Commit Graph

4 Commits

Author SHA1 Message Date
quant1729 cf8163fc3a Refactored option/future universe filters for performance improvements and versatility 2016-12-29 11:44:15 +01:00
quant1729 54d373cbfb Fixed too big option universe in history example algo 2016-12-27 16:02:08 +01:00
quant1729 55299e60fb Added new constructors to IBMapper class
Added support for history requirements, exposed by vol models. AM processes requirements.
Added new volatility model - standard deviation of returns - default vol model. Compared its results with publicly available.
Refactored option pricing engine to support optimal approximation calculations.
Added basic greeks approximation in case they are not available in QL. Tests.
Updated BasicTemplateOptionHistoryAlgorithm to print greeks.
2016-11-25 15:11:01 +01:00
quant1729 b6cd0b0b8c Added support for derivatives history. Tested: IQFeed, IB. First cut. Added history sample algos. Added config.json. 2016-11-21 15:50:55 +01:00