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3 Commits

Author SHA1 Message Date
Louis Szeto c049a35121 Add Option Gamma, Vega, Theta, Rho Indicator (#7830) 
* Add gamma indicator

* add helper method

* add unit tests

* add in regression tests

* Address peer review

* add vega indicator

* add theta and rho indicators

* Address peer review, refactor
 2024-03-11 10:32:36 -03:00
Louis Szeto 6bf2acd0da Allow smoothing in Implied Volatility and add forward tree model (#7820) 
* Allow mirror contract and smoothing IV

* Python wrapper on smoothing IV

* helper method update

* Add forward tree model

* modify and add unit tests and data

* address peer review

* address peer review
 2024-03-04 11:00:04 -03:00
Louis Szeto e39cec40f5 Implement dividend yield model (#7758)
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* dividend yield plug-in model interface

* dividend yield model python wrapper

* Implement symbol dividend yield models

* unit tests on dividend yield provider

* Update IV indicator

* IV indicator unit tests

* update Delta indicator

* Delta indicator unit tests

* update helper method

* Nit

* Address peer review

* Address 2nd peer review

* readability

* Regression tests

* dividend yield model

* Address review

* Fix unit tests

* Minor fix

* Fix tests

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Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
 2024-02-27 12:39:46 -03:00