Code for calculating symbols

Discussion in 'Options' started by gfrank, Jul 17, 2007.

  1. gfrank


    I'm looking for a code snippet (doesn't matter what language) to figure out what option or future symbol to use given the nearest certain expiry date and strike price to a stated date and price.

    Does anybody have something like that? I'm using Matlab and want to write some code that will look through various available derivatives so that I can construct a portfolio of greek-neutral options, given a position I want to express.