Trading Iron Condors: A Price on a Range — House Model V04
Simon Hertz · simonhertz.com/checklist/condors

WHAT THIS IS
The engine behind every probability, Greek, credit and P&L in Trading Iron
Condors. Appendix A of the book describes the model in full; section A.7.3
gives the reproducibility settings and A.7.4 lists these files with their
SHA-256 checksums.

FILES
  heston.py, hzscen3.py, hzq.py, hzmodel.py      the model
  calib_heston.py, calib_lowxi.py                regime calibration
  compute_v03.py, compute_v04.py                 the computations
  gen_appendix_v06.py                            writes the appendix text
  regimes_v02.json, regimes_v03.json             calibrated parameters
  results_v03.json, results_v04.json             outputs of the published run
  SHA256SUMS.txt                                 checksums of the 13 files

The book's figures were produced with Python 3.13.18, NumPy 2.5.3 and
SciPy 1.18.1.

CHECK THE FILES
  sha256sum -c SHA256SUMS.txt
(on Windows: certutil -hashfile <file> SHA256). The checksums must match
the table in A.7.4 of the book.

REGENERATE (A.7.3), in this order, from this folder:
  python3 calib_heston.py
  python3 calib_lowxi.py
  python3 compute_v03.py 100000
  python3 compute_v04.py 100000
  python3 gen_appendix_v06.py
The two compute steps simulate 100,000 paths per case and can take a long
time. They overwrite the regimes and results files in this folder, so work
on a copy. gen_appendix_v06.py writes the appendix text to the parent
folder. A regeneration matches when the results files reproduce the
checksums above and the generated text matches Appendix A.

TERMS
Free to download and use for personal study and to verify the book's
figures. Please do not resell or redistribute these files; link to the
companion page instead. Provided as is, with no warranty of any kind.

This is an educational model, not trading software. It does not recommend
any trade or security, and its results are model illustrations, not
historical tests or forecasts. Options involve substantial risk and are
not suitable for every investor.
