Replication study engine for paper 'Variance risk on the FX market' by Igor Pozdeev
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README.md
calculations.ipynb

README.md

Variance risk on the FX market sing-along

Replication study engine for paper 'Variance risk on the FX market' by Igor Pozdeev

Installation

First, download library paper_vrp_mini containing necessary classes and functions. Make sure the library is where Python can find it. Then, download the database with previously estimated model-free implied variances from my page (60MB) and save it to location of your choice. This is an HDF-based data storage, for which paper_vrp_mini.database provides an API.

Finally, download and run the notebooks in this repository like any IPython notebooks.

Requirements

On my machine:

python conda pandas numpy
3.5.4 4.5.11 0.23.4 1.13.3