Hi,
I'm inserting a ton of old trading history into the blotter package for
some analysis.
A bunch of the trades were for options (and a few for futures.) Blotter
uses the Financial Instruments package to define the meta-data, and
documentation there is clear on how to setup an option and related
option chain.
However, I also need to load in the historical data for each option.
Yahoo, and Google do not provide historical option data, but I have
purchased a few years of history inexpensively. So, I need help
figuring out what format and where the option pricing data needs to be
so that blotter can correctly value the portfolio and track the trades.
Thanks,
--
*Noah Silverman, PhD* | UCLA Department of Statistics
8117 Math Sciences Building, Los Angeles, CA 90095
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