def option_model_wrapper(**kwargs):
# enter underlying, strike, (option_price or implied_vol)
# calculation_date, exercise_type, option_type
con = msu.get_my_sql_connection(**kwargs)
ticker = kwargs['ticker']
calculation_date = kwargs['calculation_date']
if 'interest_rate_date' in kwargs.keys():
interest_rate_date = kwargs['interest_rate_date']
else:
interest_rate_date = calculation_date
#print(ticker)
#print(kwargs['exercise_type'])
contract_specs_output = cmi.get_contract_specs(ticker)
ticker_head = contract_specs_output['ticker_head']
contract_multiplier = cmi.contract_multiplier[ticker_head]
expiration_datetime = exp.get_expiration_from_db(ticker=ticker,
instrument='options',
con=con)
expiration_date = int(expiration_datetime.strftime('%Y%m%d'))
if 'con' not in kwargs.keys():
con.close()
interest_rate = grfs.get_simple_rate(
as_of_date=interest_rate_date, date_to=expiration_date)['rate_output']
if np.isnan(interest_rate):
option_greeks = {
'implied_vol': np.NaN,
'delta': np.NaN,
'vega': np.NaN,
'dollar_vega': np.NaN,
'theta': np.NaN,
'dollar_theta': np.NaN,
'gamma': np.NaN,
'dollar_gamma': np.NaN,
'interest_rate': np.NaN,
'cal_dte': np.NaN
}
else:
option_greeks = qom.get_option_greeks(risk_free_rate=interest_rate,
expiration_date=expiration_date,
**kwargs)
option_greeks['implied_vol'] = 100 * option_greeks['implied_vol']
option_greeks[
'dollar_vega'] = option_greeks['vega'] * contract_multiplier / 100
option_greeks[
'dollar_theta'] = option_greeks['theta'] * contract_multiplier
option_greeks[
'dollar_gamma'] = option_greeks['gamma'] * contract_multiplier
option_greeks['interest_rate'] = interest_rate
return option_greeks
def cal_greeks_4option_maturity(**kwargs):
option_prices = gop.get_options_price_from_db(**kwargs)
if option_prices.empty:
return pd.DataFrame()
option_prices = option_prices[option_prices['strike'] > 0]
option_prices.reset_index(drop=True, inplace=True)
contract_specs_out = cmi.get_contract_specs(kwargs['ticker'])
exercise_type = cmi.get_option_exercise_type(**contract_specs_out)
underlying_ticker = oput.get_option_underlying(**kwargs)
futures_price_output = gfp.get_futures_price_preloaded(
ticker=underlying_ticker, settle_date=kwargs['settle_date'])
if futures_price_output.empty:
return pd.DataFrame()
underlying_price = futures_price_output['close_price'].iloc[0]
expiration_datetime = exp.get_expiration_from_db(instrument='options',
**kwargs)
expiration_date = int(expiration_datetime.strftime('%Y%m%d'))
interest_rate = grfs.get_simple_rate(
as_of_date=kwargs['settle_date'],
date_to=expiration_date)['rate_output']
option_greeks = [
qom.get_option_greeks(underlying=underlying_price,
option_price=float(
option_prices['close_price'].iloc[x]),
strike=float(option_prices['strike'].iloc[x]),
risk_free_rate=interest_rate,
expiration_date=expiration_date,
calculation_date=kwargs['settle_date'],
option_type=option_prices['option_type'].iloc[x],
exercise_type=exercise_type)
for x in range(len(option_prices.index))
]
greek_frame = pd.DataFrame(option_greeks)
return pd.concat([
greek_frame[['delta', 'gamma', 'implied_vol', 'theta', 'vega']],
option_prices
],
axis=1)
def cal_greeks_4option_maturity(**kwargs):
option_prices = gop.get_options_price_from_db(**kwargs)
if option_prices.empty:
return pd.DataFrame()
contract_specs_out = cmi.get_contract_specs(kwargs['ticker'])
exercise_type = cmi.get_option_exercise_type(**contract_specs_out)
underlying_ticker = oput.get_option_underlying(**kwargs)
futures_price_output = gfp.get_futures_price_preloaded(ticker=underlying_ticker, settle_date=kwargs['settle_date'])
if futures_price_output.empty:
return pd.DataFrame()
underlying_price = futures_price_output['close_price'].iloc[0]
expiration_datetime = exp.get_expiration_from_db(instrument='options', **kwargs)
expiration_date = int(expiration_datetime.strftime('%Y%m%d'))
interest_rate = grfs.get_simple_rate(as_of_date=kwargs['settle_date'], date_to=expiration_date)['rate_output']
#print(kwargs['settle_date'])
#print(expiration_date)
option_greeks = [qom.get_option_greeks(underlying=underlying_price,
option_price=float(option_prices['close_price'].iloc[x]),
strike=float(option_prices['strike'].iloc[x]),
risk_free_rate=interest_rate,
expiration_date=expiration_date,
calculation_date=kwargs['settle_date'],
option_type=option_prices['option_type'].iloc[x],
exercise_type=exercise_type) for x in range(len(option_prices.index))]
