Exemplos de weightedAvg em Python

Exemplo n.º 1

Arquivo: optionChainSynopsis.py Projeto: PrabhuMMoorthy/EcoFin-Library

    def computeImpliedVolatilitySpread(self):
        if self.avaiableIV:
            mean = weightedAvg(self.data['IV_spread'], self.weights)
            std = weightedStd(self.data['IV_spread'], self.weights)
        else:
            mean = None
            std = None

        return namedtuple('OPS', ['mean', 'std'])(**{"mean": mean, "std": std})

Exemplo n.º 2

Arquivo: optionPriceSpread.py Projeto: LucaCamerani/EcoFin-Library

                alpha=.3)[0])

axs[2].legend(lines, [l.get_label() for l in lines], loc=0)

plt.figtext(.9,
            0.02,
            "{} | {}".format(optionChain.getChainDate(),
                             optionChain.getChainExpiration()),
            ha="right",
            fontsize=10,
            bbox={
                "facecolor": "orange",
                "alpha": 0.2,
                "pad": 8
            })
plt.show()

summary = {
    'Mean': weightedAvg(data['spreadSummary'], data['weights']),
    'Std': weightedStd(data['spreadSummary'], data['weights'])
}
print('Summary: {}'.format(summary))

# ----------------------[EXPORT BLOCK]--------------------------------
path = '../Export/[{}]_({})'.format(ticker.ticker, ticker_info.longName)
if not os.path.exists(path):
    os.makedirs(path)

fig.savefig('{}/optionPriceSpread_[{}].png'.format(path, exp))
# ----------------------[EXPORT BLOCK]--------------------------------

Exemplo n.º 3

                alpha=.3)[0])

axs[2].legend(lines, [l.get_label() for l in lines], loc=0)

plt.figtext(.9,
            0.02,
            "{} | {}".format(optionChain.getChainDate(),
                             optionChain.getChainExpiration()),
            ha="right",
            fontsize=10,
            bbox={
                "facecolor": "orange",
                "alpha": 0.2,
                "pad": 8
            })
plt.show()

summary = {
    'Mean': weightedAvg(data['openInterestRatio'], data['weights']),
    'Std': weightedStd(data['openInterestRatio'], data['weights'])
}
print('Summary: {}'.format(summary))

# ----------------------[EXPORT BLOCK]--------------------------------
path = '../Export/[{}]_({})'.format(ticker.ticker, ticker_info.longName)
if not os.path.exists(path):
    os.makedirs(path)

fig.savefig('{}/optionPriceSpread_[{}].png'.format(path, exp))
# ----------------------[EXPORT BLOCK]--------------------------------

Exemplo n.º 4

                alpha=.3)[0])

axs[2].legend(lines, [l.get_label() for l in lines], loc=0)

plt.figtext(.9,
            0.02,
            "{} | {}".format(optionChain.getChainDate(),
                             optionChain.getChainExpiration()),
            ha="right",
            fontsize=10,
            bbox={
                "facecolor": "orange",
                "alpha": 0.2,
                "pad": 8
            })
plt.show()

summary = {
    'Mean': weightedAvg(data['IV_spread'], data['weights']),
    'Std': weightedStd(data['IV_spread'], data['weights'])
}
print('Summary: {}'.format(summary))

# ----------------------[EXPORT BLOCK]--------------------------------
path = '../Export/[{}]_({})'.format(ticker.ticker, ticker_info.longName)
if not os.path.exists(path):
    os.makedirs(path)

fig.savefig('{}/impliedVolatilitySpread_[{}].png'.format(path, exp))
# ----------------------[EXPORT BLOCK]--------------------------------

Exemplo n.º 5

Arquivo: optionChainSynopsis.py Projeto: PrabhuMMoorthy/EcoFin-Library

    def computeOpenInterestRatio(self):
        mean = weightedAvg(self.data['openInterestRatio'], self.weights)
        std = weightedStd(self.data['openInterestRatio'], self.weights)

        return namedtuple('OIR', ['mean', 'std'])(**{"mean": mean, "std": std})

Exemplo n.º 6

Arquivo: optionChainSynopsis.py Projeto: PrabhuMMoorthy/EcoFin-Library

    def computeOptionPriceSpread(self):
        mean = weightedAvg(self.data['spreadSummary'], self.weights)
        std = weightedStd(self.data['spreadSummary'], self.weights)

        return namedtuple('OPS', ['mean', 'std'])(**{"mean": mean, "std": std})