Version: Upcoming

OptionCalculator

This table allows custom option pricing based on either user or SR supplied input values.

METADATA

Attribute	Value
Topic	5030-srse-calculators
MLink Token	Internal
Product	SRAnalytics
accessType	SELECT,UPDATE,INSERT,DELETE

Table Definition

Field	Type	Key	Default Value	Comment
userName	VARCHAR(24)	PRI	''
okey_at	enum - AssetType	PRI	'None'
okey_ts	enum - TickerSrc	PRI	'None'
okey_tk	VARCHAR(12)	PRI	''
okey_yr	SMALLINT UNSIGNED	PRI, SEC	0
okey_mn	TINYINT UNSIGNED	PRI, SEC	0
okey_dy	TINYINT UNSIGNED	PRI, SEC	0
okey_xx	DOUBLE	PRI	0
okey_cp	enum - CallPut	PRI	'Call'
vol	DOUBLE		0	volatility
volSrc	enum - FieldSrc		'Default'
uPrc	DOUBLE		0	underlying price
uPrcSrc	enum - FieldSrc		'Default'
years	DOUBLE		0	yearstoexpiration default uses SR volatility time value
yearsSrc	enum - FieldSrc		'Default'
sdiv	DOUBLE		0	continuous stock dividend using for pricing
sdivSrc	enum - FieldSrc		'Default'
rate	DOUBLE		0	discount rate used for pricing
rateSrc	enum - FieldSrc		'Default'
exType	enum - ExerciseType		'None'	exercise type of the option American or European
exTypeSrc	enum - FieldSrc		'Default'
effStrike	DOUBLE		0	effective strike used for pricing default is okeyStrike
effStrikeSrc	enum - FieldSrc		'Default'
symRatio	DOUBLE		0	underlying symbol ratio for nonstandard options discrete dividend will be scaled by this factor
symRatioSrc	enum - FieldSrc		'Default'
divString	TINYTEXT		''	discrete dividend string yearsToExpiry years1amt1 years2amt2 or 1 date1amt1 date2amt2
divSrc	enum - FieldSrc		'Default'
modelType	enum - CalcModelType		'None'
modelTypeSrc	enum - FieldSrc		'Default'
calcPrecision	enum - CalcPrecision		'Low'	numerical precision of steps if a numerical method is used more steps will be slower to calculate
incGreeks	enum - YesNo		'No'
price	DOUBLE		0	price premium
delta	FLOAT		0	delta
gamma	FLOAT		0	gamma
theta	FLOAT		0	theta
vega	FLOAT		0	vega
volga	FLOAT		0	volga
vanna	FLOAT		0	vanna
deDecay	FLOAT		0	delta decay
rho	FLOAT		0	rho
phi	FLOAT		0	phi
error	VARCHAR(32)		''
pricerModel	VARCHAR(8)		''
timestamp	DATETIME(6)		'2000-01-01'

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
userName	1
okey_tk	2
okey_yr	3
okey_mn	4
okey_dy	5
okey_xx	6
okey_cp	7
okey_at	8
okey_ts	9

SECONDARY INDEX (ExpirationIndex) (Not Unique)

