def test_CrackTermStructure(undList, weights, startContract, endContract, Term,
exceptionDateList):
undVolList = []
CrkVolList = []
legendList = []
mkt = hydra.db.read('/' + undList[0])
ContractList = mkt.ContractRange(startContract, endContract)
for cont in ContractList:
startD = datetime.date(2004, 7, 1)
minDate = datetime.date(2050, 1, 1)
tsList = []
for und in undList:
contString = und + '_' + str(cont)
mkt = hydra.db.read('/' + und)
endD = min(mkt.ExpirationDateByContract(cont), cont)
if endD == 'N/A':
endD = minDate
ts = tsfns.TimeSeries(contString, StartDate=startD, EndDate=endD)
tsList.append(ts)
minDate = min(minDate, ts.Dates()[-1])
endD = expiryT = minDate
CrkVol, undVol = BSHistVol.Crack_ATMVol_TermStr(
tsList,
weights,
expiryT,
termTenor=Term,
exceptionDateList=exceptionDateList)
ToM = [(expiryT - x).days / 365. * 12.0 for x in CrkVol.Dates()]
crk_vol = [y * 100.0 for y in CrkVol.Values()]
und_vol = [y * 100.0 for y in undVol.Values()]
legendList.append(str(cont))
CrkVolList.append(zip(ToM, crk_vol))
undVolList.append(zip(ToM, und_vol))
gridfig, ax, axF = plotxy.createFigure(pylab.figure(), GridEnabled=True)
plotxy.PlotXY(undVolList,
Legends=legendList,
xlabel='Time to expiry [months]',
ylabel='Underlier Cumulative Vol',
figure=gridfig)
gridfig, ax, axF = plotxy.createFigure(pylab.figure(), GridEnabled=True)
plotxy.PlotXY(CrkVolList,
Legends=legendList,
xlabel='Time to expiry [months]',
ylabel='Crack Vol',
figure=gridfig)
def test_CCYCommodTermStr(und, ccyName, startContract, endContract, Term = '1m', exceptionDateList= []):
HRPlotList =[]
HRLegendList = []
CorrPlotList =[]
CorrLegendList = []
ccyPair = ccyName+'-USD'
pairObj = hydra.db[ '/' + ccyPair ]
op = '*'
mkt = hydra.db.read('/' + und)
ContractList = mkt.ContractRange(startContract, endContract)
for cont in ContractList:
startD = datetime.date(1950,1,1)
contString = und +'_'+ str(cont)
expiryT = min(mkt.ExpirationDateByContract(cont), cont)
if expiryT !='N/A':
endD = expiryT
else:
endD = datetime.date(2012,1,1)
ts1 = tsfns.TimeSeries(contString, StartDate = startD, EndDate =endD)
if expiryT != endD:
endD = expiryT = ts1.Dates()[-1]
startD =ts1.Dates()[0]
tsexprfns.StartDate = startD
tsexprfns.EndDate = endD
ts2 = tsexprfns.fxforwarddate(ccyPair, cont.strftime('%d%b%y'))
HRVol, HRcorr, VolF1, VolF2 = BSHistVol.Spread_ATMVolCorr_TermStr(ts1 =ts1, ts2 =ts2, op =op, expiryT =expiryT, r1 = 0.0, r2 = 0.0, termTenor=Term, exceptionDateList= exceptionDateList)
ToM = [ (expiryT - x).days/365.*12.0 for x in HRVol.Dates()]
cross_vol = [ y*100.0 for y in HRVol.Values()]
corr = [ y*100.0 for y in HRcorr.Values()]
HRPlotList.append(zip(ToM,cross_vol))
HRLegendList.append(str(cont))
CorrPlotList.append(zip(ToM,corr))
CorrLegendList.append(str(cont))
gridfig, ax, axF = plotxy.createFigure(pylab.figure(), GridEnabled=True)
plotxy.PlotXY(HRPlotList,Legends = HRLegendList, xlabel='Time to expiry [months]', ylabel='HR BS Cumulative vol', figure=gridfig)
gridfig, ax, axF = plotxy.createFigure(pylab.figure(), GridEnabled=True)
