Now we need to create an OptionModel to act as the container and the factory for the properties of the option. It takes the following parameters and creates a list of option properties, propsList, by accessing the data source of the four features described earlier:
- The symbol of the security.
- The strike price for option, strikePrice.
- The source of the data, src.
- The minimum time decay or time to expiration, minTDecay. Out-of-the-money options expire worthlessly, and in-the-money options have a very different price behavior as they get closer to the expiration. Therefore, the last minTDecay trading sessions prior to the expiration date are not used in the training process.
- The number of steps (or buckets), nSteps ...