Field	Sequence
okey_yr	1
okey_mn	2
okey_dy	3

CREATE TABLE EXAMPLE QUERY

CREATE TABLE `SRAnalytics`.`MsgOptionCalculator` (
    `userName` VARCHAR(24) NOT NULL DEFAULT '',
    `okey_at` ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') NOT NULL DEFAULT 'None',
    `okey_ts` ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','EUX','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFE') NOT NULL DEFAULT 'None',
    `okey_tk` VARCHAR(12) NOT NULL DEFAULT '',
    `okey_yr` SMALLINT UNSIGNED NOT NULL DEFAULT 0,
    `okey_mn` TINYINT UNSIGNED NOT NULL DEFAULT 0,
    `okey_dy` TINYINT UNSIGNED NOT NULL DEFAULT 0,
    `okey_xx` DOUBLE NOT NULL DEFAULT 0,
    `okey_cp` ENUM('Call','Put','Pair') NOT NULL DEFAULT 'Call',
    `vol` DOUBLE NOT NULL DEFAULT 0 COMMENT 'volatility',
    `volSrc` ENUM('Default','User') NOT NULL DEFAULT 'Default',
    `uPrc` DOUBLE NOT NULL DEFAULT 0 COMMENT 'underlying price',
    `uPrcSrc` ENUM('Default','User') NOT NULL DEFAULT 'Default',
    `years` DOUBLE NOT NULL DEFAULT 0 COMMENT 'years-to-expiration (default uses SR volatility time value)',
    `yearsSrc` ENUM('Default','User') NOT NULL DEFAULT 'Default',
    `sdiv` DOUBLE NOT NULL DEFAULT 0 COMMENT 'continuous stock dividend using for pricing',
    `sdivSrc` ENUM('Default','User') NOT NULL DEFAULT 'Default',
    `rate` DOUBLE NOT NULL DEFAULT 0 COMMENT 'discount rate used for pricing',
    `rateSrc` ENUM('Default','User') NOT NULL DEFAULT 'Default',
    `exType` ENUM('None','American','European','Asian','Cliquet') NOT NULL DEFAULT 'None' COMMENT 'exercise type of the option (American or European)',
    `exTypeSrc` ENUM('Default','User') NOT NULL DEFAULT 'Default',
    `effStrike` DOUBLE NOT NULL DEFAULT 0 COMMENT 'effective strike used for pricing (default is okey.Strike)',
    `effStrikeSrc` ENUM('Default','User') NOT NULL DEFAULT 'Default',
    `symRatio` DOUBLE NOT NULL DEFAULT 0 COMMENT 'underlying symbol ratio (for non-standard options); discrete dividend will be scaled by this factor',
    `symRatioSrc` ENUM('Default','User') NOT NULL DEFAULT 'Default',
    `divString` TINYTEXT NOT NULL DEFAULT '' COMMENT 'discrete dividend string  [ yearsToExpiry, years1:amt1, years2:amt2, ...] or [ -1, date1:amt1, date2:amt2, ... ]',
    `divSrc` ENUM('Default','User') NOT NULL DEFAULT 'Default',
    `modelType` ENUM('None','LogNormalExact','NormalExact','LogNormalApprox','NormalApprox') NOT NULL DEFAULT 'None',
    `modelTypeSrc` ENUM('Default','User') NOT NULL DEFAULT 'Default',
    `calcPrecision` ENUM('None','Low','Normal','High','Custom') NOT NULL DEFAULT 'Low' COMMENT 'numerical precision (# of steps) if a numerical method is used;  [more steps will be slower to calculate]',
    `incGreeks` ENUM('None','Yes','No') NOT NULL DEFAULT 'No',
    `price` DOUBLE NOT NULL DEFAULT 0 COMMENT 'price (premium)',
    `delta` FLOAT NOT NULL DEFAULT 0 COMMENT 'delta',
    `gamma` FLOAT NOT NULL DEFAULT 0 COMMENT 'gamma',
    `theta` FLOAT NOT NULL DEFAULT 0 COMMENT 'theta',
    `vega` FLOAT NOT NULL DEFAULT 0 COMMENT 'vega',
    `volga` FLOAT NOT NULL DEFAULT 0 COMMENT 'volga',
    `vanna` FLOAT NOT NULL DEFAULT 0 COMMENT 'vanna',
    `deDecay` FLOAT NOT NULL DEFAULT 0 COMMENT 'delta decay',
    `rho` FLOAT NOT NULL DEFAULT 0 COMMENT 'rho',
    `phi` FLOAT NOT NULL DEFAULT 0 COMMENT 'phi',
    `error` VARCHAR(32) NOT NULL DEFAULT '',
    `pricerModel` VARCHAR(8) NOT NULL DEFAULT '',
    `timestamp` DATETIME(6) NOT NULL DEFAULT '2000-01-01',
    PRIMARY KEY USING HASH (`userName`,`okey_tk`,`okey_yr`,`okey_mn`,`okey_dy`,`okey_xx`,`okey_cp`,`okey_at`,`okey_ts`),
    KEY `ExpirationIndex` (`okey_yr`,`okey_mn`,`okey_dy`) USING HASH
) ENGINE=SRSE DEFAULT CHARSET=LATIN1 COMMENT='This table allows custom option pricing based on either user or SR supplied input values.';

