_ed, p4_ed]
results = {}
index = ["sample dates", "contract month", "moneyness", "total delta PnL(%)","eff delta PnL(%)"]
count = 0
for idx_c, r_ed in enumerate(container):
r_td = container_td[idx_c]
mny_td = hedge_util.hedging_performance_atm(r_td, r_td.keys())
mny_ed = hedge_util.hedging_performance_atm(r_ed, r_ed.keys())
print("-" * 110)