Support calculating T+x line's value in ScriptEngine

[tibkiss]

Ask from C. P.:

Do you have a simple way to calculate T+X value line in LUA? 
For some structures like *redacted* is easy as the value is almost linear with theta (Theta * 60) 
but for others like *redacted* the difference is so high.

This needs to be properly designed so that it is convenient to use:

• Do we need the line or just a certain point (at a given strike)
• How do we specify the '+x' (time) part? Exact date vs. DTE?
• Which model (BSM or other) to use for the calculation?
• Is it helpful to calculate for the subset of legs or is it for the whole structure only?

[TradingDominion]

Do we need the line or just a certain point (at a given strike)

You'd want to see the T+0 and optionally a few more T+X lines as well

How do we specify the '+x' (time) part? Exact date vs. DTE?

The convention is to list out how many T+X lines you want (eg 4).
You would then evenly space out those 4 lines across the remaining days to the expiration day.

Which model (BSM or other) to use for the calculation?

Black-Scholes-Merton

Is it helpful to calculate for the subset of legs or is it for the whole structure only?

Whole structure only