getFeasibleOptionFlags

Function taking all out-of-the-money (OTM) options with an absolute delta of 0.5 or less, applying standard filters to exclude options with negative bid-ask spreads, zero bids, or zero volume, and then retaining the maximum number of options that satisfy no-arbitrage constraints.

dbbpy

dbbpy.getFeasibleOptionFlags(sp, strike, bid, ask, pFlag, spotsP, spbid, spask)

Parameters:

• sp (numpy.ndarray): A 1D array of floats representing the spot prices in different states of the world

• bid (numpy.ndarray): A 1D array of floats representing the bid prices for different options

• ask (numpy.ndarray): A 1D array of floats representing the ask prices for different options

• strike (numpy.ndarray): A 1D array of floats representing the strike prices of different options

• pFlag (numpy.ndarray): A 1D array of booleans indicating whether each option is a call (True) or a put (False) option

• spotsP (float): A scaling factor used to adjust the magnitude of the spot prices and pricing constraints

• spbid (float): The bid price related to the spot prices, used to define the lower bound of the pricing constraints

• spask (float): The ask price related to the spot prices, used to define the upper bound of the pricing constraints

Output:

• (numpy.ndarray): A 1D array of booleans representing whether each option is feasible according to the optimization constraints

rdbb

rdbb::getFeasibleOptionFlags(sp, strike, bid, ask, pFlag, spotsP, spbid, spask)

Parameters:

• sp (numeric vector): A vector of floats representing the spot prices in different states of the world

• bid (numeric vector): A vector of floats representing the bid prices for different options

• ask (numeric vector): A vector of floats representing the ask prices for different options

• strike (numeric vector): A vector of floats representing the strike prices of different options

• pFlag (logical vector): A vector of booleans indicating whether each option is a call (TRUE) or a put (FALSE) option

• spotsP (numeric): A scaling factor used to adjust the magnitude of the spot prices and pricing constraints

• spbid (numeric): The bid price related to the spot prices, used to define the lower bound of the pricing constraints

• spask (numeric): The ask price related to the spot prices, used to define the upper bound of the pricing constraints

Output:

• (logical vector): A vector of booleans indicating whether each option is feasible according to the optimization constraints