Fixed ON FX expiry

cuemacro · Jan 16, 2021 · a17606e · a17606e
1 parent 12b2e7b
commit a17606e
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Showing 4 changed files with 7 additions and 4 deletions.
diff --git a/README.md b/README.md
@@ -125,6 +125,8 @@ individual data providers)
 
 # Coding log
 
+* 14 Jan 2021
+  * Fixed ON FX option date expiry
 * 10 Jan 2021
   * Added Dukascopy non-equities example
 * 08 Jan 2021

diff --git a/findatapy/market/market.py b/findatapy/market/market.py
@@ -659,9 +659,10 @@ def get_fx_implied_vol(self, start, end, cross, tenor, cut="BGN", data_source="b
 
             # Create very naive average of LDN and TOK to estimate 10am NY value because we often don't have this data
             # Note, this isn't perfect, particularly on days where you have payrolls data, and we're looking at ON data
+            # You might choose to create your own approximation for 10am NY
             for col in old_cols:
                 data_frame[col] = (1 * data_frame[col + "LDN"] + 3 * data_frame[col + "TOK"]) / 4
-
+                # data_frame[col] = data_frame[col + "LDN"]
                 data_frame.pop(col + "LDN")
                 data_frame.pop(col + "TOK")
 

diff --git a/findatapy/timeseries/calendar.py b/findatapy/timeseries/calendar.py
@@ -107,7 +107,7 @@ def _get_full_cal(self, cal):
                 bday = CustomBusinessDay(weekmask='Sat Sun')
 
                 holidays_list.append([x for x in pd.date_range('01 Jan 1999', '31 Dec 2025', freq=bday)])
-            elif cal == 'NOH': #
+            elif cal == 'WKD': #
                 pass
                 # holidays_list.append()
 
@@ -279,7 +279,7 @@ def get_expiry_date_from_horizon_date(self, horizon_date, tenor, cal=None, asset
             asset_holidays = self.get_holidays(cal=cal)
 
             if tenor_unit == 'ON':
-                tenor_digit = 1
+                tenor_digit = 1; tenor_unit = 'D'
             else:
                 tenor_digit = int(''.join(re.compile(r'\d+') .findall(tenor)))
 

diff --git a/findatapy_examples/dukascopy_example.py b/findatapy_examples/dukascopy_example.py
@@ -21,7 +21,7 @@
     # run_example = 1 - download EURUSD free tick data from DukasCopy example
     # run_example = 2 - download S&P500 free tick data from DukasCopy example
 
-    run_example = 2
+    run_example = 0
 
     if run_example == 1 or run_example == 0: