README.md

Spot Derivatives Analysis

Last Update September 16, 2021

Matteo Bottacini, [email protected]

The third step is to analyze the current derivatives market situation. In these scripts are described, the codes, the intuition behind them and, the results obtained.

Folder structure:

    ../SpotAnalysis/
        README.md
        deliverables/
            run-spot-analysis.py
        src/
            utis.py
        reports/
            walk-through-the-code.md
            spot-derivatives-analysis.md
            images/
                BTC/
                    greeks/
                        atm_term_structure/
                            ...
                        surface/
                            ...
                    volatility/
                        cubic_interpolation/
                            ...
                        linear_interpolation/
                            ...
                        nearest_interpolation/
                            ...
                        volatility-smile.png
                        iv-delta-surface.png
                ETH/
                    greeks/
                        atm_term_structure/
                            ...
                        surface/
                            ...
                    volatility/
                        cubic_interpolation/
                            ...
                        linear_interpolation/
                            ...
                        nearest_interpolation/
                            ...
                        volatility-smile.png
                        iv-delta-surface.png                        

Reports

1. Walk trough the code
2. Spot Derivatives Analysis

Instruction

• ../SpotAnalysis/deliverables/run-spot-analysis.py is the script to run to perform the analysis.
• In ../SpotAnalysis/src/utils.py are the set of functions to perform the tasks, the function are explained in Walk trough the code.