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danielhstahl / -DEPRICATED-option_dashboard

https://phillyfan1138.github.io/option_dashboard/
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Inputs are drop-downs instead of a text-box with data validation. #58

Closed ZircXes closed 6 years ago

ZircXes commented 6 years ago

Inputs are drop-downs instead of a text-box with data validation.

danielhstahl commented 6 years ago

The more I think about this...the more I think this is necessary. Especially keeping everything in sync once calibration is added.

However, it wont be trivial to add text boxes with validation.

ZircXes commented 6 years ago

Yeah, in order to calibrate, we would need to have specific daycounts, and the user would select the volatility based on the daycount convention.

Example: I can use a BSM calculator online, but I had to use an analytical tool offline to test the model because the calculator was using a 365 day level which cannot be cleanly divided given the inputs.

danielhstahl commented 6 years ago

If we want to get into day count conventions we are going to get into some interesting territory. The open source Quantlib spends what appears to be the majority of its code on timing issues.

ZircXes commented 6 years ago

I think we can avoid daycount conversions by allowing an input for T and volatility; however, for calibration purposes, the user has to consistently apply T and volatility.