Option Pricing

Option pricing web application and API. Taking algorithmic implementation details from https://github.com/pauldepstein/Option_Pricing, but heavily rewritten, documented, and added error handling.

Features

• Upload and download market data via easy file interface
• Annotated option form for easy filling
• Persistent options per-user stored in the database
• Data is uneditable when the calculate button is clickable
• Single page application - once loaded, refreshing is not needed
• QR-code based two-factor authentication
• API endpoint for calculation
• Click to copy option price
• Follows PEP8 snake_case style convention: https://peps.python.org/pep-0008/

To run

• Ensure an empty file called db.sqlite3 exists in the same directory. Otherwise, Docker may helpfully create it as a folder

• Copy the example environment file to stack.env and modify if you wish: cp stack.env.example stack.env

• To start the application: make run

The docker-compose configuration will automatically download the dependencies.

Note for newer Docker versions

If you are using docker compose (no space) you will need to manually run this:

docker compose --env-file=stack.env up -d

To use

• Run the migrations with make migrate
• Create a user with make auth
• Log in at the default URL (if you have not changed it) of http://127.0.0.1:5005/
• Click Update/download market data and select CombinedEnergyFutures.csv in the root of this repo
• Click update options and follow the prompts - everything is annotated
• If you just want to see it work, select the following:

Upload: yes
Call: Call
Ticker: HH
Strike: 2.47

• Click Submit
• Click Calculate"

API

There is a API endpoint at http://127.0.0.1:5005/api/v1/options/calculate/ The market data needs to be uploaded and the market options set.

Note for newer docker versions

make migrate:

docker compose --env-file=stack.env run --rm app sh -c ". /venv/bin/activate && python manage.py migrate"

make auth:

docker compose --env-file=stack.env run --rm app sh -c ". /venv/bin/activate && python manage.py createsuperuser"

Note for 2-factor

If your superuser has the username m, you can use make token to generate a backup code. Otherwise, you can do this:

docker-compose --env-file=stack.env run --rm app sh -c ". /venv/bin/activate && python manage.py addstatictoken <USERNAME HERE>"

(as before, remove the hyphen if you have a newer Docker version)