github-featured/quantconnect--lean
2
0
Fork 0
Code Issues Pull Requests Deployments Models Agent Notes Packages Projects Releases Wiki Activity

Implement indicator-based option price model (#9237)
API Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Syntax Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled

Browse Source 
* Implement indicator-based option price model

This model uses IV and Greeks indicators to implement Lean's own option pricing model

* Minor fixes

* Address peer review

* Minor tests fixes

* Make the indicator based price model the default for options

* Address peer review

* Cleanup and minor changes

* Support indicators configuration for new pricing model

* Some cleanup

* Add QL option price model example algorithm

* Return lean models from static helpers

* Minor tests fixes

* Minor test fixes

* Address peer review

* Cleanup

* Fix unit tests

* Move QL models to OptionPriceModels.QuantLib.*

* Add forward tree helper method
This commit is contained in:
Jhonathan Abreu
2026-02-19 15:15:25 -04:00
committed by GitHub
parent 9f6219edd6
commit e68ee853db
44 changed files with 1509 additions and 211 deletions
Download Patch File Download Diff File Expand all files Collapse all files
Algorithm.Python/OptionPriceModelForUnsupportedEuropeanOptionRegressionAlgorithm.py
+1 -1
View File
@@ -25,7 +25,7 @@ class OptionPriceModelForUnsupportedEuropeanOptionRegressionAlgorithm(OptionPric
option = self.add_index_option("SPX", Resolution.HOUR)
# BaroneAdesiWhaley model does not support European style options
option.price_model = OptionPriceModels.barone_adesi_whaley()
option.price_model = OptionPriceModels.QuantLib.barone_adesi_whaley()
self.set_warmup(7, Resolution.DAILY)