def calc_multiple_wing_models(option_data_list, spots, observed_date,
contract_type, days_in_year, holidays,
bounds_dict):
try:
underlyer_expire_dict = {}
# TODO Q(分红)值默认为0
q_value = 0
for item in spots:
underlyer_expire_dict[item.underlyer] = {
**underlyer_expire_dict.get(item.underlyer, {}),
**({
item.effectiveDays: item.spot
})
}
# underlyer_expire_dict = sorted(underlier_expire_dict.items(), key=lambda x:x[1].keys())
# x : strikePrice y : expiredate z :implied vol
# option_data : 标的物为key的dict
# expire_days: 出现过的失效日期
# spot: 失效日期为key的value
# 计算R-Q
bound_dict = WingModelDataAlgo.bound_gen(
bounds_dict[contract_type])
wing_model_list = []
for underlyer, expire_days in underlyer_expire_dict.items():
for expiry in expire_days.keys():
effective_days_num = DateTimeUtils.get_effective_days_num(
observed_date, expiry, holidays)
tau = effective_days_num / days_in_year
dto_wing_model = WingModelAlgo.calc_one_wing_model(
tau, underlyer, option_data_list, expire_days[expiry],
q_value, bound_dict)
dto_wing_model.underlyer = underlyer
dto_wing_model.tenor = str(effective_days_num) + 'D'
dto_wing_model.daysInYear = days_in_year
dto_wing_model.expiry = expiry
wing_model_list.append(dto_wing_model)
return wing_model_list
except Exception as ex:
logging.error(ex)
def get_effective_days_num(db_session, start_date, end_date):
holidays = TradingDayService.get_holiday_list(db_session)
return DateTimeUtils.get_effective_days_num(start_date, end_date,
holidays)