ListedAsOTCOptionBase

class sigtech.framework.instruments.options.ListedAsOTCOptionBase

Baseclasses: FrameworkObject

Subclasses: EquityIndexListedAsOTCOption, CommodityFutureListedAsOTCOption

A base class implementing listed OTC option instruments.

imply_vol_from_price: Optional[bool]

listed_name: str

property listed_option

Obtain the original listed option.

static generic_invent_ticker(listed_option, imply_vol_from_price)

Generic class ticker given a listed option.

Parameters:

• listed_option – Listed option object.

• imply_vol_from_price – True if the volatility is implied from listed price data.

Returns:

str.

implied_vol()

Implied volatility of the instrument.

metrics(fields=None, data_dates=None, data_point=None, vol_override=None)

Get time series of standard option Greeks and/or NPV, determined by the fields parameter. All Greeks are the actual derivatives, computed analytically or numerically, depending on the option and pricer type.

Parameters:

• fields – Name of a Greek or ‘NPV’ to output. Can be a list, e.g. [‘NPV’,’Delta’,’Vega’]. If None is passed, all available metrics are returned. A list of Greeks for the_option can be obtained from the_option.greek_fields.

• data_dates – (Optional) Date or list of dates for which the option metrics are needed. If None is passed, the full time series is returned.

• data_point – (Optional) Valuation data point.

• vol_override – (Optional) fixed constant vol to be used over all dates instead of the market implied vols, or pd.Series of constant vols per date (forward filling the missing ones).

Returns:

Time series of the requested metrics.

classmethod new_option_from_listed(orig_listed_option, model_priced_args, opt_class, imply_vol_from_price)

Create a new option instrument from a listed option.

Parameters:

• orig_listed_option – Listed option object.

• model_priced_args – Model price arguments.

• opt_class – Option class type.

• imply_vol_from_price – True if the volatility is implied from listed price data.

Returns:

Object.

trade_group()

Option group used for specifying type of traded options.