days_to_expiry = dt_expiry - run_date
delta = days_to_expiry.days / days_in_year
for strike in puts.index:
last_price_str = puts.ix[strike]['LAST_PRICE']
if last_price_str == '-':
continue
last_price = float(last_price_str)
price = option.calc_option_price(OptionType.PUT,
strike,
underlying_price,
sigma,
delta,
risk_free_rate=0.01)
implied_volatility = option.implied_volatility(
OptionType.PUT, strike, underlying_price, last_price,
delta)
print('Strike: {}, calc price: {}, actual {}'.format(
strike, price, last_price))
print('Sigma: {}, implied sigma: {}'.format(
sigma, implied_volatility))
def calc_sigma(returns, start_date, expiry_date):
pass
if __name__ == '__main__':
init_logger.setup()
main()
import logging
import init_logger
def log_an_error():
log = logging.getLogger(__name__)
log.error("Uh oh, something's not right")
if __name__ == '__main__':
init_logger.setup()
logging.info("Wow, that was simple...")
log_an_error()
