def __init__(self, deepOptionChain: DeepOptionChain, volatilityBack=260):
self.optionChain = deepOptionChain.getOptionChain()
self.deepChain = deepOptionChain.getDeepOptionChain()
self.chainWeights = ChainWeights(self.optionChain)
if deepOptionChain.computeIV:
self.smile = self.deepChain.smile
else:
self.smile = None
ticker = self.optionChain.getTicker()
self.history = ticker.getHistory(
end=self.optionChain.getChainDate()).tail(volatilityBack)
def __init__(self, deepOptionChain: DeepOptionChain, weights):
"""
weightsMode:
* EW -> equally weighted (default);
* ATM
* OI -> open interest;
"""
self.deepOptionChain = deepOptionChain
self.deepChain = deepOptionChain.getDeepOptionChain()
self.optionChain = deepOptionChain.getOptionChain()
self.data = self.deepChain
self.avaiableIV = deepOptionChain.computeIV
self.weights = weights