Mastering Python for Finance - Second Edition

Calculating multiple VIX indexes

With a single VIX value calculated for a particular trading day, we can reuse the defined functions to calculate VIX values over a time period.

Let's write a function, process_file(), to process a single file path, and return the calculated VIX Index:

In [ ]:    def process_file(filepath):        """        Reads the filepath and calculates the VIX index.        :param filepath: path the options chain file        :return: VIX index value        """        headers, calls_and_puts = read_file(filepath)            dt_current = get_dt_current(headers)        chain = generate_options_chain(calls_and_puts)        (dt_near, dt_next) = find_option_terms(chain, dt_current)        N_t1 = Decimal((dt_near-dt_current).total_seconds() // 60) N_t2 = Decimal((dt_next-dt_current).total_seconds() ...