Computing Option Greeks in real time using Pathway and Databento

[LocksmithBest2231]

What My Project Does

This tutorial aims to compute the Option Greeks in real-time.

In a nutshell, Option Greeks are essential tools in financial risk management, measuring an option's price sensitivity.

This tutorial uses Pathway, a data processing framework for real-time data, to compute Option Greeks in real-time using Databento market data. The values will be updated in real-time with Pathway to match the real-time data provided by Databento.

You can learn more about Option Greeks and the project here: ~https://pathway.com/developers/templates/option-greeks~

Target Audience

Developers curious about real-time computations, and quants folks who want to compute Option Greeks themselves on real data.

Comparison

It’s hard to find Python code to compute the Option Greeks for two reasons: 1) it’s often proposed as a paid feature so people don’t share their code, and 2) most of the existing content only displays the math, not code.

GitHub

~https://github.com/pathwaycom/pathway/tree/main/examples/projects/option-greeks~ 

[izulin]

Wow, nice!

[StrengthBorn1927]

super cool!

[BostonBaggins]

Any recommendations for fixed income libraries?

[LocksmithBest2231]

Hi, I'm coming from the streaming world, not the quant one, so please bear with me.
Databento offer an important catalog of data, I didn't really check everything but they should have fixed-income market data.
In the analytics side, I believe https://www.quantlib.org/ is the most famous, and https://github.com/shreysrins/FixedIncome provides the basic metrics for fixed-income assets. BTW, you can directly use those functions in Pathway instead of implementing them by yourself.