khrapovs / vix Goto Github PK

The error happened in this line:
options4['dK'] = options4.groupby(level = ['Date','Days'])['Strike'].apply(compute_adjoining_strikes_diff)

Exception has occurred: ValueError
cannot handle a non-unique multi-index!

options4 shape is (246,3)
options4.index is MultiIndex, like
MultiIndex([('2009-01-01', 9),
('2009-01-01', 9),
('2009-01-01', 9),
('2009-01-01', 9),
('2009-01-01', 9),
('2009-01-01', 9),
('2009-01-01', 9),
('2009-01-01', 9),
('2009-01-01', 9),
('2009-01-01', 9),
...
('2009-01-01', 37),
('2009-01-01', 37),
('2009-01-01', 37),
('2009-01-01', 37),
('2009-01-01', 37),
('2009-01-01', 37),
('2009-01-01', 37),
('2009-01-01', 37),
('2009-01-01', 37),
('2009-01-01', 37)],
names=['Date', 'Days'], length=246)

So any idea on this issue? Thanks!

Hi

I am getting KeyError while running the replicate vix code. I have created both yield.csv and options.csv from the source file. But when I run the application, I get KeyError for 'P' ( I guess Puts).

Thanks
Mudit

Traceback (most recent call last):
File "../reproduce_vix.py", line 424, in
vixvalue = whitepaper()
File "../reproduce_vix.py", line 387, in whitepaper
options2 = put_call_parity(options2)
File "../reproduce_vix.py", line 175, in put_call_parity
options['CPdiff'] = (options['C'] - options['P']).abs()
File "/usr/local/lib/python2.7/dist-packages/pandas/core/frame.py", line 1969, in getitem
return self._getitem_column(key)
File "/usr/local/lib/python2.7/dist-packages/pandas/core/frame.py", line 1976, in _getitem_column
return self._get_item_cache(key)
File "/usr/local/lib/python2.7/dist-packages/pandas/core/generic.py", line 1091, in _get_item_cache
values = self._data.get(item)
File "/usr/local/lib/python2.7/dist-packages/pandas/core/internals.py", line 3211, in get
loc = self.items.get_loc(item)
File "/usr/local/lib/python2.7/dist-packages/pandas/core/index.py", line 1759, in get_loc
return self._engine.get_loc(key)
File "pandas/index.pyx", line 137, in pandas.index.IndexEngine.get_loc (pandas/index.c:3979)
File "pandas/index.pyx", line 157, in pandas.index.IndexEngine.get_loc (pandas/index.c:3843)
File "hashtable.pyx", line 668, in pandas.hashtable.PyObjectHashTable.get_item (pandas/hashtable.c:11463)
File "hashtable.pyx", line 676, in pandas.hashtable.PyObjectHashTable.get_item (pandas/hashtable.c:11416)
KeyError: 'P'