def get_bid_ask_sheet(event_groupings, event_grouping_names, expiry, metric = 'IV', mc_iterations = 10**5):
#labels = ['Bid - {}'.format(metric), 'Mid - {}'.format(metric), 'Ask - {}'.format(metric), 'New - {}'.format(metric)]
event_grouping_names = ['{} - {}'.format(label, metric) for label in event_grouping_names]
mc_distributions = list(map(lambda events: get_total_mc_distribution(events, expiry, mc_iterations=mc_iterations), event_groupings))
implied_vols = list(map(lambda dist: get_option_sheet_from_mc_distribution(dist, expiry).loc[:, [(expiry, metric)]], mc_distributions))
show_mc_distributions_as_line_chart(mc_distributions, labels = event_grouping_names)
return reduce(lambda x,y: pd.merge(x, y, left_index=True, right_index=True), implied_vols)
def term_structure(events, expiries):
mc_distributions = list(
map(lambda expiry: get_total_mc_distribution(events, expiry),
expiries))
implied_vols = list(
map(
lambda dist, expiry: get_option_sheet_from_mc_distribution(
dist, expiry).loc[:, ['IV']], mc_distributions, expiries))
show_mc_distributions_as_line_chart(mc_distributions)
return reduce(
lambda x, y: pd.merge(x, y, left_index=True, right_index=True),
implied_vols)
def bid_ask(events_bid,
events,
events_ask,
expiry,
metric='IV',
mc_iterations=10**5):
mc_distributions = list(
map(
lambda events: get_total_mc_distribution(
events, expiry, mc_iterations=mc_iterations),
[events_bid, events, events_ask]))
implied_vols = list(
map(
lambda dist: get_option_sheet_from_mc_distribution(dist, expiry).
loc[:, [(expiry, metric)]], mc_distributions))
show_mc_distributions_as_line_chart(mc_distributions,
labels=[
'Bid - {}'.format(metric),
'Mid - {}'.format(metric),
'Ask - {}'.format(metric)
])
return reduce(
lambda x, y: pd.merge(x, y, left_index=True, right_index=True),
implied_vols)
