def average_realized_volatility(
self,
tenor: str,
returns_type: Returns = Returns.SIMPLE,
*,
real_time: bool = False,
request_id: Optional[str] = None) -> pd.Series:
"""
Weighted average realized volatility
:param tenor: relative date representation of expiration date e.g. 1m
:param returns_type: returns type
:param real_time: whether to retrieve intraday data instead of EOD
:param request_id: service request id, if any
:return: time series of the average realized volatility
"""
if real_time:
raise NotImplementedError(
'real-time basket realized vol not implemented')
spot_df = self.get_spot_data(request_id=request_id)
actual_weights = self.get_actual_weights(request_id=request_id)
vols = [
volatility(spot_df[asset_id], Window(tenor, tenor), returns_type)
for asset_id in spot_df
]
vols = pd.concat(vols, axis=1)
vols.columns = self.get_marquee_ids()
return actual_weights.mul(vols).sum(axis=1, skipna=False)
def average_realized_volatility(self, tenor: str, returns_type: Returns = Returns.SIMPLE, *,
real_time: bool = False, request_id: Optional[str] = None) -> pd.Series:
"""
Weighted average realized volatility
:param tenor: relative date representation of expiration date e.g. 1m
:param returns_type: returns type
:param real_time: whether to retrieve intraday data instead of EOD
:param request_id: service request id, if any
:return: time series of the average realized volatility
"""
if real_time:
raise NotImplementedError('real-time basket realized vol not implemented')
spot_df = self.get_spot_data(request_id=request_id)
actual_weights = self.get_actual_weights(request_id=request_id)
# Add in today's data
if not real_time and DataContext.current.end_date >= datetime.date.today():
recent_spot = ts.get_last_for_measure(self.get_marquee_ids(), QueryType.SPOT, {}, request_id=request_id)
if recent_spot is not None and len(recent_spot):
recent_spot.index.rename('date', inplace=True)
spot_df = spot_df.append(recent_spot.pivot_table('spot', ['date'], 'assetId'))
vols = [volatility(spot_df[asset_id], Window(tenor, tenor), returns_type) for asset_id in spot_df]
vols = pd.concat(vols, axis=1)
vols.columns = list(spot_df)
# Necessary when current values appended - set weights index to match vols index
actual_weights = actual_weights.reindex(vols.index).fillna(method='pad')
return actual_weights.mul(vols, axis=1).sum(axis=1, skipna=False)
def average_realized_volatility(
self,
tenor: str,
returns_type: Returns = Returns.LOGARITHMIC,
*,
real_time: bool = False,
request_id: Optional[str] = None) -> pd.Series:
"""
Weighted average realized volatility
:param tenor: relative date representation of expiration date e.g. 1m
:param returns_type: returns type
:param real_time: whether to retrieve intraday data instead of EOD
:param request_id: service request id, if any
:return: time series of the average realized volatility
"""
if real_time:
raise NotImplementedError(
'real-time basket realized vol not implemented')
spot_df = self.get_spot_data(request_id=request_id)
actual_weights = self.get_actual_weights(request_id=request_id)
vols = [
volatility(spot_df[asset_id], Window(tenor, tenor), returns_type)
for asset_id in spot_df
]
vols = pd.concat(vols, axis=1)
vols.columns = list(spot_df)
# Necessary when current values appended - set weights index to match vols index
actual_weights = actual_weights.reindex(
vols.index).fillna(method='pad')
return actual_weights.mul(vols, axis=1).sum(axis=1, skipna=False)
def process(self):
a_data = self.children_data.get('a')
if isinstance(a_data, ProcessorResult):
if a_data.success:
result = volatility(a_data.data, self.w, self.returns_type)
self.value = ProcessorResult(True, result)
else:
self.value = ProcessorResult(False, 'Could not compute volatility')
else:
self.value = ProcessorResult(False, 'Processor does not have data')
def average_realized_volatility(
self,
tenor: str,
returns_type: Returns = Returns.SIMPLE,
*,
real_time: bool = False,
request_id: Optional[str] = None) -> pd.Series:
"""
Weighted average realized volatility
:param tenor: relative date representation of expiration date e.g. 1m
:param returns_type: returns type
:param real_time: whether to retrieve intraday data instead of EOD
:param request_id: service request id, if any
:return: time series of the average realized volatility
"""
if real_time:
raise NotImplementedError(
'real-time basket realized vol not implemented')
q = GsDataApi.build_market_data_query(self.get_marquee_ids(),
QueryType.SPOT)
log_debug(request_id, _logger, 'q %s', q)
spot_data = GsDataApi.get_market_data(q, request_id=request_id)
grouped = spot_data.groupby('assetId')
spot_series = [
grouped.get_group(mqid)['spot'] for mqid in self.get_marquee_ids()
]
actual_weights = _calculate_basket(spot_series,
self.weights,
rebal_freq=self.rebal_freq)[1]
actual_weights.columns = self.get_marquee_ids()
vols = [
volatility(s, Window(tenor, tenor), returns_type)
for s in spot_series
]
vols = pd.concat(vols, axis=1)
vols.columns = self.get_marquee_ids()
return actual_weights.mul(vols).sum(axis=1, skipna=False)