From 908309c519dd063db8fc8684d01321b717d3c7db Mon Sep 17 00:00:00 2001 From: Boyuan Ning <73546421+ningboyuan@users.noreply.github.com> Date: Sun, 13 Mar 2022 03:31:31 +0100 Subject: [PATCH] Update OptionPricing_IVSimulation.py --- .../OptionPricing_IVSimulation.py | 10 +++++----- 1 file changed, 5 insertions(+), 5 deletions(-) diff --git a/DEDA_Class_2017_Statistics&Finance/OptionPricing_IVSimulation.py b/DEDA_Class_2017_Statistics&Finance/OptionPricing_IVSimulation.py index f577c8d..dd8a1bd 100644 --- a/DEDA_Class_2017_Statistics&Finance/OptionPricing_IVSimulation.py +++ b/DEDA_Class_2017_Statistics&Finance/OptionPricing_IVSimulation.py @@ -150,12 +150,12 @@ def bsm_call_imp_vol(S0, K, T, r, C0, sigma_est, it=100): futures_data = pd.read_hdf('DEDA_Class_2017_Statistics&Finance/source/vstoxx_data.h5', key='futures_data', mode='r') options_data = pd.read_hdf('DEDA_Class_2017_Statistics&Finance/source/vstoxx_data.h5', key='options_data', mode='r') -# Altering timestamp to datetime -futures_data['DATE'] = futures_data['DATE'].apply(lambda x: dt.datetime.fromtimestamp(x / 1e9)) -futures_data['MATURITY'] = futures_data['MATURITY'].apply(lambda x: dt.datetime.fromtimestamp(x / 1e9)) -options_data['DATE'] = options_data['DATE'].apply(lambda x: dt.datetime.fromtimestamp(x / 1e9)) -options_data['MATURITY'] = options_data['MATURITY'].apply(lambda x: dt.datetime.fromtimestamp(x / 1e9)) + + + + + options_data[['DATE', 'MATURITY', 'TTM', 'STRIKE', 'PRICE']].head() options_data['IMP_VOL'] = 0.0 # new column for implied volatilities