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18 lines
762 B
JavaScript
18 lines
762 B
JavaScript
/*
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Collect contiguous ranges. These are where the underlying is expected to be at the front-month.
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For each strike in the contiguous ranges, collect all front-month/back-month combinations
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For each of these front-month/back-month combinations, calculate PNL (by %-return) assuming the underlying is at each strike in the contiguous ranges
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For each of these potential underlying close-prices, choose the best front-month/back-month combo.
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For each ...
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*/
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export const calculateBestCombinationOfCalendars(){
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let cheapest = null;
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front_months.forEach(front_month=>{
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front_month.ranges.forEach(range=>{
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range.back_months.forEach(back_month=>{
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// begin by making a calendar at every available strike in the range.
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})
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})
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})
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} |