QuantTools/pricingConfig.json at main · Zino-ctrlZ/QuantTools · GitHub

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{
    "INTRADAY_AGG": "30m",
    "MARKET_OPEN_TIME": "09:00",
    "MARKET_CLOSE_TIME": "16:00",
    "AVAILABLE_PRICING_MODELS": [
        "bs",
        "binomial",
        "mc"
    ],
    "AVAILABLE_INTERVALS": [
        "h",
        "d",
        "w",
        "q",
        "y",
        "M",
        "m"
    ],
    "AVAILABLE_GREEKS": [
        "vega",
        "vanna",
        "volga",
        "delta",
        "gamma",
        "theta",
        "rho"
    ],
    "UPPER_BOUND_MONEYNESS": 2,
    "LOWER_BOUND_MONEYNESS": 0.8,
    "DAYS_IN_MONTH": 30,
    "DAYS_IN_YEAR": 360,
    "MIN_BAR_TIME_INTERVAL": "5m",
    "QUOTE_DATA_START_TIME": "09:15:00",
    "VOL_SURFACE_MIN_MONEYNESS_THRESHOLD": 0.1,
    "VOL_SURFACE_MAX_MONEYNESS_THRESHOLD": 2.0,
    "VOL_SURFACE_MIN_DTE_THRESHOLD": 30,
    "VOL_SURFACE_MAX_DTE_THRESHOLD": 732,
    "ATM_WIDTH": 0.05,
    "VOL_SURFACE_SURFACE_LOSS_THRESHOLD": 0.1,
    "VOL_SURFACE_ATM_LOSS_THRESHOLD": 0.05,
    "DEFAULT_SSVI_PARAMS_ITERATION": 25000
}