Indian Market Option Greeks Calculator Java

I am seeking a highly skilled Java developer/team to build a robust and efficient option greek calculator specifically tailored for Indian options using Black Scholes model. A user-friendly Java interface (No UI interface, only backend java interface) will facilitate easy interaction with the calculator. Key Features Input 1. Option symbol (e.g., NIFTY, RELIANCE) 2. Option expiry date 3. Target date to expiry (number of days remaining until target date) 4. Underlying symbol price target (predicted price of the underlying asset on the target date) 5. Lot size and number of lots (for position sizing calculations) 6. Optional volatility input Output 1. Option greeks (Delta, Theta, Decay, Gamma, Vega) for each available strike price 2. Standard deviation for the underlying asset based on historical data 3. Implied volatility (if volatility input not provided) 4. Target price for the provided option on the target expiry date and target spot price using Black-Scholes model 5. Profit and Loss calculations based on option greeks and position size Performance 1. Response time within 1 millisecond or less Technical Requirements * Programming language: Java * Interface: User-friendly Java interface for input and output * Dependency Management: Gradle * Functionality 1. Calculate standard deviation for the underlying asset 2. Calculate all option greeks (Delta, Theta, Rho, Gamma, Vega) 3. Employ Black-Scholes model for target price calculation 4. Implement position sizing calculations with lot size and number of lots 5. Calculate implied volatility (if user doesn't provide it) 6. Design for high performance and low latency (< 1ms response time) * Data Access 1. Ability to access historical data for the underlying asset through the Java interface 2. Assume pre-populated list of strike prices for the chosen contract Project Milestones 1. Standard Deviation Calculation: Develop functionality to calculate historical standard deviation for the underlying asset based on provided expiry date (default expiry available). 2. Option Delta Generation: Implement logic to generate Delta for a single option based on user input data. 3. Option Greeks and P&L: Expand functionality to calculate all option greeks (Theta, Rho, Gamma, Vega) along with profit and loss calculations for a single option. 4. Multiple Option Handling: Enhance the system to handle user input for multiple options simultaneously, generating all relevant outputs for each option. Test Cases * Standard deviation calculation for historical data with different expiry dates. * Option Delta generation for various combinations of option symbol, expiry date, underlying price, strike price, and volatility. * Verification of all option greeks (Delta, Theta, Gamma, Vega) against established option pricing models for a range of input scenarios. * Comparison of target price using Black-Scholes model with results from online options pricing tools. * Performance testing to ensure response time consistently meets the 1 millisecond target. Verification and Completion The project will be considered complete only after successful verification of the following: * All test cases pass consistently. * Option greek results match established online brokers for a variety of input data. Qualifications 1. Strong expertise in Java programming 2. In-depth understanding of option pricing models (Black-Scholes model mandatory) 3. Experience with financial data manipulation and high-performance computing (highly desirable) 4. Excellent communication and problem-solving skills Application Requirements 1. A comprehensive overview of your experience with Java development 2. Relevant experience with option pricing models and financial data manipulation 3. Your approach to achieving high performance and low latency 4. Your estimated timeline for project completion and expected total inclusive price for the project We look forward to collaborating with a talented developer/team to build this cutting-edge tool! ** Note you have to sign NDA and IP Agreement if you are willing to undertake this project