plotxy.PlotXY(CorrPlotList,Legends = CorrLegendList, xlabel='Time to expiry [months]', ylabel='HR BS correlation', figure=gridfig)
def test_SpreadTermStructure(undList, operator, startContract, endContract, Term, exceptionDateList):
HRPlotList =[]
HRLegendList = []
CorrPlotList =[]
CorrLegendList = []
und1 = undList[0]
und2 = undList[1]
mkt1 = hydra.db.read('/' + und1)
mkt2 = hydra.db.read('/' + und2)
Op = operator
ContractList = mkt2.ContractRange(startContract, endContract)
for cont in ContractList:
startD = datetime.date(1950,1,1)
contString1 = und1 +'_'+ str(cont)
contString2 = und2 +'_'+ str(cont)
expiryT = min(mkt1.ExpirationDateByContract(cont), mkt2.ExpirationDateByContract(cont), cont)
if expiryT !='N/A':
endD = expiryT
else:
endD = datetime.date(2050,1,1)
ts1 = tsfns.TimeSeries(contString1, StartDate = startD, EndDate =endD)
ts2 = tsfns.TimeSeries(contString2, StartDate = startD, EndDate =endD)
if expiryT != endD:
endD = expiryT = min( ts1.Dates()[-1], ts2.Dates()[-1])
HRVol, HRcorr, VolF1, VolF2 = BSHistVol.Spread_ATMVolCorr_TermStr(ts1 =ts1, ts2 =ts2, op =Op, expiryT =expiryT, r1 = 0.0, r2 = 0.0, termTenor=Term, exceptionDateList=exceptionDateList)
ToM = [ (expiryT - x).days/365.*12.0 for x in HRVol.Dates()]
cross_vol = [ y*100.0 for y in HRVol.Values()]
corr = [ y*100.0 for y in HRcorr.Values()]
HRPlotList.append(zip(ToM,cross_vol))
HRLegendList.append(str(cont))
CorrPlotList.append(zip(ToM,corr))
CorrLegendList.append(str(cont))
gridfig, ax, axF = plotxy.createFigure(pylab.figure(), GridEnabled=True)
plotxy.PlotXY(HRPlotList,Legends = HRLegendList, xlabel='Time to expiry [months]', ylabel='HR BS Cumulative vol', figure=gridfig)
gridfig, ax, axF = plotxy.createFigure(pylab.figure(), GridEnabled=True)
plotxy.PlotXY(CorrPlotList,Legends = CorrLegendList, xlabel='Time to expiry [months]', ylabel='HR BS correlation', figure=gridfig)
def test_CrackTermStructure(undList, weights, startContract, endContract, Term, exceptionDateList):
undVolList = []
CrkVolList = []
legendList = []
mkt = hydra.db.read('/' + undList[0])
ContractList = mkt.ContractRange(startContract, endContract)
for cont in ContractList:
startD = datetime.date(2004,7,1)
minDate = datetime.date(2050, 1, 1)
tsList = []
for und in undList:
contString = und +'_'+ str(cont)
mkt = hydra.db.read('/' + und)
endD = min(mkt.ExpirationDateByContract(cont), cont)
if endD =='N/A':
endD = minDate
ts = tsfns.TimeSeries(contString, StartDate = startD, EndDate =endD)
tsList.append(ts)
minDate = min(minDate, ts.Dates()[-1])
endD= expiryT = minDate
CrkVol, undVol = BSHistVol.Crack_ATMVol_TermStr(tsList, weights, expiryT, termTenor=Term, exceptionDateList=exceptionDateList)
ToM = [ (expiryT - x).days/365.*12.0 for x in CrkVol.Dates()]
crk_vol = [ y*100.0 for y in CrkVol.Values()]
und_vol = [ y*100.0 for y in undVol.Values()]
legendList.append(str(cont))
CrkVolList.append(zip(ToM, crk_vol))
undVolList.append(zip(ToM,und_vol))
gridfig, ax, axF = plotxy.createFigure(pylab.figure(), GridEnabled=True)
