Does anyone know if something like this has already been done and shared by someone? I am thinking some set of wrapper/util functions that can facilitate working with options in backtesting, with features such as

  • Quickly identifying a call option with strike level closest to 0.92 * spot and expiry cloest to 3 months
  • Automatically close out option positions on last trading day (by the way am I right in thinking that the current engine does not hadle expiry/auto-exercise properly? Seems to me it will always expire worthless)
  • Implied vol <=> absolute price conversion
I understand these would only require a 'thin' wrapper layer, but it would be nice to avoid re-inventing the wheel. Thanks!