def get_volatility_cone():
data = structures.volatility_cone("SPX", get_db_date())
data = [
[
{"x": period, "y": value, "name": VOLATILITY_CONE_PERIODS[period]}
for period, value in izip(VOLATILITY_CONE_PERIODS.keys(), row)
]
for row in data
]
return jsonify({"root": data})
def test_volatility_cone(self):
stocks.fetch_historical('SPX', TEST_DB_NAME)
structures.update_stocks_vol('SPX', TEST_DB_NAME)
cone1 = structures.volatility_cone(
'SPX', self.test_timestamp.date(), 252, TEST_DB_NAME)
cone2 = np.array([
[ 19.84, 16.89, 15.69, 15.88, 18.30, 15.39],
[ 5.82, 8.08, 9.37, 9.64, 10.81, 11.54],
[ 8.85, 9.43, 9.98, 10.50, 11.50, 11.69],
[ 9.83, 10.54, 11.18, 11.01, 12.26, 11.85],
[ 12.32, 12.41, 11.90, 12.57, 12.94, 12.3 ],
[ 16.04, 16.64, 18.51, 20.50, 16.94, 15.04],
[ 21.94, 26.19, 23.62, 21.59, 17.34, 15.3 ],
[ 43.41, 31.95, 25.45, 22.06, 18.30, 15.54],
])
self.assertTrue(np.array_equal(cone1, cone2))