Hello, this is an area of interest for me. Do you have any articles on how to calculate IV,Greeks,implied dividend etc based on options price,strike,Daystoexpiry in a batch mode for lot of symbols in a csv file? I am able to do this only for few.. others error out. Appreciate any pointers. Thanks
If you want speed, then you should use C and/or C++. I'm using it in live trading, so must be fast enough. If you want off the shelf program, then look at quanlib. Otherwise you can take the codes from J London books, then compile them yourself
The code you are using, is that based on J London books? What model are you using to compute historical volatility of the underlying? I am testing YkGZ. Thanks again
Hello, this is an area of interest for me. Do you have any articles on how to calculate IV,Greeks,implied dividend etc based on options price,strike,Daystoexpiry in a batch mode for lot of symbols in a csv file? I am able to do this only for few.. others error out. Appreciate any pointers. Thanks
Are you using Python ? I think it has a library for calculating IV, Greeks etc in batch
Yes but very slow. Briefly looked at the vectorized library but couldn’t get it working. Any pointers would be great. Thanks
If you want speed, then you should use C and/or C++. I'm using it in live trading, so must be fast enough. If you want off the shelf program, then look at quanlib. Otherwise you can take the codes from J London books, then compile them yourself
Hello Mr Nam, thank you so much for your response.
The code you are using, is that based on J London books? What model are you using to compute historical volatility of the underlying? I am testing YkGZ. Thanks again
I'm using Exponentially Weighted CC HV. I took the codes from quantlib. Its codes are available publicly. London book:
https://www.amazon.ca/Modeling-Derivatives-C-Justin-London/dp/0471654647
Can you please let me know the name of the books? I am unable to find on Amazon or google search. Thanks