def __init__(self, targetVol, positionName, estimateName, scaledPos):
"""Initializer.
INPUTS:
-- targetVol: Floating point target volatility.
-- positionName: String naming position field.
-- estimateName: String naming vol estimate field.
-- scaledPos: String naming output scaled position.
"""
self.targetVol = targetVol
SeqXform.__init__(self, [positionName, estimateName], [scaledPos])
def __init__(self, levelParams, dateColName, mean):
levelNames = levelParams.levelNames
self.levelParams = levelParams
self.dateColName = dateColName
self.rets = dict([(n, 0.0) for n in levelNames])
self.vars = dict(self.levelParams.omegas)
self.dateCol = dateColName
self.mean = mean
self.annualizingMults = dict(self.levelParams.multipliers)
for num, name in enumerate(levelNames[1:]):
self.annualizingMults[name] = (
self.levelParams.multipliers[name] /
self.levelParams.multipliers[levelNames[0]])
self.vars[name] = (
self.vars[levelNames[num]] * self.levelParams.omegas[name]
* self.levelParams.multipliers[levelNames[num]]
/ self.levelParams.multipliers[name])
SeqXform.__init__(self, [dateColName],
levelParams.annualizedVolNames + levelParams.retNames)
def __init__(self, levelParams, dateColName, mean):
levelNames = levelParams.levelNames
self.levelParams = levelParams
self.dateColName = dateColName
self.rets = dict([(n, 0.0) for n in levelNames])
self.vars = dict(self.levelParams.omegas)
self.dateCol = dateColName
self.mean = mean
self.annualizingMults = dict(self.levelParams.multipliers)
for num, name in enumerate(levelNames[1:]):
self.annualizingMults[name] = (
self.levelParams.multipliers[name] /
self.levelParams.multipliers[levelNames[0]])
self.vars[name] = (self.vars[levelNames[num]] *
self.levelParams.omegas[name] *
self.levelParams.multipliers[levelNames[num]] /
self.levelParams.multipliers[name])
SeqXform.__init__(
self, [dateColName],
levelParams.annualizedVolNames + levelParams.retNames)
def __init__(self, estimator, estName):
self.estimator = estimator
SeqXform.__init__(self, [estimator.returnColName], [estName])