Comments (3)
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 ?
from financepy.
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)
from financepy.
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.
from financepy.
Related Issues (20)
- Some swap suggestions
- argument type issue - FXVanillaOption with SABR model HOT 3
- Re-generate manual when master is updated HOT 5
- Date Schedule._generate issue HOT 2
- Example of SOFR curve
- Potential issues for CDS pricing HOT 4
- Major implementation change for ibor_swap? A notebook example doesn't tie out anymore. HOT 12
- Bond Curve Fitting HOT 1
- Inconsistency in Day Count in Index Curve? HOT 3
- CDSOption insensitive to vol for Receiver HOT 4
- Division with wrong day count convention causes incorrect forward rates HOT 1
- Bond OAS and accrued interest HOT 2
- barrierOpt.value issue HOT 2
- choose to apply a Black'76 in Fx Vanilla option HOT 1
- Build SOFR curve - suggestions
- Updated FINGBMPROCESS_generatePaths HOT 4
- Backtesting of Strategy HOT 4
- 'bond.print_payments' error HOT 2
- typo in "acccrued"
- Name 'swap_types' is not defined HOT 3
Recommend Projects
-
React
A declarative, efficient, and flexible JavaScript library for building user interfaces.
-
Vue.js
🖖 Vue.js is a progressive, incrementally-adoptable JavaScript framework for building UI on the web.
-
Typescript
TypeScript is a superset of JavaScript that compiles to clean JavaScript output.
-
TensorFlow
An Open Source Machine Learning Framework for Everyone
-
Django
The Web framework for perfectionists with deadlines.
-
Laravel
A PHP framework for web artisans
-
D3
Bring data to life with SVG, Canvas and HTML. 📊📈🎉
-
Recommend Topics
-
javascript
JavaScript (JS) is a lightweight interpreted programming language with first-class functions.
-
web
Some thing interesting about web. New door for the world.
-
server
A server is a program made to process requests and deliver data to clients.
-
Machine learning
Machine learning is a way of modeling and interpreting data that allows a piece of software to respond intelligently.
-
Visualization
Some thing interesting about visualization, use data art
-
Game
Some thing interesting about game, make everyone happy.
Recommend Org
-
Facebook
We are working to build community through open source technology. NB: members must have two-factor auth.
-
Microsoft
Open source projects and samples from Microsoft.
-
Google
Google ❤️ Open Source for everyone.
-
Alibaba
Alibaba Open Source for everyone
-
D3
Data-Driven Documents codes.
-
Tencent
China tencent open source team.
from financepy.