Delta Hedging - Simplify your Option Pricing

Table of Content

• Overview

• Disclaimer

• Prerequisites

• Setup

Overview

In this example, I will present different workflows used to manage risk, specifically focusing on the most widely used Greek (Delta), as a tool to hedge common strategies.

Details and concepts are further explained in the Delta Hedging - Simplify your Option Pricing article published on the Refinitiv Developer Community portal.

Disclaimer

The source code presented in this project has been written by Refinitiv only for the purpose of illustrating the concepts of creating the "what-if" scenarios using the Refinitiv Data Platform Library for Python. It has not been tested for usage in production environments.

Note: To ask questions and benefit from the learning material, I recommend you to register on the Refinitiv Developer Community

Prerequisites

Software components used:

• Refinitiv Data Platform: Access to the pricing endpoint data services
• Python Environment:
  • Tested with Python 3.7
  • Packages: rdp pandas json datetime math dateutil enum
  • RDP for Python installation: 'pip install refinitiv-dataplatform'

Setup

The application package includes the following:

• DeltaHedging.ipynb

  The Jupiter Notebook document represents the example containing the core Python instructions to execute our application.

  • Platform Access

    The Notebook includes the following code snippet to register your credentials to access the content.

    Note: Access credentials to Pricing and Analytics data services are required.

    rdp.open_platform_session(
      "<YOUR APP KEY>",
        rdp.GrantPassword(
          username = "<YOUR MACHINE ID>",
            password = "<PASSWORD>"
        )
    )

Running the application

The application is executed within the Jupyter notebooks web-based environment. Prior to running the application, ensure you have supplied your access credentials - refer to the Setup section above.

Contributing

Please read CONTRIBUTING.md for details on our code of conduct, and the process for submitting pull requests to us.

Authors

• Nick Zincone - Release 1.0. Initial version

License

This project is licensed under the MIT License - see the LICENSE.md file for details