def __init__(self, vg, app, master):
all_insts = app.agent.instruments
self.root = master
self.name = vg.name
self.app = app
self.expiries = vg.underlier.keys()
self.expiries.sort()
self.underliers = [vg.underlier[expiry] for expiry in self.expiries]
self.option_insts = list(set().union(*vg.option_insts.values()))
self.spot_model = vg.spot_model
self.cont_mth = list(set([ all_insts[inst].cont_mth for inst in self.option_insts]))
self.cont_mth.sort()
self.strikes = [list(set([ all_insts[inst].strike for inst in vg.option_insts[expiry]])) for expiry in self.expiries]
for idx in range(len(self.strikes)):
self.strikes[idx].sort()
self.opt_dict = {}
for inst in self.option_insts:
key = (all_insts[inst].cont_mth, all_insts[inst].otype, all_insts[inst].strike)
self.opt_dict[key] = inst
self.canvas = None
self.pos_canvas = None
self.frame = None
self.pos_frame = None
#vol_labels = ['Expiry', 'Under', 'Df', 'Fwd', 'Atm', 'V90', 'V75', 'V25', 'V10', 'Updated']
self.volgrid = instrument.copy_volgrid(vg)
self.curr_insts = {}
self.rf = app.agent.irate
self.entries = {}
self.option_map = {}
self.group_risk = {}
self.stringvars = {'Insts':{}, 'Volgrid':{}}
self.entry_fields = []
self.status_fields = []
self.field_types = {}
inst_labels = ['Name', 'Price', 'BidPrice', 'BidVol', 'BidIV', 'AskPrice','AskVol','AskIV', 'Volume', 'OI', 'PV', 'Delta', 'Gamma','Vega', 'Theta']
inst_types = ['string','float', 'float', 'int', 'float', 'float', 'int','float','float', 'int', 'int', 'float', 'float', 'float', 'float', 'float']
for inst in self.option_insts:
if inst not in self.root.stringvars:
self.root.stringvars[inst] = {}
for lbl, itype in zip(inst_labels, inst_types):
self.root.stringvars[inst][lbl] = get_type_var(itype)
under_labels = ['Name', 'Price','BidPrice','BidVol','AskPrice','AskVol','UpLimit','DownLimit', 'Volume', 'OI']
under_types = ['string', 'float', 'float', 'int', 'float', 'int', 'float', 'float', 'int', 'int']
for inst in list(set(self.underliers)):
if inst not in self.root.stringvars:
self.root.stringvars[inst] = {}
for ulbl, utype in zip(under_labels, under_types):
self.root.stringvars[inst][ulbl] = get_type_var(utype)
vol_labels = ['Expiry', 'Under', 'Df', 'Fwd', 'Atm', 'V90', 'V75', 'V25', 'V10','Updated']
vol_types = ['string', 'string', 'float','float','float','float','float','float','float','float']
for expiry in self.expiries:
self.stringvars['Volgrid'][expiry] = {}
for vlbl, vtype in zip(vol_labels, vol_types):
self.stringvars['Volgrid'][expiry][vlbl] = get_type_var(vtype)
def __init__(self, vg, app, master):
all_insts = app.agent.instruments
self.root = master
self.name = vg.name
self.app = app
self.expiries = vg.underlier.keys()
self.expiries.sort()
self.underliers = [vg.underlier[expiry] for expiry in self.expiries]
self.option_insts = list(set().union(*vg.option_insts.values()))
self.spot_model = vg.spot_model
self.cont_mth = list(set([ all_insts[inst].cont_mth for inst in self.option_insts]))
self.cont_mth.sort()
self.strikes = [list(set([ all_insts[inst].strike for inst in vg.option_insts[expiry]])) for expiry in self.expiries]
for idx in range(len(self.strikes)):