SELECT TABLE EXAMPLE QUERY

SELECT
    `userName`,
    `okey_at`,
    `okey_ts`,
    `okey_tk`,
    `okey_yr`,
    `okey_mn`,
    `okey_dy`,
    `okey_xx`,
    `okey_cp`,
    `vol`,
    `volSrc`,
    `uPrc`,
    `uPrcSrc`,
    `years`,
    `yearsSrc`,
    `sdiv`,
    `sdivSrc`,
    `rate`,
    `rateSrc`,
    `exType`,
    `exTypeSrc`,
    `effStrike`,
    `effStrikeSrc`,
    `symRatio`,
    `symRatioSrc`,
    `divString`,
    `divSrc`,
    `modelType`,
    `modelTypeSrc`,
    `calcPrecision`,
    `incGreeks`,
    `price`,
    `delta`,
    `gamma`,
    `theta`,
    `vega`,
    `volga`,
    `vanna`,
    `deDecay`,
    `rho`,
    `phi`,
    `error`,
    `pricerModel`,
    `timestamp`
FROM `SRAnalytics`.`MsgOptionCalculator`
WHERE 
    /* Replace with a VARCHAR(24) */ 
    `userName` = 'Example_userName'
  AND
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') */ 
    `okey_at` = 'None'
  AND
    /* Replace with a ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','EUX','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFE') */ 
    `okey_ts` = 'None'
  AND
    /* Replace with a VARCHAR(12) */ 
    `okey_tk` = 'Example_okey_tk'
  AND
    /* Replace with a SMALLINT UNSIGNED */ 
    `okey_yr` = 123
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `okey_mn` = 1
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `okey_dy` = 1
  AND
    /* Replace with a DOUBLE */ 
    `okey_xx` = 4.56
  AND
    /* Replace with a ENUM('Call','Put','Pair') */ 
    `okey_cp` = 'Call';

