strategy.OptionStrategy Class Reference

Inheritance diagram for strategy.OptionStrategy:

Public Member Functions
def	set_size (self, size)
def	initialize (self)
def	greeks (self, day, vol=None)
def	get_orders (self, day, size, tag, entry=True)
def	position_diagram (self, current_date, evaluation_date, valuation_prices)
Public Member Functions inherited from strategy.OptionStrategyMeta
def	__new__ (cls, name, bases, namespace, **kwds)
def	__call__ (cls, *args, **kwargs)

Public Attributes
	size

Static Public Attributes
list	component_weights = []

Member Function Documentation

greeks()

def strategy.OptionStrategy.greeks	(		self,
			day,
			vol = None
	)

Calculates the greeks for the strategy.

initialize()

def strategy.OptionStrategy.initialize

(

self

)

Other initialization for strategy.

Reimplemented in butterfly.Butterfly, option_spread.OptionSpread, straddle.Straddle, strangle.Strangle, and plain.NakedOption.

position_diagram()

def strategy.OptionStrategy.position_diagram	(		self,
			current_date,
			evaluation_date,
			valuation_prices
	)

Computes position diagram for option.

Will return value of option up to 4 standard deviations away from strike.

If day_offset is None we return value at expiry, otherwise we price the option.

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

• strategy.py