Variance risk on the FX market sing-along
Replication study engine for paper 'Variance risk on the FX market' by Igor Pozdeev
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.
On my machine: