def get_volatility_surface():
data = structures.volatility_surface("SPX", get_db_date()).values()
for expiration in xrange(min(3, len(data))):
keys, values = zip(*data[expiration])
values = np.round(smooth.savitzky_golay(np.array(values), window_size=11, order=3), 2)
data[expiration] = zip(keys, values)
return jsonify({"root": data})
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)
