Python金融正太var-协方差模型外部传参

python金融正太var-协方差外部传参

一直不懂外部传参是啥玩意
然后发现python中的sys.argv，好像可以用上在这里…就不用登录本地编辑器比如Pycharm在线运行那段代码给那段代码进行传参了
用dos命令行也可以！

运行情况如下：

注意第一个传的值为列表，第二个为小数，第三个为整数（也能小数）

附上代码

import sys
import numpy as np
import scipy.stats as st
from pandas import DataFrame

# 设P0为固值
P0 = 1000

# 到时候外部传参下边可以用这段进行（这是ziliao的参数）
# 6.8272,6.8474,6.8647,6.8925,6.8855,6.9116,6.9180,6.9179,6.9143,6.9192,6.9215,6.9318,6.9501,6.9440,6.9363,6.9413,6.9611,6.9680,6.9535,6.9366,6.9735,6.9809


def aaa(arf,N,ziliao):
    # print(ziliao)
    #这个时候因为ziliao传入进来，是"6",".","8","2"这种形式，所以先对列表进行整合
    sum1 = ''
    for i in ziliao:
        sum1+=i
    # 这个时候sum1是一个字符串，内容包含6.8272,6.8474,6.8647,6.8925,6.8855,6.9116,6.9180,6.9179,6.9143,6.9192,6.9215,6.9318,6.9501,6.9440,6.9363,6.9413,6.9611,6.9680,6.9535,6.9366,6.9735,6.9809这些，所以进行切割
    # 同时为了方便还是取“ziliao”这个变量名，这个时候“ziliao”的内容为["6.8272","6.8474"]这些
    ziliao = sum1.split(",")

    # 为了让ziliao的内容变为[6.8272,6.8474],再用一次for循环（这是我笨人的笨方法..）
    sum=[]
    for i in ziliao:
        i = float(i)
        sum.append(i)
    # print(sum)
    ziliao = sum


    ziliao_return = DataFrame(ziliao)

    # 股票日收益
    stock_return = np.log(ziliao_return/ziliao_return.shift(1))

    # 删除缺失行
    stock_return = stock_return.dropna()
    # print(stock_return)
    a = stock_return.loc[:]
    # print(a)
    # a_mean为平均收益率  b为保留小数点后四位的a_mean
    a_mean =a.mean()
    b = "%.4f" % a_mean
    b = float(b)
    # a_mean = "%.2f%%" % (a.mean()*100)

    # p是置信水平在不同情况下（0.9或者0.95或者0.99）的平均收益率
    p = np.percentile(a, (1, 5, 10), interpolation='midpoint')

    if arf ==0.95:
        p = np.abs(p[1])
    elif arf==0.90 or arf==0.9:
        p = np.abs(p[0])
    elif arf==0.99:
        p = np.abs(p[2])
    # print(p)

    # z是置信水平在不同情况下（0.9或者0.95或者0.99）的取值
    z = st.norm.ppf(q=1 - arf)
    # z取绝对值
    z = np.abs(z)
    # print(z)

    # t是持有天数
    t = np.sqrt(N)

    # print(b,p,z,t)
    return b,p,z,t

# a1,a2,a3是外部传参，a1传参为列表
a2 = float(sys.argv[2])
# print(a2)
a3 = float(sys.argv[3])
# print(a3)
a1 = list(sys.argv[1])
# print(a1)

ttt = list(aaa(a2,a3,a1))
# print(ttt)
# print(ttt[0])
var_N = ttt[3]*P0*(ttt[2]*ttt[1]-float(ttt[0]))
print(var_N)