question

Upvotes
Accepted
1 0 0 0

What is the best way to run scenario simulations on options using the RDP library? for a given listed option i would like to see the premium on a future date based on some vol and underlying price input.

I used rdp.get_option_analytics() function by varying the pricing paramters but i am faced with two issues 1) there is no underlying_price parameter 2) when i chooser a future date for the valuation_date the premium does not change. It will changes for past values.

rdp-apirefinitiv-data-platformrefinitiv-data-platform-librariesderivatives
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

1 Answer

Upvotes
Accepted
11.7k 57 39 60

Hi @ramzi.saouma,

You can use the OTC capabilities within the interface to model different scenarios. Refer to Use Case 2 - Delta Neutral within the Delta Hedging - Simplify your Option Pricing article for more details. In there, I discuss how you can utilize the valuationDate to price options in the future. The article includes full Python code for your reference.

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.