plotxy.PlotXY(undVolList, Legends = legendList, xlabel='Time to expiry [months]', ylabel='Underlier Cumulative Vol', figure=gridfig)
gridfig, ax, axF = plotxy.createFigure(pylab.figure(), GridEnabled=True)
plotxy.PlotXY(CrkVolList,Legends = legendList, xlabel='Time to expiry [months]', ylabel='Crack Vol', figure=gridfig)
def test_SpreadTermStructure(undList, operator, startContract, endContract,
Term, exceptionDateList):
HRPlotList = []
HRLegendList = []
CorrPlotList = []
CorrLegendList = []
und1 = undList[0]
und2 = undList[1]
mkt1 = hydra.db.read('/' + und1)
mkt2 = hydra.db.read('/' + und2)
Op = operator
ContractList = mkt2.ContractRange(startContract, endContract)
for cont in ContractList:
startD = datetime.date(1950, 1, 1)
contString1 = und1 + '_' + str(cont)
contString2 = und2 + '_' + str(cont)
expiryT = min(mkt1.ExpirationDateByContract(cont),
mkt2.ExpirationDateByContract(cont), cont)
if expiryT != 'N/A':
endD = expiryT
else:
endD = datetime.date(2050, 1, 1)
ts1 = tsfns.TimeSeries(contString1, StartDate=startD, EndDate=endD)
ts2 = tsfns.TimeSeries(contString2, StartDate=startD, EndDate=endD)
if expiryT != endD:
endD = expiryT = min(ts1.Dates()[-1], ts2.Dates()[-1])
HRVol, HRcorr, VolF1, VolF2 = BSHistVol.Spread_ATMVolCorr_TermStr(
ts1=ts1,
ts2=ts2,
op=Op,
expiryT=expiryT,
r1=0.0,
r2=0.0,
termTenor=Term,
exceptionDateList=exceptionDateList)
ToM = [(expiryT - x).days / 365. * 12.0 for x in HRVol.Dates()]
cross_vol = [y * 100.0 for y in HRVol.Values()]
corr = [y * 100.0 for y in HRcorr.Values()]
HRPlotList.append(zip(ToM, cross_vol))
HRLegendList.append(str(cont))
CorrPlotList.append(zip(ToM, corr))
CorrLegendList.append(str(cont))
gridfig, ax, axF = plotxy.createFigure(pylab.figure(), GridEnabled=True)
plotxy.PlotXY(HRPlotList,
Legends=HRLegendList,
xlabel='Time to expiry [months]',
ylabel='HR BS Cumulative vol',
figure=gridfig)
gridfig, ax, axF = plotxy.createFigure(pylab.figure(), GridEnabled=True)
plotxy.PlotXY(CorrPlotList,
Legends=CorrLegendList,
xlabel='Time to expiry [months]',
ylabel='HR BS correlation',
figure=gridfig)
def test_CorrTestComp():
IsCall = 1
exceptionDateList = []
op = '/'
startD = datetime.date(2005, 1, 1)
endD = datetime.date(2008, 12, 31)
trueCorr = curve.Curve()
avgCorr = curve.Curve()
varCorr = curve.Curve()
trueVol = curve.Curve()
avgVol = curve.Curve()
varVol = curve.Curve()
expiryT = endD
F = [1.0, 1.0]
Sig = [0.8, 0.5]
Kappa = [1.2, 0.8]
rho = 0.9
numPath = 200
HRPlotList = []
LegendList = []
CorrPlotList = []
for i in range(numPath):
ts1, ts2 = rand2DTSGen(F,
Sig,
Kappa,
rho,
StartDate=startD,
EndDate=endD)
HRVol, HRcorr, VolF1, VolF2 = BSHistVol.Spread_ATMVolCorr_TermStr(
ts1=ts1,
ts2=ts2,
op=op,
expiryT=expiryT,
r1=0.0,
r2=0.0,
termTenor="1m",
exceptionDateList=exceptionDateList)
ToM = [(expiryT - x).days / 365. * 12.0 for x in HRVol.Dates()]
cross_vol = [y * 100.0 for y in HRVol.Values()]
corr = [y * 100.0 for y in HRcorr.Values()]
HRPlotList.append(zip(ToM, cross_vol))
LegendList.append(str(i))
CorrPlotList.append(zip(ToM, corr))
if i == 0:
for d in HRVol.Dates():
tau = (expiryT - d).days / 365.0
