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GriffinAustin / pynance

Lightweight Python library for assembling and analysing financial data
MIT License
317 stars 43 forks source link

Recover when spreads reference expired options #9

Closed aisthesis closed 8 years ago

aisthesis commented 9 years ago

In tracking calendar spreads, the early expiry option should just go to a 0 value rather than raising an exception.

aisthesis commented 8 years ago

I think this is more of an argument for deprecating spread functionality. It seems better to let clients make their own custom spreads of whatever kind and responding as needed to exceptions. In order to get the true value after expiry, you need to get additional data to find parity at close on the expiration date.

Cf. https://github.com/aisthesis/opttrack/blob/master/opttrack/lib/spreads/optspread.py