def get_term_structure(): date = get_db_date() data = structures.atm_term_structure("SPX", date) data = [ {"x": dates.business_dates_diff(date, expiration), "y": iv, "name": expiration.strftime("%b'%y")} for expiration, iv in data ] return jsonify({"root": data})
def test_atm_term_structure(self): structure1 = structures.atm_term_structure( 'SPX', self.test_timestamp.date(), TEST_DB_NAME) structure2 = [ (date(2016, 1, 15), 20.08), (date(2016, 2, 19), 18.30), (date(2016, 3, 18), 17.89), (date(2016, 4, 15), 17.72), (date(2016, 6, 17), 17.21), (date(2016, 9, 16), 16.87), (date(2016, 12, 16), 16.59), (date(2017, 1, 20), 16.66), (date(2017, 6, 16), 16.53), (date(2017, 12, 15), 16.36), ] self.assertEqual(structure1, structure2)