UPDATE TABLE EXAMPLE QUERY

UPDATE `SRAnalytics`.`MsgOptionCalculator` 
SET
    /* Replace with a DOUBLE */
    `vol` = 4.56,
    /* Replace with a ENUM('Default','User') */
    `volSrc` = 'Default',
    /* Replace with a DOUBLE */
    `uPrc` = 4.56,
    /* Replace with a ENUM('Default','User') */
    `uPrcSrc` = 'Default',
    /* Replace with a DOUBLE */
    `years` = 4.56,
    /* Replace with a ENUM('Default','User') */
    `yearsSrc` = 'Default',
    /* Replace with a DOUBLE */
    `sdiv` = 4.56,
    /* Replace with a ENUM('Default','User') */
    `sdivSrc` = 'Default',
    /* Replace with a DOUBLE */
    `rate` = 4.56,
    /* Replace with a ENUM('Default','User') */
    `rateSrc` = 'Default',
    /* Replace with a ENUM('None','American','European','Asian','Cliquet') */
    `exType` = 'None',
    /* Replace with a ENUM('Default','User') */
    `exTypeSrc` = 'Default',
    /* Replace with a DOUBLE */
    `effStrike` = 4.56,
    /* Replace with a ENUM('Default','User') */
    `effStrikeSrc` = 'Default',
    /* Replace with a DOUBLE */
    `symRatio` = 4.56,
    /* Replace with a ENUM('Default','User') */
    `symRatioSrc` = 'Default',
    /* Replace with a TINYTEXT */
    `divString` = 'dummy tiny text',
    /* Replace with a ENUM('Default','User') */
    `divSrc` = 'Default',
    /* Replace with a ENUM('None','LogNormalExact','NormalExact','LogNormalApprox','NormalApprox') */
    `modelType` = 'None',
    /* Replace with a ENUM('Default','User') */
    `modelTypeSrc` = 'Default',
    /* Replace with a ENUM('None','Low','Normal','High','Custom') */
    `calcPrecision` = 'Low',
    /* Replace with a ENUM('None','Yes','No') */
    `incGreeks` = 'No',
    /* Replace with a DOUBLE */
    `price` = 4.56,
    /* Replace with a FLOAT */
    `delta` = 1.23,
    /* Replace with a FLOAT */
    `gamma` = 1.23,
    /* Replace with a FLOAT */
    `theta` = 1.23,
    /* Replace with a FLOAT */
    `vega` = 1.23,
    /* Replace with a FLOAT */
    `volga` = 1.23,
    /* Replace with a FLOAT */
    `vanna` = 1.23,
    /* Replace with a FLOAT */
    `deDecay` = 1.23,
    /* Replace with a FLOAT */
    `rho` = 1.23,
    /* Replace with a FLOAT */
    `phi` = 1.23,
    /* Replace with a VARCHAR(32) */
    `error` = 'Example_error',
    /* Replace with a VARCHAR(8) */
    `pricerModel` = 'Example_pricerModel',
    /* Replace with a DATETIME(6) */
    `timestamp` = '2022-01-01 12:34:56.000000'
WHERE
    /* Replace with a VARCHAR(24) */ 
    `userName` = 'Example_userName'
  AND
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') */ 
    `okey_at` = 'None'
  AND
    /* Replace with a ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','EUX','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFE') */ 
    `okey_ts` = 'None'
  AND
    /* Replace with a VARCHAR(12) */ 
    `okey_tk` = 'Example_okey_tk'
  AND
    /* Replace with a SMALLINT UNSIGNED */ 
    `okey_yr` = 123
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `okey_mn` = 1
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `okey_dy` = 1
  AND
    /* Replace with a DOUBLE */ 
    `okey_xx` = 4.56
  AND
    /* Replace with a ENUM('Call','Put','Pair') */ 
    `okey_cp` = 'Call';

