for expiration_date in expiration_dates:
smile_count += 1
params['expiration_date'] = expiration_date
# Get the necessary data
sql = SQL.get_implied_forwards % params
forward = execute_query_DF(conn, sql)
synthetic_bids = forward('synthetic_bid')
synthetic_offers = forward('synthetic_offer')
days_to_expiration = (float(expiration_date) - float(t_date)) / seconds_per_day
years_to_expiration = days_to_expiration / 365.
print str(days_to_expiration).rjust(15),
try:
implied_forward = nerdy.find_implied_forward(synthetic_bids, synthetic_offers)
except Exception, e:
print "Exception: %s" % e
ipshell("problem with IF")
implied_rate = np.log(implied_forward / spot_closing_price) / years_to_expiration
sql = SQL.get_strike_and_cvol_and_pvol_and_call_delta % params
data = execute_query_DF(conn, sql)
strikes = data('strike')
call_ivs = data('call_iv')
put_ivs = data('put_iv')
call_delta = data('call_delta')
strikes, call_ivs, put_ivs, call_delta = nerdy.clip_repeated_wings(
strikes, call_ivs, put_ivs, call_delta)
delta_wt_avg_implied_vols = call_ivs * (1 - call_delta) + put_ivs * call_delta
# print "degree: %s, len(strikes): %s, t_date: %s, expiration_date: %s" % (degree, len(strikes), t_date, expiration_date)
# Don't fit 0 or 1 points
from dataframe import *
from sqlite3tools import *
import sqlite3
DBNAME = "Levered_Financial_ETF_Option_and_Stock_DB.sqlite3"
conn = sqlite3.connect(DBNAME)
start_date = date(2009, 6, 1)
SQL = """SELECT AlphaCurve.*, StockPrice.price_close AS spot, StockPrice.t_date AS stock_date
FROM AlphaCurve JOIN StockPrice
ON AlphaCurve.t_date=StockPrice.t_date
AND AlphaCurve.symbol=StockPrice.symbol
WHERE AlphaCurve.symbol='FAS'
AND AlphaCurve.t_date > %s
""" % datetime2epoch(start_date)
results = execute_query_DF(conn, SQL)
pivot_vol_yields = np.diff(np.log(results('pivot_vol')))
mean_vol_yields = np.diff(np.log(results('mean_vol')))
spot_yields = np.diff(np.log(results('spot')))
pyplot.plot(spot_yields, pivot_vol_yields, 'k*')
pyplot.xlabel("spot yields")
pyplot.ylabel("pivot vol yields")
pyplot.show()
ipshell("")
