def test_volatility_surface(self):
stocks.fetch_historical('SPX', TEST_DB_NAME)
surface1 = structures.volatility_surface(
'SPX', self.test_timestamp.date(), 50, TEST_DB_NAME)
surface2 = OrderedDict([
(date(2016, 1, 15), [
(1985.0, 21.43), (1990.0, 21.19), (1995.0, 20.81),
(2000.0, 20.67), (2005.0, 20.12), (2010.0, 19.76),
(2015.0, 19.41), (2020.0, 19.06), (2025.0, 18.75),
(2030.0, 18.39),
]),
(date(2016, 2, 19), [
(1985.0, 19.14), (1990.0, 18.95), (1995.0, 18.74),
(2000.0, 18.51), (2005.0, 18.33), (2010.0, 18.12),
(2015.0, 17.93), (2020.0, 17.71), (2025.0, 17.51),
(2030.0, 17.31),
]),
(date(2016, 3, 18), [
(1985.0, 18.55), (1990.0, 18.41), (1995.0, 18.23),
(2000.0, 18.06), (2005.0, 17.91), (2010.0, 17.74),
(2015.0, 17.58), (2020.0, 17.41), (2025.0, 17.25),
(2030.0, 17.1),
]),
(date(2016, 4, 15), [(2000.0, 17.88), (2025.0, 17.17)]),
(date(2016, 6, 17), [(2000.0, 17.31), (2025.0, 16.86)]),
(date(2016, 9, 16), [(2000.0, 16.95), (2025.0, 16.6)]),
(date(2016, 12, 16), [(2000.0, 16.66), (2025.0, 16.36)]),
(date(2017, 1, 20), [(2000.0, 16.71), (2025.0, 16.48)]),
(date(2017, 6, 16), [(2000.0, 16.58), (2025.0, 16.36)]),
(date(2017, 12, 15), [(2000.0, 16.39), (2025.0, 16.24)]),
])
self.assertEqual(surface1, surface2)
def update_quotes():
"""Retrieves all required historical quotes"""
logger = logging.getLogger(__name__)
logger.info('Updating quotes ...')
all_symbols = [
'VIX', 'VXST', 'VXV', 'VXMT', 'VVIX', 'SPX', 'XIV', 'VXX', 'TLT']
for symbol in all_symbols:
stocks.fetch_historical(symbol)
structures.update_stocks_vol('SPX')
futures.fetch_historical('VX')
options.fetch_historical('SPX')
logger.info('Done')
def test_volatility_cone(self):
stocks.fetch_historical('SPX', TEST_DB_NAME)
structures.update_stocks_vol('SPX', TEST_DB_NAME)
cone1 = structures.volatility_cone(
'SPX', self.test_timestamp.date(), 252, TEST_DB_NAME)
cone2 = np.array([
[ 19.84, 16.89, 15.69, 15.88, 18.30, 15.39],
[ 5.82, 8.08, 9.37, 9.64, 10.81, 11.54],
[ 8.85, 9.43, 9.98, 10.50, 11.50, 11.69],
[ 9.83, 10.54, 11.18, 11.01, 12.26, 11.85],
[ 12.32, 12.41, 11.90, 12.57, 12.94, 12.3 ],
[ 16.04, 16.64, 18.51, 20.50, 16.94, 15.04],
[ 21.94, 26.19, 23.62, 21.59, 17.34, 15.3 ],
[ 43.41, 31.95, 25.45, 22.06, 18.30, 15.54],
])
self.assertTrue(np.array_equal(cone1, cone2))
def test_query_historical_multiple_quotes(self):
stocks.fetch_historical("SPX", TEST_DB_NAME)
stocks.fetch_historical("VIX", TEST_DB_NAME)
stocks.fetch_historical("AAPL", TEST_DB_NAME)
quotes = stocks.query_historical(["SPX", "VIX", "AAPL"], date(2015, 12, 15), TEST_DB_NAME)
self.assertEqual(quotes["SPX"].close, 2043.41)
self.assertEqual(quotes["VIX"].close, 20.95)
def test_query_historical_single_quote(self):
test_date = date(2015, 12, 15)
stocks.fetch_historical("SPX", TEST_DB_NAME)
quotes = stocks.query_historical(["SPX"], test_date, TEST_DB_NAME)
self._check_quotes(quotes, "SPX", test_date, 2043.41)
def test_fetch_historical_non_existing_symbol(self):
lines = stocks.fetch_historical("SPX1", TEST_DB_NAME)
self.assertEqual(lines, 0)
self._check_database_quotes("SPX1", lines, date(2015, 12, 15), None)
def test_fetch_historical_existing_cboe_vvix(self):
lines = stocks.fetch_historical("VVIX", TEST_DB_NAME)
self.assertGreater(lines, 0)
self._check_database_quotes("VVIX", lines, date(2015, 12, 15), 114.37)
def test_fetch_historical_existing_symbol_cboe(self):
lines = stocks.fetch_historical("VXST", TEST_DB_NAME)
self.assertGreater(lines, 0)
self._check_database_quotes("VXST", lines, date(2015, 12, 15), 23.05)
def test_fetch_historical_existing_symbol_yahoo(self):
lines = stocks.fetch_historical("SPX", TEST_DB_NAME)
self.assertGreater(lines, 0)
self._check_database_quotes("SPX", lines, date(2015, 12, 15), 2043.41)
def setUpClass(cls):
database.drop_db(TEST_DB_NAME)
stocks.fetch_historical('SPX', TEST_DB_NAME)
