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domokane avatar domokane commented on May 11, 2024

Agree. This is also on my to-do list. I can prioritise this.

Also, is it common for equity derivative traders to extract dividends and rates from put-call parity arguments ?

Also, what's your interest / experience in this area ? Are you able to contribute as a developer ?

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mattdoub avatar mattdoub commented on May 11, 2024

Ideally you have access to forwards directly. If you don't using the PUT-CALL parity will do the trick but the prices of the Calls and Puts as input need to be well contributed by market makers otherwise the quality of your forwards will be poor.
Finally, it is also common to have access to Vols quoted as Spot Moneyness (for example 3M 80%, where 80% means 0.8Spot_Price) and to have access to Vols quoted as Forward Moneyness (3M 80%, where 80% means 0.8Forward_Price). It becomes quite easy to retrieve the forward price from the equivalent 2 vol Smiles (One quoted spot moneyness and the other quoted forward moneyness)

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domokane avatar domokane commented on May 11, 2024

This is done. So I am closing this.

If you need a helper functions to extract the dividend from put-call prices let me know.

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