s1 = Sig[0]**2 * (1 - math.exp(-2 * Kappa[0] * tau)) / (
2 * Kappa[0] * tau)
s2 = Sig[1]**2 * (1 - math.exp(-2 * Kappa[1] * tau)) / (
2 * Kappa[1] * tau)
s12 = Sig[0] * Sig[1] * rho * (
1 - math.exp(-(Kappa[0] + Kappa[1]) * tau)) / (
(Kappa[0] + Kappa[1]) * tau)
if op == '/':
s = math.sqrt(s1 + s2 - 2 * s12)
else:
s = math.sqrt(s1 + s2 + 2 * s12)
r = s12 / math.sqrt(s1 * s2)
trueVol[d] = s
trueCorr[d] = r
avgVol[d] = 0.0
varVol[d] = 0.0
avgCorr[d] = 0.0
varCorr[d] = 0.0
for d in HRVol.Dates():
avgVol[d] += HRVol[d] / (numPath * 1.0)
varVol[d] += (HRVol[d] - trueVol[d])**2 / (numPath * 1.0)
avgCorr[d] += HRcorr[d] / (numPath * 1.0)
varCorr[d] += (HRcorr[d] - trueCorr[d])**2 / (numPath * 1.0)
#gridfig, ax, axF = plotxy.createFigure(pylab.figure(), GridEnabled=True)
#plotxy.PlotXY(HRPlotList,Legends = LegendList, figure=gridfig)
#gridfig, ax, axF = plotxy.createFigure(pylab.figure(), GridEnabled=True)
#plotxy.PlotXY(CorrPlotList,Legends = LegendList, figure=gridfig)
plotList = [avgVol, trueVol]
legendList = ['Vol', 'True Vol']
gridfig, ax, axF = plotxy.createFigure(pylab.figure(), GridEnabled=True)
plotxy.PlotCurves(plotList, Legends=legendList, figure=gridfig)
plotList = [avgCorr, trueCorr]
legendList = ['Corr', 'True Corr']
gridfig, ax, axF = plotxy.createFigure(pylab.figure(), GridEnabled=True)
plotxy.PlotCurves(plotList, Legends=legendList, figure=gridfig)
diff = curve.Curve()
rcorr = curve.Curve()
Texp = curve.Curve()
for d in trueVol.Dates():
diff[d] = avgCorr[d] - trueCorr[d]
varCorr[d] = math.sqrt(varCorr[d])
rcorr[d] = varCorr[d] / trueCorr[d]
Texp[d] = (expiryT - d).days / 365.0 * 12.0
DiffRatio = [(Texp[d], diff[d], varCorr[d], rcorr[d])
for d in trueCorr.Dates()]
print DiffRatio
def test_CCYCommodTermStr(und,
ccyName,
startContract,
endContract,
Term='1m',
exceptionDateList=[]):
HRPlotList = []
HRLegendList = []
CorrPlotList = []
CorrLegendList = []
ccyPair = ccyName + '-USD'
pairObj = hydra.db['/' + ccyPair]
op = '*'
mkt = hydra.db.read('/' + und)
ContractList = mkt.ContractRange(startContract, endContract)
for cont in ContractList:
startD = datetime.date(1950, 1, 1)
contString = und + '_' + str(cont)
expiryT = min(mkt.ExpirationDateByContract(cont), cont)
if expiryT != 'N/A':
endD = expiryT
else:
endD = datetime.date(2012, 1, 1)
ts1 = tsfns.TimeSeries(contString, StartDate=startD, EndDate=endD)
if expiryT != endD:
endD = expiryT = ts1.Dates()[-1]
startD = ts1.Dates()[0]
tsexprfns.StartDate = startD
tsexprfns.EndDate = endD
ts2 = tsexprfns.fxforwarddate(ccyPair, cont.strftime('%d%b%y'))
HRVol, HRcorr, VolF1, VolF2 = BSHistVol.Spread_ATMVolCorr_TermStr(
ts1=ts1,
ts2=ts2,
op=op,
expiryT=expiryT,
r1=0.0,
r2=0.0,
termTenor=Term,
exceptionDateList=exceptionDateList)
ToM = [(expiryT - x).days / 365. * 12.0 for x in HRVol.Dates()]
cross_vol = [y * 100.0 for y in HRVol.Values()]
corr = [y * 100.0 for y in HRcorr.Values()]
HRPlotList.append(zip(ToM, cross_vol))
HRLegendList.append(str(cont))
CorrPlotList.append(zip(ToM, corr))
CorrLegendList.append(str(cont))
gridfig, ax, axF = plotxy.createFigure(pylab.figure(), GridEnabled=True)
