security.FuturesOptionSecurity Class Reference

Inheritance diagram for security.FuturesOptionSecurity:

Public Member Functions
def	__init__ (self, FutureSecurity underlying, option_type option_type, float strike, Union[pd.Series, pd.DataFrame] implied_volatilities, pd.Series rates, pd.Series time_to_maturity, pd.Series underlying_prices)
def	moneyness (self, day)
def	moneyness_over_time (self)
def	data (self)
def	greeks (self, day, vol=None, spot=None)
def	diffs (self)
def	price (self, day)
def	implied_volatility (self, day)
def	get_contract_data_by_code (self, master_code)
def	__repr__ (self)
def	delta_hedged_portfolio (self, alpha=0, beta=0, zeta=0)
def	data_for_forecasters (self, day=None)
Public Member Functions inherited from security.Security
def	greeks (self, *args, **kwargs)

Public Attributes
	underlying
	instrument
	futures_contract
	strike
	type
	rates
	underlying_prices
	ttm
	implied_volatilities
	maturity
	symbol

Static Public Attributes
	maxsize

Detailed Description

FuturesOptionSecurity is a particular futures option contract.

Member Function Documentation

data_for_forecasters()

def security.FuturesOptionSecurity.data_for_forecasters	(		self,
			day = None
	)

Creates the data for forecasters

delta_hedged_portfolio()

def security.FuturesOptionSecurity.delta_hedged_portfolio	(		self,
			alpha = 0,
			beta = 0,
			zeta = 0
	)

Returns the returns of the delta hedged portfolio

greeks()

def security.FuturesOptionSecurity.greeks	(		self,
			day,
			vol = None,
			spot = None
	)

Computes greeks for option for a particular day.

Volatility is forward volatility estimate up to trade duration/maturity.

implied_volatility()

def security.FuturesOptionSecurity.implied_volatility	(		self,
			day
	)

Estimates volatility. Right now I'll go the simple 30d rolling vol.

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The documentation for this class was generated from the following file:

• security.py