danielhstahl/-depricated-option_dashboard

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Option Dashboard

This is the client side dashboard application for an option pricing dashboard.

Dependencies

The dashboard is dependent on levy-functions which are on AWS lambda.

Roadmap

Currently, the dashboard is simply a calculator for options on an asset which follows an extended CGMY process. For more information, see the levy-functions repo especially index.md.

In a future state, we want the following:

• Add tabs for American options (using FSTS)
• Have a "simple" and "advanced" view Complete
• Add "Greeks" (at least delta, maybe gamma and theta) Complete
• Add calibration (mark to market) Complete
• ~~Add data feeds?

Plugin features

• Inside this repo, run node newModel [modelname]
• Edit ./src/Models/[modelname].js. This should include adding functions to convert back and forth between CGMY parameters.
• Run ./generator/buildCode.js. This will update ./src/modelSkeleton.js.

Development

By default, npm start runs against a local server 3001. This local server is in the levy-functions repo.

To run against the production (AWS lambda), run npm run start-prd.

-depricated-option_dashboard's Issues

Feature Request -- Reverse Stress Test

Would be interesting to setup a reverse stress test (Target a VaR, ES, or Price based on conditions) and then stressing each input to determine what would break to that level.

Method 1: Independent, single variable approach.
Method 2: Correlated market movement (Scenario Probability approach).

Tests are broken

Router param is not consistent between dev and prd

Production has "option_dashboard/" as the root, dev has "/".

Mutable redux store

There is strong dependency on previous data in the redux data store. On updates, the call/put option values tend to disappear because of this. In particular, look at 50-59 of https://github.com/phillyfan1138/option_dashboard/blob/master/src/Reducers/data.js

Can't change quantile on Density

Implied Vol doesn't have xLabel

Rethink GUI design with calibration

There now exist Lambdas for calibration. See levy-functions. Need to rethink design to incorporate. Related issues:

• Issue 61
• Issue 58
• Issue 15

Screen Refresh

Once the page loads, if you refresh the website you get a 404 error unless you remove /price.

S or K Issue

Single Input for S / K may be confusing. Recommend breaking this out into two inputs and then clarifying when each one is used (as described in the tooltip).

Rendering of Chart Labels

Chart Label Text is rendering over numerical labels in both Chrome and Microsoft Edge.

Allow for Calibration

Similar to Reverse Stress Test -- Can a user also specify market values and then use historical correlations to 'calibrate' the inputs to markets or create calibration factors?

Calibration ties to OCC guidance on Risk Management of Financial Derivatives.

Get correct domain for fsts and carr-madan

This issue may not be closeable and simply a limitation of the algorithms. As the parameters change, the variance of the CGMY process changes. The option price is largely dependent on variance. It also seems like the stability of the fsts and carr-madan algorithms depend on the variance.

• Is it possible to create an x-domain that is stable across all (most) parameters for the fsts and carr-madan algorithms (this would probably be done server side)
• Is it possible to create a plot domain such that the option prices are in an "interesting" price range (not approaching zero or the intrinsic value).

Calibration UX isn't good

Code Cov for CI is not working

Code coverage is erroring on "import export"; current workaround is to not use code coverage and just do the tests.

Make Fang-Oosterlee more prominant

@thomasnguyen704 The Fang-Oosterlee algorithm is the most stable and allows for inputs of arbitrary strikes. This makes it very powerful. As a result, it should be the "default" view.

• How do we make it feel more prominant?
• How do we still keep the fsts and carr-madan around (visually) even though they sometimes have stability issues?

Second Update Button

The second updated button from the top does not 'click'.

Add MSE to GUI

Scope and design

In response to issue 11, issue 6, issue 9, and issue 14, I'm thinking we should come up with an updated scope and design of the dashboard.

I'm thinking a simple update to the README should be adequate.

@thomasnguyen704 @atbridge @ZircXes

Option Methodology?

