Extend expiry payoff to any period

[uberdeveloper]

The current ExpiryPayoff in options calculates profit and loss only based on holding till expiry.

Extending this model to simulate any period between the expiry and different greeks would be a useful and practical addition

[Atmabuddy99]

how about creating a portfolio of greeks ,calculating it and figuring out how it changes before expiry

[uberdeveloper]

how about creating a portfolio of greeks ,calculating it and figuring out how it changes before expiry

Good. But this should handle futures and holdings too. And this should be calculating the pnl in the existing format

The present OptionExpiry assumes contracts are held till expiry and the new class should replicate its methods.

You can get started by changing the spot at a given time before exploring further. Like

payoff.simulate(spot_price, timestamp) # should provide pnl for a single spot price
payoff.simulate(list_of_spot_prices, timestamp) # should provide pnl for the list

Once this is done, IV could be simulated and similarly all other greeks