INSERT TABLE EXAMPLE QUERY

INSERT INTO `SRAnalytics`.`MsgOptionCalculator`(
    /* Replace with a VARCHAR(24) */ 
    `userName`,
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') */ 
    `okey_at`,
    /* Replace with a ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','EUX','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFE') */ 
    `okey_ts`,
    /* Replace with a VARCHAR(12) */ 
    `okey_tk`,
    /* Replace with a SMALLINT UNSIGNED */ 
    `okey_yr`,
    /* Replace with a TINYINT UNSIGNED */ 
    `okey_mn`,
    /* Replace with a TINYINT UNSIGNED */ 
    `okey_dy`,
    /* Replace with a DOUBLE */ 
    `okey_xx`,
    /* Replace with a ENUM('Call','Put','Pair') */ 
    `okey_cp`,
    /* Replace with a DOUBLE */
    `vol`,
    /* Replace with a ENUM('Default','User') */
    `volSrc`,
    /* Replace with a DOUBLE */
    `uPrc`,
    /* Replace with a ENUM('Default','User') */
    `uPrcSrc`,
    /* Replace with a DOUBLE */
    `years`,
    /* Replace with a ENUM('Default','User') */
    `yearsSrc`,
    /* Replace with a DOUBLE */
    `sdiv`,
    /* Replace with a ENUM('Default','User') */
    `sdivSrc`,
    /* Replace with a DOUBLE */
    `rate`,
    /* Replace with a ENUM('Default','User') */
    `rateSrc`,
    /* Replace with a ENUM('None','American','European','Asian','Cliquet') */
    `exType`,
    /* Replace with a ENUM('Default','User') */
    `exTypeSrc`,
    /* Replace with a DOUBLE */
    `effStrike`,
    /* Replace with a ENUM('Default','User') */
    `effStrikeSrc`,
    /* Replace with a DOUBLE */
    `symRatio`,
    /* Replace with a ENUM('Default','User') */
    `symRatioSrc`,
    /* Replace with a TINYTEXT */
    `divString`,
    /* Replace with a ENUM('Default','User') */
    `divSrc`,
    /* Replace with a ENUM('None','LogNormalExact','NormalExact','LogNormalApprox','NormalApprox') */
    `modelType`,
    /* Replace with a ENUM('Default','User') */
    `modelTypeSrc`,
    /* Replace with a ENUM('None','Low','Normal','High','Custom') */
    `calcPrecision`,
    /* Replace with a ENUM('None','Yes','No') */
    `incGreeks`,
    /* Replace with a DOUBLE */
    `price`,
    /* Replace with a FLOAT */
    `delta`,
    /* Replace with a FLOAT */
    `gamma`,
    /* Replace with a FLOAT */
    `theta`,
    /* Replace with a FLOAT */
    `vega`,
    /* Replace with a FLOAT */
    `volga`,
    /* Replace with a FLOAT */
    `vanna`,
    /* Replace with a FLOAT */
    `deDecay`,
    /* Replace with a FLOAT */
    `rho`,
    /* Replace with a FLOAT */
    `phi`,
    /* Replace with a VARCHAR(32) */
    `error`,
    /* Replace with a VARCHAR(8) */
    `pricerModel`,
    /* Replace with a DATETIME(6) */
    `timestamp`
) 
VALUES(
    'Example_userName',
    'None',
    'None',
    'Example_okey_tk',
    123,
    1,
    1,
    4.56,
    'Call',
    4.56,
    'Default',
    4.56,
    'Default',
    4.56,
    'Default',
    4.56,
    'Default',
    4.56,
    'Default',
    'None',
    'Default',
    4.56,
    'Default',
    4.56,
    'Default',
    'dummy tiny text',
    'Default',
    'None',
    'Default',
    'Low',
    'No',
    4.56,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    'Example_error',
    'Example_pricerModel',
    '2022-01-01 12:34:56.000000'
);

DELETE TABLE EXAMPLE QUERY

DELETE FROM `SRAnalytics`.`MsgOptionCalculator` 
WHERE
    /* Replace with a VARCHAR(24) */ 
    `userName` = 'Example_userName'
  AND
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY') */ 
    `okey_at` = 'None'
  AND
    /* Replace with a ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','EUX','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFE') */ 
    `okey_ts` = 'None'
  AND
    /* Replace with a VARCHAR(12) */ 
    `okey_tk` = 'Example_okey_tk'
  AND
    /* Replace with a SMALLINT UNSIGNED */ 
    `okey_yr` = 123
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `okey_mn` = 1
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `okey_dy` = 1
  AND
    /* Replace with a DOUBLE */ 
    `okey_xx` = 4.56
  AND
    /* Replace with a ENUM('Call','Put','Pair') */ 
    `okey_cp` = 'Call';

Doc Columns Query

SELECT * FROM SRAnalytics.doccolumns WHERE TABLE_NAME='OptionCalculator' ORDER BY ordinal_position ASC;

METADATA​

Table Definition​

PRIMARY KEY DEFINITION (Unique)​

SECONDARY INDEX (ExpirationIndex) (Not Unique)​

CREATE TABLE EXAMPLE QUERY​

SELECT TABLE EXAMPLE QUERY​

UPDATE TABLE EXAMPLE QUERY​

INSERT TABLE EXAMPLE QUERY​

DELETE TABLE EXAMPLE QUERY​

Doc Columns Query​

METADATA

Table Definition

PRIMARY KEY DEFINITION (Unique)

SECONDARY INDEX (ExpirationIndex) (Not Unique)

CREATE TABLE EXAMPLE QUERY

SELECT TABLE EXAMPLE QUERY

UPDATE TABLE EXAMPLE QUERY

INSERT TABLE EXAMPLE QUERY

DELETE TABLE EXAMPLE QUERY

Doc Columns Query