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42 lines
1.8 KiB
Python
42 lines
1.8 KiB
Python
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"""
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config.py — Central configuration and default parameters.
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Change values here instead of hunting through the codebase.
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"""
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# ---------------------------------------------------------------------------
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# Default market parameters
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# ---------------------------------------------------------------------------
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DEFAULT_SPOT: float = 100.0 # Starting underlying price (S₀)
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DEFAULT_VOLATILITY: float = 0.20 # Implied volatility (σ), 20 %
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DEFAULT_RISK_FREE_RATE: float = 0.01 # Annualised risk-free rate (r), 1 %
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DEFAULT_TIME_TO_EXPIRY: float = 0.5 # Time to expiry in years (T)
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# ---------------------------------------------------------------------------
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# Surface scan ranges
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# ---------------------------------------------------------------------------
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SPOT_LOW: float = 80.0
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SPOT_HIGH: float = 120.0
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SPOT_STEPS: int = 50
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VOL_LOW: float = 0.10
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VOL_HIGH: float = 0.40
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VOL_STEPS: int = 50
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# ---------------------------------------------------------------------------
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# Plot settings
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# ---------------------------------------------------------------------------
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FIGURE_SIZE: tuple = (8, 7)
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SAVE_PLOTS: bool = True # Set False to skip saving PNG files
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PLOT_OUTPUT_DIR: str = "plots" # Relative to the directory main.py is run from
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# ---------------------------------------------------------------------------
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# Example portfolio (list of option legs)
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# Each leg: type ('call'|'put'), K (strike), T (expiry in years), qty (signed)
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# ---------------------------------------------------------------------------
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EXAMPLE_PORTFOLIO: list = [
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{"type": "call", "K": 100.0, "T": 0.5, "qty": 2}, # Long 2 ATM calls
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{"type": "put", "K": 95.0, "T": 0.5, "qty": -1}, # Short 1 OTM put
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{"type": "call", "K": 110.0, "T": 0.5, "qty": -1}, # Short 1 OTM call (spread)
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]
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