Inheritance diagram for data_manager.OptionsDataManager:
Public Member Functions | |
| def | __init__ (self, regex_match, exch_code, exch_symbol, strike_increment=0.05, moneyness_increment=0.005, verbose=False, days_before_expiry=300) |
| def | load_ivm_data (self, regex, prefix, ivs=False) |
| def | get_ivm_data (self, day) |
| def | get_all_ivs (self) |
| def | get_implied_volatilities (self, month, year_or_continuous) |
| def | get_atm_volatilities (self, month, year_or_continuous) |
Public Attributes | |
| ivm_data | |
| ivs_data | |
| available_from | |
| strike_increment | |
| moneyness_increment | |
| verbose | |
| days_before_expiry | |
Detailed Description
The OptionsDataManager holds data for the implied volatility curves. When an option is requested, we compute its prices and return them.
Member Function Documentation
◆ get_all_ivs()
| def data_manager.OptionsDataManager.get_all_ivs | ( | self | ) |
Returns all ivs for every datapoint.
◆ get_implied_volatilities()
| def data_manager.OptionsDataManager.get_implied_volatilities | ( | self, | |
| month, | |||
| year_or_continuous | |||
| ) |
Here we get the data for a particular option contract. We use the strike increment and the min/max moneyness = ln(strike/f0) to price the options. We return the implied volatilities for those options
The documentation for this class was generated from the following file:
- data_manager.py
