April 2019
Intermediate to advanced
426 pages
11h 13m
English
Content preview from Mastering Python for Finance - Second Edition
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Calculating the required minutes
The formula for calculating the VIX is given as follows:
Here, the following applies:
- T1 is the number of years to settlement of the near-term options
- T2 is the number of years to settlement of the next-term options
- NT1 is the number of minutes to settlement of the near-term options
- NT2 is the number of minutes to settlement of the next-term options
- N30 is the number of minutes in 30 days
- N365 is the number of minutes in a year with 365 days
Let's find out these values in Python:
In [ ]: dt_start_year = dt_current.replace( month=1, day=1, hour=0, minute=0, second=0) dt_end_year = dt_start_year.replace(year=dt_current.year+1) ...
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