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Calculate greeks as we crawl #7

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Tyruiop opened this issue Jun 27, 2021 · 1 comment
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Calculate greeks as we crawl #7

Tyruiop opened this issue Jun 27, 2021 · 1 comment
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crawler cralwer related issues enhancement New feature or request

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Tyruiop commented Jun 27, 2021

The crawler is gathering almost all required data to calculate the greeks as we crawl (the only one missing is the risk free interest rate, which can be hardcoded).

So let's add this calculation (tentatively) to the crawler. If it proves to be too demanding (given the crawler's speed requirement), we will move it to regular computation in the datops-compute module.

Greeks' formulas can be found here https://www.macroption.com/black-scholes-formula/
@Tyruiop Tyruiop added enhancement New feature or request crawler cralwer related issues labels Jun 27, 2021
@Tyruiop Tyruiop self-assigned this Jun 27, 2021
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Tyruiop commented Jun 28, 2021

Done, see #9 and #10

@Tyruiop Tyruiop closed this as completed Jun 28, 2021
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