I've been tasked to create and backtest an option strategy. The strategy, in vague terms, is to essentially write call options on securities in a universe, i.e., selling insurance.
I have an idea of what I want to do, but since I'm new to using Python in this vein (I typically use it for automating processes or doing quick on-the-fly data analysis), I'm wondering what is the best approach to doing so?
Given that I have all the data (e.g., underlying security data, implied volatilities, deposit rates, etc.), should I just write a script that loops through the data along time, writing options, priced with a Black-Scholes pricer? Or, should I develop it in an object-orientated fashion?
I'm curious of the pros/cons of both. Please let me know if this not relevant to this site; I thought here would be a better place to ask than Stack Overflow.