# print "degree: %s, len(strikes): %s, t_date: %s, expiration_date: %s" % (degree, len(strikes), t_date, expiration_date)
# Don't fit 0 or 1 points
if len(strikes) < 2:
skipped += 1
continue
# Don't fit if strike range does not contain forward
if not( min(strikes) < implied_forward < max(strikes) ):
skipped += 1
continue
# how should we fit this smile?
degree = min(4, len(strikes) / 2)
# fit it
z = nerdy.moneyness(strikes, implied_forward, 1, years_to_expiration)
try:
ATF_vol = nerdy.fit_smile(z, delta_wt_avg_implied_vols, degree=degree)[-1]
z = z / ATF_vol
coeffs = list(nerdy.fit_smile(z, delta_wt_avg_implied_vols, degree=degree))
while not len(coeffs) >= 5:
coeffs.insert(0,0)
except Exception, e:
fail += 1
print "Exception:", e
ipshell("WTF")
raise Exception, e
else:
if DEBUG is True:
print
print "z:"
strikes, call_ivs, put_ivs, call_delta = nerdy.clip_repeated_wings(
strikes, call_ivs, put_ivs, call_delta)
wt_avg_implied_vols = call_ivs * (1 - call_delta) + put_ivs * call_delta
sql = SQL.get_fit_smile % params
fit_params = execute_query_DF(conn, sql)
if not fit_params.numrows() == 1:
print "Error: More than one smile matching supposedly unique criteria."
ipshell("")
raise Exception
vol = fit_params('vol')[0]
skew = fit_params('skew')[0]
kurt = fit_params('kurt')[0]
wave = fit_params('wave')[0]
wing = fit_params('wing')[0]
z = nerdy.moneyness(strikes, implied_forward, vol, time_to_expiration)
# coeffs = [ 10*wing[call_put], 20*wave[call_put], 20*kurt[call_put], 16.75*skew[call_put], vol[call_put] ]
coeffs = [wing, wave, kurt, skew, vol]
fit_vols = scipy.polyval(coeffs, z)
# xmin = min(strikes)
# xmax = max(strikes)
time.sleep(.5)
ATM_marker.remove()
xmin = int(implied_forward * 1/2)
xmax = int(implied_forward * 3/2)
ymin = min(np.hstack((call_ivs, put_ivs)))
ymax = max(np.hstack((call_ivs, put_ivs)))
ATM_marker = pyplot.axvline(x=implied_forward, ymin=0, ymax=1, linewidth=10, color="#B0E0E6", zorder=0)
pyplot.axis([xmin, xmax, ymin, ymax])
pyplot.title("F: %s, date: %s, exp: %s, points:%s" % (