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I want to get greeks of my portfolio, but seems I can only get for each option in data, option chain. Since greeks for each option is provided by the option chain, I assume that the yield curve and vol surface are calibrated beforehand and stored somewhere. Just wondering if it is possible to access the curve and vol surface data?
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Varad Kabade
Hi Xi.J.L,
The value of Greeks and Implied Volatility are calculated using the QuantLib library, and we don't save the yield curve or the volatility surface in a variable.
Best,
Varad Kabade
Xi.J.L
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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