def capm(symbol, index, start_date=None, end_date=None):
stock = data.get_hist(symbol, start_date, end_date)
bench = data.get_hist(index, start_date, end_date)
y = stock.close
y = ind.returnize(y)
x = stock.ix[bench.index]['close']
x = ind.returnize(x)
regr = OLS(y, x)
return regr
def capm(symbol, index, start_date=None, end_date=None, visual=False):
stock = Market.get_stock(symbol, start_date, end_date)
bench = Market.get_stock(index, start_date, end_date)
s = stock.prices
i = bench.prices
y = s['close']
y = ind.returnize(y)
x = i.ix[s.index]['close']
x = ind.returnize(x)
X = [[a] for a in x.values]
regr = linear_model.LinearRegression(fit_intercept=True)
regr.fit(X[1:], y[1:])
beta = regr.coef_[0]
alpha = regr.intercept_
# if visual:
# plt.scatter(x.values, y.values)
# plt.plot(X, regr.predict(X), 'r')
# plt.show()
return x.values, y.values, beta, alpha
