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 |