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feat: option lab

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OpenSquared
2026-07-28 11:14:31 +02:00
parent 568414ca0c
commit d2c393b8e5
11 changed files with 757 additions and 29 deletions
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3
backend/services/strategy_optimizer.py
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@@ -273,9 +273,10 @@ def optimize(
dte_min: Optional[int] = None,
dte_max: Optional[int] = None,
greek_profile: Optional[Dict[str, Any]] = None,
as_of: Optional[str] = None,
) -> List[Dict[str, Any]]:
r = rate + rate_shock_bps / 10000.0
chain_slice = get_chain_slice(symbol, horizon_days, n_expiries, dte_min=dte_min, dte_max=dte_max)
chain_slice = get_chain_slice(symbol, horizon_days, n_expiries, dte_min=dte_min, dte_max=dte_max, as_of=as_of)
surface_now = build_surface(chain_slice)
surface_scenario = apply_scenario(
surface_now, spot_shock_pct=spot_shock_pct, iv_level_shift=iv_level_shift,