First of all, the following does not yet exist, but is a description of what is desired as part of this project. For a description of what is already in there, jump to the next section, below.
Note that this code is not financial in nature, which should be clear by (as an example) the use of floating point types for monetary values. This code contains functionality to track stock option contracts for orientational, not accurate, purposes. The input format for importing of current positions is documented so that a user-provided script may convert from a specific broker. Given a file of the daily IV per stock, the code contains routines that will track on underlyings where open positions are seen. Daily price plots may be produced together with representations of the current contracts and history of opened and closed contracts. The code also contains some stock price indicators. Price plots may be produced augmented with these, on any time unit, as well as a bubble chart display of price and volume. A positions status report visualizing comparable values related to delta and theta per stock may be produced.
price_delta Contract::at(MarketPoint m);
Price and delta calculation of an option contract given a stock price and current IV in its option market. The calculation is based on the binomial option pricing model, which is roughly suitable for an American style contract.