self.strikes[idx].sort()
self.opt_dict = {}
for inst in self.option_insts:
key = (all_insts[inst].cont_mth, all_insts[inst].otype, all_insts[inst].strike)
self.opt_dict[key] = inst
self.canvas = None
self.pos_canvas = None
self.frame = None
self.pos_frame = None
#vol_labels = ['Expiry', 'Under', 'Df', 'Fwd', 'Atm', 'V90', 'V75', 'V25', 'V10', 'Updated']
self.volgrid = instrument.copy_volgrid(vg)
self.curr_insts = {}
self.rf = app.agent.irate
self.entries = {}
self.option_map = {}
self.group_risk = {}
self.stringvars = {'Insts':{}, 'Volgrid':{}}
self.entry_fields = []
self.status_fields = []
self.field_types = {}
inst_labels = ['Name', 'Price', 'BidPrice', 'BidVol', 'BidIV', 'AskPrice','AskVol','AskIV', 'Volume', 'OI', 'PV', 'Delta', 'Gamma','Vega', 'Theta']
inst_types = ['string','float', 'float', 'int', 'float', 'float', 'int','float','float', 'int', 'int', 'float', 'float', 'float', 'float', 'float']
for inst in self.option_insts:
if inst not in self.root.stringvars:
self.root.stringvars[inst] = {}
for lbl, itype in zip(inst_labels, inst_types):
self.root.stringvars[inst][lbl] = get_type_var(itype)
under_labels = ['Name', 'Price','BidPrice','BidVol','AskPrice','AskVol','UpLimit','DownLimit', 'Volume', 'OI']
under_types = ['string', 'float', 'float', 'int', 'float', 'int', 'float', 'float', 'int', 'int']
for inst in list(set(self.underliers)):
if inst not in self.root.stringvars:
self.root.stringvars[inst] = {}
for ulbl, utype in zip(under_labels, under_types):
self.root.stringvars[inst][ulbl] = get_type_var(utype)
vol_labels = ['Expiry', 'Under', 'Df', 'Fwd', 'Atm', 'V90', 'V75', 'V25', 'V10','Updated']
vol_types = ['string', 'string', 'float','float','float','float','float','float','float','float']
for expiry in self.expiries:
self.stringvars['Volgrid'][expiry] = {}
for vlbl, vtype in zip(vol_labels, vol_types):
self.stringvars['Volgrid'][expiry][vlbl] = get_type_var(vtype)
def __init__(self, vg, app, master):
all_insts = app.agent.instruments
self.root = master
self.name = vg.name
self.app = app
self.expiries = vg.underlier.keys()
self.expiries.sort()
self.underliers = [vg.underlier[expiry] for expiry in self.expiries]
self.option_insts = list(set().union(*vg.option_insts.values()))
self.spot_model = vg.spot_model
self.cont_mth = list(set([all_insts[inst].cont_mth for inst in self.option_insts]))
self.cont_mth.sort()
self.strikes = [
list(set([all_insts[inst].strike for inst in vg.option_insts[expiry]])) for expiry in self.expiries
]
for idx in range(len(self.strikes)):
self.strikes[idx].sort()
self.opt_dict = {}
for inst in self.option_insts:
key = (all_insts[inst].cont_mth, all_insts[inst].otype, all_insts[inst].strike)
self.opt_dict[key] = inst
self.canvas = None
self.pos_canvas = None
self.frame = None
self.pos_frame = None
# vol_labels = ['Expiry', 'Under', 'Df', 'Fwd', 'Atm', 'V90', 'V75', 'V25', 'V10', 'Updated']
self.volgrid = instrument.copy_volgrid(vg)
self.curr_insts = {}
self.rf = app.agent.irate
self.entries = {}
self.option_map = {}
self.group_risk = {}
self.stringvars = {"Insts": {}, "Volgrid": {}}
self.entry_fields = []