greek_frame = pd.DataFrame(option_greeks)
return pd.concat([greek_frame[['delta', 'gamma', 'implied_vol', 'theta', 'vega']], option_prices], axis=1)
def main():
app = algo.Algo()
report_date = exp.doubledate_shift_bus_days()
todays_date = cu.get_doubledate()
con = msu.get_my_sql_connection()
vcs_output = vcs.generate_vcs_sheet_4date(date_to=report_date)
vcs_pairs = vcs_output['vcs_pairs']
filter_out = of.get_vcs_filters(data_frame_input=vcs_pairs,
filter_list=['long2', 'short2'])
vcs_pairs = filter_out['selected_frame']
vcs_pairs = vcs_pairs[vcs_pairs['downside'].notnull()
& vcs_pairs['upside'].notnull()]
# &(vcs_pairs.tickerClass!='Energy')
vcs_pairs = vcs_pairs[(vcs_pairs['trDte1'] >= 50)
& (vcs_pairs.tickerClass != 'Metal') &
(vcs_pairs.tickerClass != 'FX') &
(vcs_pairs.tickerClass != 'Energy')]
vcs_pairs = vcs_pairs[((vcs_pairs['Q'] <= 30) &
(vcs_pairs['fwdVolQ'] >= 30)) |
((vcs_pairs['Q'] >= 70) &
(vcs_pairs['fwdVolQ'] <= 70))]
vcs_pairs.reset_index(drop=True, inplace=True)
vcs_pairs['underlying_ticker1'] = [
omu.get_option_underlying(ticker=x) for x in vcs_pairs['ticker1']
]
vcs_pairs['underlying_ticker2'] = [
omu.get_option_underlying(ticker=x) for x in vcs_pairs['ticker2']
]
vcs_pairs['underlying_tickerhead'] = [
cmi.get_contract_specs(x)['ticker_head']
for x in vcs_pairs['underlying_ticker1']
]
futures_data_dictionary = {
x: gfp.get_futures_price_preloaded(ticker_head=x)
for x in vcs_pairs['underlying_tickerhead'].unique()
}
proxy_output_list1 = [
up.get_underlying_proxy_ticker(
ticker=x,
settle_date=report_date,
futures_data_dictionary=futures_data_dictionary)
for x in vcs_pairs['underlying_ticker1']
]
vcs_pairs['proxy_ticker1'] = [x['ticker'] for x in proxy_output_list1]
vcs_pairs['add_2_proxy1'] = [x['add_2_proxy'] for x in proxy_output_list1]
proxy_output_list2 = [
up.get_underlying_proxy_ticker(
ticker=x,
settle_date=report_date,
futures_data_dictionary=futures_data_dictionary)
for x in vcs_pairs['underlying_ticker2']
]
vcs_pairs['proxy_ticker2'] = [x['ticker'] for x in proxy_output_list2]
vcs_pairs['add_2_proxy2'] = [x['add_2_proxy'] for x in proxy_output_list2]
vcs_pairs['expiration_date1'] = [
int(
exp.get_expiration_from_db(instrument='options', ticker=x,
con=con).strftime('%Y%m%d'))
for x in vcs_pairs['ticker1']
]
vcs_pairs['expiration_date2'] = [
int(
exp.get_expiration_from_db(instrument='options', ticker=x,
con=con).strftime('%Y%m%d'))
for x in vcs_pairs['ticker2']
]
vcs_pairs['interest_date1'] = [
grfs.get_simple_rate(as_of_date=report_date, date_to=x)['rate_output']
for x in vcs_pairs['expiration_date1']
]
vcs_pairs['interest_date2'] = [
grfs.get_simple_rate(as_of_date=report_date, date_to=x)['rate_output']
for x in vcs_pairs['expiration_date2']
]
vcs_pairs['exercise_type'] = [
cmi.get_option_exercise_type(ticker_head=x)
for x in vcs_pairs['tickerHead']
]
admin_dir = dna.get_directory_name(ext='admin')
risk_file_out = su.read_text_file(file_name=admin_dir +
'/RiskParameter.txt')
vcs_risk_parameter = 5 * 2 * float(risk_file_out[0])
vcs_pairs['long_quantity'] = vcs_risk_parameter / abs(
vcs_pairs['downside'])
vcs_pairs['short_quantity'] = vcs_risk_parameter / vcs_pairs['upside']
vcs_pairs['long_quantity'] = vcs_pairs['long_quantity'].round()
vcs_pairs['short_quantity'] = vcs_pairs['short_quantity'].round()
vcs_pairs['alias'] = [
generate_vcs_alias(vcs_row=vcs_pairs.iloc[x])
for x in range(len(vcs_pairs.index))
]
vcs_pairs['call_mid_price1'] = np.nan
vcs_pairs['put_mid_price1'] = np.nan
vcs_pairs['call_mid_price2'] = np.nan
vcs_pairs['put_mid_price2'] = np.nan
vcs_pairs['call_iv1'] = np.nan
vcs_pairs['put_iv1'] = np.nan
vcs_pairs['call_iv2'] = np.nan
vcs_pairs['put_iv2'] = np.nan
vcs_pairs['underlying_mid_price1'] = np.nan
vcs_pairs['underlying_mid_price2'] = np.nan
vcs_pairs['proxy_mid_price1'] = np.nan
vcs_pairs['proxy_mid_price2'] = np.nan
vcs_pairs['current_strike1'] = np.nan
vcs_pairs['current_strike2'] = np.nan
ta_folder = dn.get_dated_directory_extension(folder_date=todays_date,
ext='ta')
app.vcs_pairs = vcs_pairs
app.con = con
app.futures_data_dictionary = futures_data_dictionary
app.report_date = report_date
app.todays_date = todays_date
app.log = lg.get_logger(file_identifier='vcs', log_level='INFO')
app.trade_file = ta_folder + '/trade_dir.csv'
app.vcs_risk_parameter = vcs_risk_parameter
app.connect(client_id=3)
app.run()
