def save_realized_vol(db_session, valuation_date, realized_vol_dict,
existed_realized_vol_dict, force_update):
missing_realized_vol_list, existed_realized_vol_list, uuids = [], [], []
for instrument_id, windows_dict in realized_vol_dict.items():
for windows, realized_vol in windows_dict.items():
if instrument_id in existed_realized_vol_dict and windows in existed_realized_vol_dict[
instrument_id]:
existed_realized_vol_list.append(realized_vol)
uuids.append(
existed_realized_vol_dict[instrument_id][windows].uuid)
else:
missing_realized_vol_list.append(realized_vol)
if len(missing_realized_vol_list) != 0:
# 保存历史波动率
RealizedVolRepo.save_realized_vol_list(db_session,
missing_realized_vol_list)
else:
logging.info('交易日为: %s时, 没有历史波动率需要保存' % valuation_date)
# 强制更新
if force_update is True:
if len(existed_realized_vol_list) != 0:
# 删除历史波动率
RealizedVolRepo.delete_realized_vol_by_uuids(db_session, uuids)
# 保存历史波动率
RealizedVolRepo.save_realized_vol_list(
db_session, existed_realized_vol_list)
else:
logging.info('交易日为: %s时, 没有历史波动率需要强制更新' % valuation_date)
def delete_position_snapshot_by_report_date(db_session, report_date):
"""
通过日期删除数据
:param db_session:
:param report_date:
:return:
"""
logging.info('开始删除otc_position_snapshot表的数据,日期为 %s' % report_date)
db_session.query(OTCPositionSnapshot).filter(OTCPositionSnapshot.reportDate == report_date).delete()
db_session.commit()
logging.info('删除数据成功')
def get_trans_codes_by_report_date(db_session, report_date):
"""
根据日期获取当天所有数据
:param db_session:
:param report_date:
:return:
"""
logging.info('开始获取日期为: %s的trans_codes' % report_date)
trans_codes = db_session.query(OTCPositionSnapshot.transCode).\
filter(OTCPositionSnapshot.reportDate == report_date).all()
if trans_codes is None or len(trans_codes) == 0:
logging.info('日期为: %s,没有获取到trans_codes' % report_date)
return []
trans_codes = [_[0] for _ in trans_codes]
return trans_codes
def calc_one_atm_vol(valuation_date, atm_quote_list):
effective_vol_list = []
effective_date_set = OtcAtmQuoteService.get_effective_expire_date_set(
valuation_date)
for quote in atm_quote_list:
expire_date = quote.expireDate
if expire_date not in effective_date_set:
logging.info(
'ATM quote不在有效的到期范围内，当前日期： %s，估值日期： %s, Quote UUID: %s' %
(DateTimeUtils.date2str(expire_date),
DateTimeUtils.date2str(valuation_date), quote.uuid))
continue
if quote.askVol is not None:
effective_vol_list.append(quote.askVol)
if quote.bidVol is not None:
effective_vol_list.append(quote.bidVol)
if len(effective_vol_list) == 0:
return None
atm_vol = RealizedVolDTO()
atm_vol.tradeDate = valuation_date
atm_vol.vol = np.mean(effective_vol_list)
return atm_vol
def calc_one_instrument_heat_map(db_session, short_name, contract_type,
instrument_id, start_date, end_date):
logging.info('开始计算标的: %s的热力图' % instrument_id)
diagnostic_list = []
# 计算realied vol序列的percentile与vol
realized_vol_dto_list, diagnostics = HistoricalVolService. \
calc_instrument_rolling_vol(db_session, instrument_id, start_date, end_date, 22, is_primary=True)
realized_vol = None
realized_vol_percentile = None
if len(realized_vol_dto_list) != 0:
realized_vol_dto = OtcAtmQuoteService.get_last_vol(
realized_vol_dto_list)
realized_vol_list = [_.vol for _ in realized_vol_dto_list]
realized_vol = realized_vol_dto.vol
realized_vol_percentile = OtcAtmQuoteService.calc_percentile(
realized_vol_list, realized_vol)
if len(diagnostics) != 0:
diagnostic_list.extend(diagnostics)
# 计算implied vol序列的percentile与vol
implied_vol_dto_list, diagnostics = OtcAtmQuoteService. \
calc_instrument_atm_vol_list(db_session, instrument_id, start_date, end_date, is_primary=True)
implied_vol = None
implied_vol_percentile = None
if len(implied_vol_dto_list) != 0:
implied_vol_dto = OtcAtmQuoteService.get_last_vol(
implied_vol_dto_list)
implied_vol_list = [_.vol for _ in implied_vol_dto_list]
implied_vol = implied_vol_dto.vol
implied_vol_percentile = OtcAtmQuoteService.calc_percentile(
implied_vol_list, implied_vol)
if len(diagnostics) != 0:
diagnostic_list.extend(diagnostics)
heat_map_dto = OtcAtmQuoteService. \
to_heat_map_dto(short_name, contract_type, realized_vol_percentile, realized_vol, implied_vol,
implied_vol_percentile)
return heat_map_dto, diagnostic_list