Detect unsupported option style in option price model (#6388)

* Add indicator for allowed option styles to QL option price models

* Add and update option price model tests

* Update option price models methods sumary to indicate allowed option styles

* Add regression algorithms for option price models for different option styles

* Update OptionPriceModel regression algorithms to use Lean local data

* Add Python regression algorithms for option price models for different option styles

* Update OptionPriceModel regression algorithms to assert that greeks are valid

* Address changes request

* Address changes request

* Update OptionPriceModel regression algorithms to check both call and put contracts

* Update OptionPriceModel regression algorithms to use correct test data

* Update OptionPriceModel regression algorithms to throw in OnData

* Address changes request

* Update OptionPriceModel regression algorithms to assert greeks are not all zero

Algorithm.Python/OptionPriceModelForUnsupportedAmericanOptionRegressionAlgorithm.py

@@ -0,0 +1,32 @@
+# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+from AlgorithmImports import *
+from OptionPriceModelForOptionStylesBaseRegressionAlgorithm import OptionPriceModelForOptionStylesBaseRegressionAlgorithm
+
+### <summary>
+### Regression algorithm excersizing an equity covered American style option, using an option price model
+### that supports American style options and asserting that the option price model is used.
+### </summary>
+class OptionPriceModelForUnsupportedAmericanOptionRegressionAlgorithm(OptionPriceModelForOptionStylesBaseRegressionAlgorithm):
+    def Initialize(self):
+        self.SetStartDate(2014, 6, 9)
+        self.SetEndDate(2014, 6, 9)
+
+        option = self.AddOption("AAPL", Resolution.Minute)
+        # BlackSholes model does not support American style options
+        option.PriceModel = OptionPriceModels.BlackScholes()
+
+        self.SetWarmup(2, Resolution.Daily)
+
+        self.Init(option, optionStyleIsSupported=False)