python 波动率_使用Python+numpy实现简单波动率计算

import os

import sys

import numpy as np

import datetime as dt

gs_weekdays = ('MON','TUS','WED','THU','FRI','SAT','SUN')

def dmytoweekday(dmy):

return dt.datetime.strptime(str(dmy,encoding='utf-8'),'%d-%m-%Y').date().weekday()

def readdata(filename):

weekdays,closing_prices = np.loadtxt(filename,delimiter=',',usecols=(1,6),unpack=True,converters={1:dmytoweekday})

return weekdays,closing_prices

def calc_average_price(weekdays,closing_prices):

average_prices = np.zeros(5)

for weekday in range(len(average_prices)):

average_prices[weekday] = np.take(closing_prices,np.where(weekdays == weekday)).mean()

return average_prices

def main(argc,argv,env):

weekdays,closing_prices = readdata('aapl.csv')

average_prices = calc_a