plotxy.PlotXY(HRPlotList,
Legends=HRLegendList,
xlabel='Time to expiry [months]',
ylabel='HR BS Cumulative vol',
figure=gridfig)
gridfig, ax, axF = plotxy.createFigure(pylab.figure(), GridEnabled=True)
plotxy.PlotXY(CorrPlotList,
Legends=CorrLegendList,
xlabel='Time to expiry [months]',
ylabel='HR BS correlation',
figure=gridfig)
def test_CorrTestComp():
IsCall = 1
exceptionDateList = []
op= '/'
startD = datetime.date(2005,1,1)
endD = datetime.date(2008,12,31)
trueCorr = curve.Curve()
avgCorr = curve.Curve()
varCorr = curve.Curve()
trueVol = curve.Curve()
avgVol = curve.Curve()
varVol = curve.Curve()
expiryT = endD
F = [1.0, 1.0]
Sig = [0.8, 0.5]
Kappa = [1.2, 0.8]
rho = 0.9
numPath = 200
HRPlotList = []
LegendList = []
CorrPlotList = []
for i in range(numPath):
ts1, ts2 = rand2DTSGen(F, Sig, Kappa, rho, StartDate = startD, EndDate = endD)
HRVol, HRcorr, VolF1, VolF2 = BSHistVol.Spread_ATMVolCorr_TermStr(ts1 =ts1, ts2 =ts2, op =op, expiryT =expiryT, r1 = 0.0, r2 = 0.0, termTenor="1m", exceptionDateList= exceptionDateList)
ToM = [ (expiryT - x).days/365.*12.0 for x in HRVol.Dates()]
cross_vol = [ y*100.0 for y in HRVol.Values()]
corr = [ y*100.0 for y in HRcorr.Values()]
HRPlotList.append(zip(ToM,cross_vol))
LegendList.append(str(i))
CorrPlotList.append(zip(ToM,corr))
if i == 0:
for d in HRVol.Dates():
tau = (expiryT-d).days/365.0
s1 = Sig[0]**2 * (1 - math.exp(-2 * Kappa[0] * tau))/(2 * Kappa[0] * tau)
s2 = Sig[1]**2 * (1 - math.exp(-2 * Kappa[1] * tau))/(2 * Kappa[1] * tau)
s12 = Sig[0] * Sig[1]* rho * (1 - math.exp(-(Kappa[0] + Kappa[1]) * tau))/((Kappa[0] + Kappa[1]) * tau)
if op == '/':
s = math.sqrt(s1 + s2 - 2 * s12)
else:
s = math.sqrt(s1 + s2 + 2 * s12)
r = s12 / math.sqrt(s1 * s2)
trueVol[d] = s
trueCorr[d] = r
avgVol[d] = 0.0
varVol[d] = 0.0
avgCorr[d] = 0.0
varCorr[d] = 0.0
for d in HRVol.Dates():
avgVol[d] += HRVol[d]/(numPath*1.0)
varVol[d] += (HRVol[d] - trueVol[d])**2/(numPath*1.0)
avgCorr[d] += HRcorr[d]/(numPath*1.0)
varCorr[d] += (HRcorr[d] - trueCorr[d])**2/(numPath*1.0)
#gridfig, ax, axF = plotxy.createFigure(pylab.figure(), GridEnabled=True)
#plotxy.PlotXY(HRPlotList,Legends = LegendList, figure=gridfig)
#gridfig, ax, axF = plotxy.createFigure(pylab.figure(), GridEnabled=True)
#plotxy.PlotXY(CorrPlotList,Legends = LegendList, figure=gridfig)
plotList = [avgVol, trueVol]
legendList = ['Vol', 'True Vol']
gridfig, ax, axF = plotxy.createFigure(pylab.figure(), GridEnabled=True)
plotxy.PlotCurves(plotList,Legends = legendList, figure=gridfig)
plotList = [avgCorr, trueCorr]
legendList = ['Corr', 'True Corr']
gridfig, ax, axF = plotxy.createFigure(pylab.figure(), GridEnabled=True)
plotxy.PlotCurves(plotList,Legends = legendList, figure=gridfig)
diff = curve.Curve()
rcorr = curve.Curve()
Texp = curve.Curve()
for d in trueVol.Dates():
diff[d] = avgCorr[d] - trueCorr[d]
varCorr[d] =math.sqrt(varCorr[d])
rcorr[d] = varCorr[d]/trueCorr[d]
Texp[d] = (expiryT-d).days/365.0*12.0
DiffRatio = [ (Texp[d], diff[d], varCorr[d], rcorr[d]) for d in trueCorr.Dates()]
print DiffRatio