self.status_fields = []
self.field_types = {}
inst_labels = [
"Name",
"Price",
"BidPrice",
"BidVol",
"BidIV",
"AskPrice",
"AskVol",
"AskIV",
"Volume",
"OI",
"PV",
"Delta",
"Gamma",
"Vega",
"Theta",
]
inst_types = [
"string",
"float",
"float",
"int",
"float",
"float",
"int",
"float",
"float",
"int",
"int",
"float",
"float",
"float",
"float",
"float",
]
for inst in self.option_insts:
if inst not in self.root.stringvars:
self.root.stringvars[inst] = {}
for lbl, itype in zip(inst_labels, inst_types):
self.root.stringvars[inst][lbl] = get_type_var(itype)
under_labels = [
"Name",
"Price",
"BidPrice",
"BidVol",
"AskPrice",
"AskVol",
"UpLimit",
"DownLimit",
"Volume",
"OI",
]
under_types = ["string", "float", "float", "int", "float", "int", "float", "float", "int", "int"]
for inst in list(set(self.underliers)):
if inst not in self.root.stringvars:
self.root.stringvars[inst] = {}
for ulbl, utype in zip(under_labels, under_types):
self.root.stringvars[inst][ulbl] = get_type_var(utype)
vol_labels = ["Expiry", "Under", "Df", "Fwd", "Atm", "V90", "V75", "V25", "V10", "Updated"]
vol_types = ["string", "string", "float", "float", "float", "float", "float", "float", "float", "float"]
for expiry in self.expiries:
self.stringvars["Volgrid"][expiry] = {}
for vlbl, vtype in zip(vol_labels, vol_types):
self.stringvars["Volgrid"][expiry][vlbl] = get_type_var(vtype)
def __init__(self, vg, app, master):
all_insts = app.agent.instruments
self.root = master
self.name = vg.name
self.app = app
self.option_style = 'EU' if self.name in product_code['CFFEX'] else 'AM'
if self.option_style == 'EU':
self.iv_func = pyktlib.BlackImpliedVol
else:
self.iv_func = pyktlib.AmericanImpliedVol
self.iv_steps = 40
self.iv_tol = 1e-5
self.expiries = vg.underlier.keys()
self.expiries.sort()
self.underliers = [vg.underlier[expiry] for expiry in self.expiries]
opt_insts = list(set().union(*vg.option_insts.values()))
self.option_insts = {}
for inst in opt_insts:
self.option_insts[inst] = (all_insts[inst].cont_mth, all_insts[inst].otype, all_insts[inst].strike)
self.spot_model = vg.spot_model
self.cont_mth = list(set([ all_insts[inst].cont_mth for inst in self.option_insts]))
self.cont_mth.sort()
self.strikes = [list(set([ all_insts[inst].strike for inst in vg.option_insts[expiry]])) for expiry in self.expiries]
for idx in range(len(self.strikes)):
self.strikes[idx].sort()
self.opt_dict = {v: k for k, v in self.option_insts.iteritems()}
self.volgrid = instrument.copy_volgrid(vg)
self.rf = app.agent.irate.get(vg.ccy, 0.0)
self.vm_figure = {}
self.vm_lines = dict([(exp, {}) for exp in self.expiries])
self.vm_ax = {}
self.otype_selector = {}
self.cbbox = {}
self.strike_selector = {}
self.stringvars = {'Insts': {}, 'Volgrid': {}, 'NewVolParam': {}, 'TheoryVol': {}, 'NewVol': {}, 'DiffVol': {},\
'Selected': {}, 'ArbStatus': {}}
self.new_volnode = {}
self.curr_insts = {}
self.option_map = {}
self.group_risk = {}
inst_labels = ['Name', 'Price', 'BidPrice', 'BidVol', 'BidIV', 'AskPrice','AskVol','AskIV', 'MidIV', 'TheoryVol', 'Intrinsic', \
'Volume', 'OI', 'Updated', 'PV', 'Delta', 'Gamma','Vega', 'Theta', 'RiskPrice', 'RiskUpdated']
