danielhstahl / -depricated-option_dashboard Goto Github PK

For specified inputs, can the model output the Greeks?

Commonly used in the markets, risk management, and regulatory reviews.

Code coverage is erroring on "import export"; current workaround is to not use code coverage and just do the tests.

@atbridge and @ZircXes:

Up/Down Arrows on Text Boxes cause out of range values

There now exist Lambdas for calibration. See levy-functions. Need to rethink design to incorporate. Related issues:

• Issue 61
• Issue 58
• Issue 15

What about allowing a benchmark between the methodologies here and:

Black-Scholes
Market values

How computationally expensive would it be to allow for a portfolio of generic options to be considered in aggregate?

Typical BSM Calculators allow for Dividend Yields; however, these models do not support this feature.

Once the page loads, if you refresh the website you get a 404 error unless you remove /price.

In response to issue 11, issue 6, issue 9, and issue 14, I'm thinking we should come up with an updated scope and design of the dashboard.

I'm thinking a simple update to the README should be adequate.

@thomasnguyen704 @atbridge @ZircXes

Inputs are drop-downs instead of a text-box with data validation.

This issue may not be closeable and simply a limitation of the algorithms. As the parameters change, the variance of the CGMY process changes. The option price is largely dependent on variance. It also seems like the stability of the fsts and carr-madan algorithms depend on the variance.

• Is it possible to create an x-domain that is stable across all (most) parameters for the fsts and carr-madan algorithms (this would probably be done server side)
• Is it possible to create a plot domain such that the option prices are in an "interesting" price range (not approaching zero or the intrinsic value).

Theta only works for levy processes, not for time changed levy processes. Need to warn not to use the theta when a time changed (adaV>0) levy process.

Similar to Reverse Stress Test -- Can a user also specify market values and then use historical correlations to 'calibrate' the inputs to markets or create calibration factors?

Calibration ties to OCC guidance on Risk Management of Financial Derivatives.

Production has "option_dashboard/" as the root, dev has "/".

Which FO method is used? The European or the American Style option model?

There is strong dependency on previous data in the redux data store. On updates, the call/put option values tend to disappear because of this. In particular, look at 50-59 of https://github.com/phillyfan1138/option_dashboard/blob/master/src/Reducers/data.js

Inputs on left side are unclear, what are the units of T?
Is a rate of 0.03 = to 0.03%, 3%, or something else; similar for Quantile.

Currently an invalid plugin will just be accepted. However, certain features are required: some parameters have to be marked variable. The conversion from model to general CGMY needs to include a "Variable" parameter section.

Single Input for S / K may be confusing. Recommend breaking this out into two inputs and then clarifying when each one is used (as described in the tooltip).

The Levy-functions has an updated API with IV returned for puts instead of calls. Need to update this repo to accomodate.

When I edit settings, the default view is the Heston model, not the last model I selected.

Your repository doesn't have a license yet.

Eg, "Option Price" is not correct when its a greek

Remove "Wrapper Component" and simply require Form.Item in the calling function. No need to wrap it in anything.

Fang oosterlee should also have market prices...not sure why its not showing up

When writing a decimal number it wont work unless a number is already after the decimal. Eg, entering 45 and then . in an attempt to put 45.5 will not work. However, doing 45, then making it 4.5, then adding a 5 to make it 45.5 works.

Would be interesting to setup a reverse stress test (Target a VaR, ES, or Price based on conditions) and then stressing each input to determine what would break to that level.

Method 1: Independent, single variable approach.
Method 2: Correlated market movement (Scenario Probability approach).

Currently, the logo and title are the default react symbols. Change this to something more specific to the option dashboard.

Must be an issue with the Characteristic Functions.

Currently adding strikes makes the form vertical instead of horizontal. It looks odd.

Chart Label Text is rendering over numerical labels in both Chrome and Microsoft Edge.

@thomasnguyen704 The Fang-Oosterlee algorithm is the most stable and allows for inputs of arbitrary strikes. This makes it very powerful. As a result, it should be the "default" view.

• How do we make it feel more prominant?
• How do we still keep the fsts and carr-madan around (visually) even though they sometimes have stability issues?

Consider allowing users a choice between simple / advanced or manual / semi-automatic.

Can this interface with API for data sources (FRED, Bloomberg, Thomson-Reuters)?

Currently only heston and black scholes

Padding on Y-axis

The theta check relied on having a single set of parameters. There is now a set per model. This may be a tricky problem to do while keeping the redux store clean.

Recommended enhancement: Allow user to download results in a simple text file for further analysis.

The second updated button from the top does not 'click'.

A simple reference with definitions and references would be helpful for documentation. Example: Quantitative group uses this tool and provides link to a team-member who is unfamiliar with the methodologies for option pricing and only knows about BSM; this would allow them to quickly understand the definitions and, if interested, follow-up on reference material similar to a Wiki.

I keep being concerned that I am breaking the following:

• the converted parameters to CGMY flowing into the theta check at CardPlot
• the conversion to and from CGMY following a change in model (ie, a change to BS and back to Heston)

Need unit tests around these areas.

An input to strike price causes an error to the app.

Make the redux and router integrate to select a model...eg /bs will select the "bs" model parameters. The route will almost act like a new redux store...a new redux store per model based on the route.

It would be really cool to have a "plugin" style feature where you add your new model and get it integrated in a simple manner.