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)