def setSpotHist(self, start, end):
'''
Get history of daily spot prices
:param start: start date
:param end: end date
:return: Series of spot prices
'''
self.spotHist = yf.download([self.undl], start=start,
end=incDate(end))['Close']
return self.spotHist
def setSpot(self, spotDate=''):
'''
:param spotDate (string date):
:return: void, sets self.spot price to spot of self.mydate
'''
spotDate = self.mydate if spotDate == '' else spotDate
self.spot = yf.download([self.undl],
start=spotDate,
end=incDate(spotDate))['Close'][0]
return self.spot
def setVolHist(self, start, end, name='^VIX'):
'''
Get history of daily spot prices and set to self variable
:param start: start date
:param end: end date
:param name: Name of volatility parameter
:return: Series of vol prices
'''
self.volHist = yf.download([name], start=start,
end=incDate(end))['Close']
return self.volHist
def setVol(self, volDate='', volIndex='^VIX'):
'''
:param volDate: Date to pull (default is self.mydate
:param volIndex: Name of volatility index in yahoo finance
:return: vol index (scaler)
'''
volDate = self.mydate if volDate == '' else volDate
self.volPoint = yf.download([volIndex],
start=volDate,
end=incDate(volDate))['Close'][0]
return self.volPoint
def setVolIdx(self,
volidx,
scale=0.02,
voldate='',
flattener=1,
spacing=0.05):
'''
:param volidx (string): Name of a vol index for which to base the skew
:param scale (double): Scaling factor for vol skew
:param voldate (string date): Date to pull volatility
:param flattener (double): Scaling factor. Amount to flatten (or steepen) skew
:param spaceing: Determines the courseness the grid of strikes (how far apart strikes are)
:return: The skew with the volidx being the ATM point
spaced apart by 1% of the underlying
'''
voldate = self.mydate if voldate == '' else voldate
myvol = yf.download([volidx], start=voldate,
end=incDate(voldate))['Close'][0]
return self.computeSkew(myvol, scale, flattener, spacing=spacing)
def getVolIdx(self,
volidx,
scale=0.02,
voldate='',
flattener=1,
skip=True,
spacing=0.05):
'''
:param volidx (string): Name of a vol index for which to base the skew
:param scale (double): Scaling factor for vol skew
:param voldate (string date): Date to pull volatility
:param flattener (double): Scaling factor. Amount to flatten (or steepen) skew
:param skip (bool): If true then just get self.vol
:param spaceing: Determines the courseness the grid of strikes (how far apart strikes are)
:return: Returns the current vol index with a different skew and sets it to self.vol
'''
if len(self.vol) < 1 or not skip:
voldate = self.mydate if voldate == '' else voldate
myvol = yf.download([volidx], start=voldate,
end=incDate(voldate))['Close'][0]
return self.computeSkew(myvol, scale, flattener, spacing=spacing)
return self.vol