MarketInputs.
Fields
MarketInputs has two required fields:
It also accepts one optional field:
The dataclass allows
underlying_price=None, but fitting does not. Before you call .fit, populate it yourself or take it from a VendorSnapshot.
By default, you do not need to enter dividends. OIPD infers the forward price from put-call parity and uses Black-76 for IV inversion. The fitted forward already reflects the market’s expected carry, including dividends.
Valuation date
Options are priced over time to expiry. If the valuation date is wrong, OIPD will measure the remaining time incorrectly. That affects implied volatility and the probability distribution derived from it. Use the timestamp attached to the data where possible.Underlying price
underlying_price means the price of the thing the option is written on.
For stock or ETF options, it is the spot price.
For futures options, it is the relevant futures price.
This distinction matters because OIPD uses the price and the option chain to infer a forward price during calibration.
Rates
By default,risk_free_rate is read as a simple annualized rate.
Pass risk_free_rate_mode="continuous" if your rate is continuously compounded.
Manual example
Vendor example
sources.fetch_chain returns both an options chain and a VendorSnapshot.
By default, OIPD tries to fetch the ticker from yfinance.
The snapshot stores the vendor timestamp and underlying price.
snapshot.asof rather than datetime.now(). It ties the model to the time when the option prices were observed.