def intraday_expected_y(self, sample, s_codes, r, d, t, T): from finterstellar import Valuation vu = Valuation() for i in sample.index: sample.loc[i, s_codes[1]+' expected'] = vu.futures_price(sample.loc[i, s_codes[0]], r, d, t, T) sample[s_codes[1]+' spread'] = sample[s_codes[1]] - sample[s_codes[1]+' expected'] return (sample)
def expected_y(self, sample, s_codes, K, t, T, r, sigma): from finterstellar import Valuation vu = Valuation() ttm = vu.time_to_maturity(t, T) for i in sample.index: sample.loc[i, s_codes[1] + ' expected'] = vu.call_price( sample.loc[i, s_codes[0]], K, ttm, r, sigma) # S, K, ttm, r, sigma sample[s_codes[1] + ' spread'] = sample[s_codes[1]] - sample[s_codes[1] + ' expected'] return (sample)
def expected_y(self, sample, s_cd, r, d, t, T): if type(s_cd) == str: cds = [] cds.append(s_cd) else: cds = s_cd from finterstellar import Valuation vu = Valuation() for i in sample.index: sample.loc[i, cds[1] + ' expected'] = vu.futures_price( sample.loc[i, cds[0]], r, d, t, T) sample[cds[1] + ' spread'] = sample[cds[1]] - sample[cds[1] + ' expected'] return (sample)