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Fix the greeks calculations of the chain command (#3812)

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* Fix greeks

* Improve readability

Co-authored-by: James Maslek <jmaslek11@gmail.com>
This commit is contained in:
northern-64bit
2022-12-22 14:43:31 +01:00
committed by GitHub
parent 753a41883c
commit caa10a8a20
1 changed files with 4 additions and 4 deletions
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8
openbb_terminal/stocks/options/yfinance_model.py
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@@ -130,11 +130,12 @@ def get_option_chain_expiry(
dt = (
datetime.strptime(expiry, "%Y-%m-%d") + timedelta(hours=16) - datetime.now()
).total_seconds() / (60 * 60 * 24)
rf = get_rf()
# Note the way the Option class is defined, put has a -1 input and call has a +1 input
for df, option_type in zip(df_list, option_factor):
df["Delta"] = df.apply(
lambda x: Option(
last_price, x.strike, 0.03, 0, dt, x.impliedVolatility, option_type
last_price, x.strike, rf, 0, dt, x.impliedVolatility, option_type
).Delta(),
axis=1,
)
@@ -142,13 +143,13 @@ def get_option_chain_expiry(
warnings.simplefilter("ignore")
df["Gamma"] = df.apply(
lambda x: Option(
last_price, x.strike, 0.03, 0, dt, x.impliedVolatility, option_type
last_price, x.strike, rf, 0, dt, x.impliedVolatility, option_type
).Gamma(),
axis=1,
)
df["Theta"] = df.apply(
lambda x: Option(
last_price, x.strike, 0.03, 0, dt, x.impliedVolatility, option_type
last_price, x.strike, rf, 0, dt, x.impliedVolatility, option_type
).Theta(),
axis=1,
)
@@ -542,7 +543,6 @@ def get_greeks(
dif = (expire_dt - datetime.now() + timedelta(hours=16)).total_seconds() / (
60 * 60 * 24
)
print(dif)
strikes = []
for _, row in chain.iterrows():
vol = row["impliedVolatility"]