python 波动率套利_矿工代码篇：Python根据70天交易日计算波动率

#encoding: utf8

import tushare as ts

import os

import csv

import time

import pandas as pd

import math

import numpy as np

from scipy.stats import norm

def sigma(code):

# 定义交易天数

n = 70

difflntotal = []

##定义时间

today = str(time.strftime('%Y-%m-%d', time.localtime(time.time())))

df = ts.get_k_data(code, start='2017-01-01', end=today, ktype='d')

for i in range(n):

# 前日收盘价

xclose = df.iloc[i - n - 1].close

# 昨日收盘价

yclose = df.iloc[i - n].close

# 计算对数

lnxclose = math.log(xclose, math.e)

lnyclose = math.log(yclose, math.e)

# 计算对数差并传入数组

diffln = lnyclose - lnxclose

difflntotal.append(diffln)

# print(xclose,yclose,lnxclose,lnyclose,diffln)

#print(difflntotal)

#昨日收盘价

yclose_default=df.iloc[-1].close

# 计算标准差

stdclose = np.std(difflntotal)

# 计算volitality

volitality = stdclose * 100 * math.sqrt(256)

#print(stdclose, volitality)

return yclose_default,volitality

#计算B-S定价公式

def bs(code,month,rate):

#计算volitality

sig=sigma(code)

vol=sig[1]/100

yclose=sig[0]

#定义默认值 s现股价格 k执行价格 t周期 r利率

s=100

k=100

t=month/12

r=rate

#计算B-S D1

#D1=(math.log(s/k,math.e)+(r+np.square(vol)/2)*t)/(vol*np.sqrt(t))

#计算B-S D2

#D2=D1-vol*np.sqrt(t)

#计算 询价

#call=s*norm.cdf(D1)-s*math.exp(-r*t)*norm.cdf(D2)

#计算 OUT价

#out=k*math.exp(-r*t)*norm.cdf(-D2)-s*norm.cdf(-D1)

#计算估价

#call_fix=call/1.13

#返回收盘价、波动率、1月报价、2月报价、3月报价

return yclose,vol

##上市3000家公司

list_csv=csv.reader(open('/usr/local/bin/csvtestlist.csv'))

##定义文件时间

todayformat=str(time.strftime('%Y%m%d',time.localtime(time.time())))

filename_20d='/usr/local/bin/stockvol'+todayformat+'.txt'

#每家公司最终结果

##计算每家公司的volitality

for row in list_csv:

#rowpub=row[0].zfill(6) 不足6位以0补齐

#print(rowpub)

#print(row)

try:

#输入股票code，周期month，利率10%~12%

bs_result = bs(row[0],1,0.12)

except:

default=0

row.append(bs_result[0])

row.append(default)

print(row)

else:

row.append(bs_result[0])

row.append(bs_result[1])

print(row)

#保存每条公司vol数据

out=open(filename_20d,'a')

#csv_write=csv.writer(out,dialect='excel')

#csv_write.writerow(row)

out.write('\n'+str(row))