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Update OptionPricing_IVSimulation.py #16

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Update OptionPricing_IVSimulation.py #16

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10 changes: 5 additions & 5 deletions DEDA_Class_2017_Statistics&Finance/OptionPricing_IVSimulation.py
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Original file line number Diff line number Diff line change
Expand Up @@ -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
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