如何在 dplyr 中使用基类 数据

问题描述

我正在尝试使用 RQuantLib 包来计算使用 EuropeanImpliedVolatility 函数的数据帧中期权的隐含波动率。该函数返回一个基类并得到错误 library(tidyverse) library(RQuantLib) book <- data.frame( type=c("call","call","put","put"),strike=c(27800,27600,27400,24800,24600,24400),last=c(240,280,320,310,270,230),underlying=rep(26425,6),dividendYield=rep(0,riskFreeRate=rep(0.015,maturity=rep(39/365,6) ) %>% rowwise() %>% mutate( impvol= EuropeanoptionImpliedVolatility(type,value=last,underlying,strike,dividendYield,riskFreeRate,maturity,volatility=0.4) ) 。

在 dplyr 中使用基类的正确方法是什么？

@client.command()
async def play(ctx,url : str):
song_there = os.path.isfile("song.mp3")
try:
    if song_there:
        os.remove("song.mp3")
except PermissionError:
    await ctx.send("Wait for the current playing music to end or use the 'stop' command")
    return

voiceChannel = ctx.message.author.voice.channel
await voiceChannel.connect()
voice = discord.utils.get(client.voice_clients,guild=ctx.guild)
SAVE_PATH = "C:\\Users\\Myname\\Desktop\\Projet_Python\\discord_Bot\\"

ydl_opts = {
    'format': 'bestaudio/best','postprocessors': [{
        'key': 'FFmpegExtractAudio','preferredcodec': 'mp3','preferredquality': '192',}],'outtmpl': SAVE_PATH + '/%(title)s.%(ext)s',}
with youtube_dl.YoutubedL(ydl_opts) as ydl:
    ydl.download([url])

for file in os.listdir("./"):
    if file.endswith(".m4a"):
        os.rename(file,"song.mp3")

try:
    voice.play(discord.FFmpegPCMAudio((SAVE_PATH + "song.mp3")))
except Exception as e:
    print(e)

解决方法

有一些属性会导致问题。我们可以用 as.numeric

包裹

library(dplyr)
library(RQuantLib)
book %>%
   rowwise %>%
    mutate(impvol = as.numeric(EuropeanOptionImpliedVolatility(type,value=last,underlying,strike,dividendYield,riskFreeRate,maturity,volatility = 0.4)))

-输出

# A tibble: 6 x 8
# Rowwise: 
#  type  strike  last underlying dividendYield riskFreeRate maturity impvol
#  <chr>  <dbl> <dbl>      <dbl>         <dbl>        <dbl>    <dbl>  <dbl>
#1 call   27800   240      26425             0        0.015    0.107  0.204
#2 call   27600   280      26425             0        0.015    0.107  0.202
#3 call   27400   320      26425             0        0.015    0.107  0.197
#4 put    24800   310      26425             0        0.015    0.107  0.275
#5 put    24600   270      26425             0        0.015    0.107  0.277
#6 put    24400   230      26425             0        0.015    0.107  0.278

---

或包裹在 list 中，如果我们想保持这样的属性

book %>% 
   rowwise %>% 
   mutate(impvol = list(EuropeanOptionImpliedVolatility(type,volatility=0.4))) 

-输出

# A tibble: 6 x 8
# Rowwise: 
#  type  strike  last underlying dividendYield riskFreeRate maturity impvol        
#  <chr>  <dbl> <dbl>      <dbl>         <dbl>        <dbl>    <dbl> <list>        
#1 call   27800   240      26425             0        0.015    0.107 <ErpnOpIV [1]>
#2 call   27600   280      26425             0        0.015    0.107 <ErpnOpIV [1]>
#3 call   27400   320      26425             0        0.015    0.107 <ErpnOpIV [1]>
#4 put    24800   310      26425             0        0.015    0.107 <ErpnOpIV [1]>
#5 put    24600   270      26425             0        0.015    0.107 <ErpnOpIV [1]>
#6 put    24400   230      26425             0        0.015    0.107 <ErpnOpIV [1]>
 

---

或者带有 pmap

的其他选项

library(purrr)
book %>%
    mutate(impvol = pmap_dbl(.,~ EuropeanOptionImpliedVolatility(..1,value = ..3,..4,..2,..5,..6,..7,volatility = 0.4)))
#  type strike last underlying dividendYield riskFreeRate  maturity    impvol
#1 call  27800  240      26425             0        0.015 0.1068493 0.2044270
#2 call  27600  280      26425             0        0.015 0.1068493 0.2019167
#3 call  27400  320      26425             0        0.015 0.1068493 0.1973822
#4  put  24800  310      26425             0        0.015 0.1068493 0.2745614
#5  put  24600  270      26425             0        0.015 0.1068493 0.2773029
#6  put  24400  230      26425             0        0.015 0.1068493 0.2780447

数据

book <- data.frame(
      type=c("call","call","put","put"),strike=c(27800,27600,27400,24800,24600,24400),last=c(240,280,320,310,270,230),underlying=rep(26425,6),dividendYield=rep(0,riskFreeRate=rep(0.015,maturity=rep(39/365,6)
    )