inst_types = ['string', 'float', 'float', 'int', 'float', 'float', 'int', 'float', 'float', 'float', 'float', \
'int', 'int', 'int', 'float', 'float', 'float', 'float', 'float', 'float', 'float']
for inst in self.option_insts:
if inst not in self.stringvars:
self.stringvars[inst] = {}
for lbl, itype in zip(inst_labels, inst_types):
self.stringvars[inst][lbl] = get_type_var(itype)
under_labels = ['Name', 'Price', 'MidPrice', 'BidPrice','BidVol','AskPrice','AskVol','UpLimit','DownLimit', 'Volume', 'OI', 'Updated']
under_types = ['string', 'float', 'float', 'float', 'int', 'float', 'int', 'float', 'float', 'int', 'int', 'int']
for inst in list(set(self.underliers)):
if inst not in self.stringvars:
self.stringvars[inst] = {}
for ulbl, utype in zip(under_labels, under_types):
self.stringvars[inst][ulbl] = get_type_var(utype)
vol_labels = ['Expiry', 'Under', 'Df', 'Fwd', 'Atm', 'V90', 'V75', 'V25', 'V10', 'T2expiry', 'Updated' ]
vol_types = ['string', 'string', 'float', 'float', 'float', 'float', 'float', 'float', 'float', 'float', 'float']
self.combobox_choices = ['C-BidIV', 'C-MidIV', 'C-AskIV', 'P-BidIV', 'P-MidIV', 'P-AskIV']
for strikes, expiry in zip(self.strikes, self.expiries):
self.stringvars['Volgrid'][expiry] = {}
self.stringvars['NewVolParam'][expiry] = {}
self.stringvars['Selected'][expiry] = {}
self.stringvars['ArbStatus'][expiry] = get_type_var('string')
self.stringvars['TheoryVol'][expiry] = {}
self.stringvars['NewVol'][expiry] = {}
self.stringvars['DiffVol'][expiry] = {}
self.otype_selector[expiry] = {}
self.cbbox[expiry] = {}
self.strike_selector[expiry] = {}
vn = self.volgrid.volnode[expiry]
self.new_volnode[expiry] = pyktlib.Delta5VolNode(vn.expiry_(), vn.fwd_(), vn.atmVol_(), vn.d90Vol_(), vn.d75Vol_(), vn.d25Vol_(), vn.d10Vol_(), vn.accrual_())
for vlbl, vtype in zip(vol_labels, vol_types):
self.stringvars['Volgrid'][expiry][vlbl] = get_type_var(vtype)
for vlbl in ['Atm', 'V90', 'V75', 'V25', 'V10']:
val = self.stringvars['Volgrid'][expiry][vlbl].get()
self.stringvars['NewVolParam'][expiry][vlbl] = get_type_var('float')
self.stringvars['NewVolParam'][expiry][vlbl].set(keepdigit(val,4))
fwd = vn.fwd_()
for strike in strikes:
self.otype_selector[expiry][strike] = tk.StringVar()
self.strike_selector[expiry][strike] = tk.BooleanVar()
iv = self.volgrid.volnode[expiry].GetVolByStrike(strike)
self.stringvars['Selected'][expiry][strike] = get_type_var('float')
self.stringvars['Selected'][expiry][strike].set(0.0)
self.stringvars['TheoryVol'][expiry][strike] = get_type_var('float')
self.stringvars['TheoryVol'][expiry][strike].set(keepdigit(iv, 4))
self.stringvars['NewVol'][expiry][strike] = get_type_var('float')
self.stringvars['NewVol'][expiry][strike].set(keepdigit(iv, 4))
self.stringvars['DiffVol'][expiry][strike] = get_type_var('float')
self.stringvars['DiffVol'][expiry][strike].set(0.0)
self.stringvars['FigSetup'] = dict([(exp, {'YLow': get_type_var('float'), 'YHigh': get_type_var('float')}) for exp in self.expiries])
for exp in self.expiries:
for key, ylim in zip(['YLow', 'YHigh'], [0.1, 0.8]):
self.stringvars['FigSetup'][exp][key].set(ylim)