def cal_beta():
#TODO: name D1M D3M M12M M36M
dictD = OrderedDict({
'1M': 15,
'3M': 50,
'6M': 100,
'12M': 200,
'24M': 450
}) #TODO: why so many months are lost? refer to betaD.csv
dictM = OrderedDict({'12M': 10, '24M': 20, '36M': 24, '60M': 24})
combD, combM = _get_comb()
# combD=combD[-800000:]
# combM=combM[-40000:]
monthly_cal(combD, 'D', dictD, _beta, 'betaD')
monthly_cal(combM, 'M', dictM, _beta, 'betaM')
def cal_volatility():
dictD = {'1M': 15, '3M': 50, '6M': 100, '12M': 200, '24M': 450}
dictM = {'12M': 10, '24M': 20, '36M': 24, '60M': 24}
combD, combM = _get_comb()
monthly_cal(combD, 'D', dictD, _vol, 'volD')
monthly_cal(combD, 'D', dictD, _volss, 'volssD')
monthly_cal(combD, 'D', dictD, _idioVol_capm, 'idioVol_capmD')
monthly_cal(combD, 'D', dictD, _idioVol_ff3, 'idioVol_ff3D')
monthly_cal(combM, 'M', dictM, _vol, 'volM')
monthly_cal(combM, 'M', dictM, _volss, 'volssM')
monthly_cal(combM, 'M', dictM, _idioVol_capm, 'idioVol_capmM')
monthly_cal(combM, 'M', dictM, _idioVol_ff3, 'idioVol_ff3M')
monthly_cal(combM, 'M', dictM, _idioVol_ffc, 'idioVol_ffcM')
def cal_volatility():
dictD = OrderedDict({
'1M': 15,
'3M': 50,
'6M': 100,
'12M': 200,
'24M': 450
})
dictM = OrderedDict({'12M': 10, '24M': 20, '36M': 24, '60M': 24})
combD, combM = _get_comb()
monthly_cal(combD, 'D', dictD, partial(_vol, square_m=252**0.5), 'volD')
monthly_cal(combD, 'D', dictD, partial(_volss, square_m=252**0.5),
'volssD')
monthly_cal(combD, 'D', dictD, partial(_idioVol_capm, square_m=252**0.5),
'idioVol_capmD')
monthly_cal(combD, 'D', dictD, partial(_idioVol_ff3, square_m=252**0.5),
'idioVol_ff3D')
monthly_cal(combM, 'M', dictM, partial(_vol, square_m=12**0.5), 'volM')
monthly_cal(combM, 'M', dictM, partial(_volss, square_m=12**0.5), 'volssM')
monthly_cal(combM, 'M', dictM, partial(_idioVol_capm, square_m=12**0.5),
'idioVol_capmM')
monthly_cal(combM, 'M', dictM, partial(_idioVol_ff3, square_m=12**0.5),
'idioVol_ff3M')
monthly_cal(combM, 'M', dictM, partial(_idioVol_ffc, square_m=12**0.5),
'idioVol_ffcM')
def cal_beta():
dictD = {'1M': 15, '3M': 50, '6M': 100, '12M': 200, '24M': 450}
dictM = {'12M': 10, '24M': 20, '36M': 24, '60M': 24}
combD, combM = _get_comb()
monthly_cal(combD, 'D', dictD, _beta, 'betaD')
monthly_cal(combM, 'M', dictM, _beta, 'betaM')
def cal_skewnewss():
dictD = OrderedDict({
'1M': 15,
'3M': 50,
'6M': 100,
'12M': 200,
'24M': 450
})
dictM = OrderedDict({'12M': 10, '24M': 20, '36M': 24, '60M': 24})
combD, combM = _get_comb()
monthly_cal(combD, 'D', dictD, _skew, 'skewD')
monthly_cal(combD, 'D', dictD, _coskew, 'coskewD')
monthly_cal(combD, 'D', dictD, _idioskew, 'idioskewD')
monthly_cal(combM, 'M', dictM, _skew, 'skewM')
monthly_cal(combM, 'M', dictM, _coskew, 'coskewM')
monthly_cal(combM, 'M', dictM, _idioskew, 'idioskewM')