Which FO method is used? The European or the American Style option model?

Theta check no longer works

The theta check relied on having a single set of parameters. There is now a set per model. This may be a tricky problem to do while keeping the redux store clean.

Carr-Madan and FSTS implied volatility

Padding on Y-axis

Benchmarking

What about allowing a benchmark between the methodologies here and:

Black-Scholes
Market values

Change title and logo

Currently, the logo and title are the default react symbols. Change this to something more specific to the option dashboard.

Top form elements are not showing labels

User Interface: Value Labels

Inputs on left side are unclear, what are the units of T?
Is a rate of 0.03 = to 0.03%, 3%, or something else; similar for Quantile.

Labels are incorrect for greeks

Eg, "Option Price" is not correct when its a greek

Data Feed tie-in?

Can this interface with API for data sources (FRED, Bloomberg, Thomson-Reuters)?

Warn for invalid plugin

Currently an invalid plugin will just be accepted. However, certain features are required: some parameters have to be marked variable. The conversion from model to general CGMY needs to include a "Variable" parameter section.

Variance calculation is receiving incorrect inputs

Strike Price Button

An input to strike price causes an error to the app.

Portfolio Method

How computationally expensive would it be to allow for a portfolio of generic options to be considered in aggregate?

Extract Data in CSV, TSV, or XLSX

Recommended enhancement: Allow user to download results in a simple text file for further analysis.

Improve FangOost Strikes

Currently adding strikes makes the form vertical instead of horizontal. It looks odd.

Up/Down Arrows on Text Boxes cause out of range values

@atbridge and @ZircXes:

Up/Down Arrows on Text Boxes cause out of range values

Greeks

For specified inputs, can the model output the Greeks?

Commonly used in the markets, risk management, and regulatory reviews.

Fix CustomDrop in FormHelper

Remove "Wrapper Component" and simply require Form.Item in the calling function. No need to wrap it in anything.

The market prices are only showing up on the Carr Madan plot

Fang oosterlee should also have market prices...not sure why its not showing up

Default Edit Input Screen Resets

When I edit settings, the default view is the Heston model, not the last model I selected.

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

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

Form can't put decimals unless already there

When writing a decimal number it wont work unless a number is already after the decimal. Eg, entering 45 and then . in an attempt to put 45.5 will not work. However, doing 45, then making it 4.5, then adding a 5 to make it 45.5 works.

The Theta plot needs to warn when stochastic time

Theta only works for levy processes, not for time changed levy processes. Need to warn not to use the theta when a time changed (adaV>0) levy process.

Add full calibration

Currently only heston and black scholes

Update api to incorporate changes to levy-functions for IV

The Levy-functions has an updated API with IV returned for puts instead of calls. Need to update this repo to accomodate.

Unit Tests for data flows

I keep being concerned that I am breaking the following:

• the converted parameters to CGMY flowing into the theta check at CardPlot
• the conversion to and from CGMY following a change in model (ie, a change to BS and back to Heston)

Need unit tests around these areas.

Help Option

A simple reference with definitions and references would be helpful for documentation. Example: Quantitative group uses this tool and provides link to a team-member who is unfamiliar with the methodologies for option pricing and only knows about BSM; this would allow them to quickly understand the definitions and, if interested, follow-up on reference material similar to a Wiki.

Redo models to allow easy adding of models

Make the redux and router integrate to select a model...eg /bs will select the "bs" model parameters. The route will almost act like a new redux store...a new redux store per model based on the route.

It would be really cool to have a "plugin" style feature where you add your new model and get it integrated in a simple manner.

Dividend Yield Allowance

Typical BSM Calculators allow for Dividend Yields; however, these models do not support this feature.

User Interface: Simple and Advanced

Consider allowing users a choice between simple / advanced or manual / semi-automatic.

License

Your repository doesn't have a license yet.

Y=1 errors

Must be an issue with the Characteristic Functions.