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Calculate Option Greeks with Implied Volatility (#6720)

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* Using IV to calculate Greeks, and remove single-step stochastic approximation

* Correct calculation for theta, vega, rho

* Add calculation from Black Calculator and peer review

* Address peer review and added unit test

* Update some tests and correct vega/eho

* Fix Unit Test and Improve Comments

Fixes `IndexOptionCallITMGreeksExpiryRegressionAlgorithm` since `Vega` was really non-zero.

* Fix regression test and add IV calculation

* refactor and bug fixing on peer review

* refactor and bug fixing on peer review

* for rerun test

* add warning on IV estimation not coveraged and edit speed unit test to not exceed 2s per 1000 iteration

* update logging

* update logging and description

* Add default option pricing models and unit tests

* address review

* Added Fed interest rate as risk-free rate with unit tests and set as default for option greeks calculation, added regression algorithms, addressed peer review

* refactor structure of interest rate

* Skip Saturday and Sunday

* regression test fix

* peer review

* Fixes Interest Rate Provider Logic

* Minor tweaks

* Fix start date

* Minor test tweak

* Update interest rates

* Fix unit tests

* Add minor log

Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
This commit is contained in:
Louis Szeto
2022-11-18 00:35:42 +08:00
committed by GitHub
parent e9edb8ac29
commit b34cea4458
17 changed files with 905 additions and 260 deletions
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Algorithm.Python/OptionPriceModelForOptionStylesBaseRegressionAlgorithm.py
+7 -5
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@@ -66,12 +66,14 @@ class OptionPriceModelForOptionStylesBaseRegressionAlgorithm(QCAlgorithm):
if self._optionStyleIsSupported:
raise Exception(f'Expected greeks to be calculated for {contract.Symbol.Value}, an {optionStyleStr} style option, using {type(self._option.PriceModel).__name__}, which supports them, but they were not')
# Greeks shpould be valid if they were successfuly accessed for supported option style
# Greeks should be valid if they were successfuly accessed for supported option style
# Delta can be {-1, 0, 1} if the price is too wild, rho can be 0 if risk free rate is 0
# Vega can be 0 if the price is very off from theoretical price, Gamma = 0 if Delta belongs to {-1, 1}
if (self._optionStyleIsSupported
and ((contract.Right == OptionRight.Call and (greeks.Delta < 0.0 or greeks.Delta > 1.0 or greeks.Rho <= 0.0))
or (contract.Right == OptionRight.Put and (greeks.Delta < -1.0 or greeks.Delta > 0.0 or greeks.Rho >= 0.0))
or greeks.Theta == 0.0 or greeks.Vega <= 0.0 or greeks.Gamma <= 0.0)):
raise Exception(f'Expected greeks to have valid values. Greeks were: Delta: {greeks.Delta}, Rho: {greeks.Rho}, Delta: {greeks.Delta}, Vega: {greeks.Vega}, Gamma: {greeks.Gamma}')
and ((contract.Right == OptionRight.Call and (greeks.Delta < 0.0 or greeks.Delta > 1.0 or greeks.Rho < 0.0))
or (contract.Right == OptionRight.Put and (greeks.Delta < -1.0 or greeks.Delta > 0.0 or greeks.Rho > 0.0))
or greeks.Theta == 0.0 or greeks.Vega < 0.0 or greeks.Gamma < 0.0)):
raise Exception(f'Expected greeks to have valid values. Greeks were: Delta: {greeks.Delta}, Rho: {greeks.Rho}, Theta: {greeks.Theta}, Vega: {greeks.Vega}, Gamma: {greeks.Gamma}')