Portfolio variance fix - Githubissues

afoster28 / opt_portfolio_variance

Option portfolio variance in CPP

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Closed afoster28 closed 8 months ago

afoster28 commented 8 months ago

Check why portfolio variance displays 0
Add a feature that gives us the possibility of temporarily showing resulting option prices in order to make sure that isn't causing issues downstream

secoman commented 8 months ago

Here is the updated version. Could you check if it is correct ? Thanks.

It should look like this.

afoster28 commented 8 months ago

Nice changes - now we can see options prices too. I get the same when running locally.

The prices look a bit off: for the first one we should expect about $3000 (factoring in quantity and direction of course).

Second point is that these prices are duplicated in the output above - worth checking if the same happening in processing for portfolio variance.

Lastly, portfolio variance still shows ~0 so need to check that.