5 Commits

Author	SHA1	Message	Date
AlexCatarino	d9a7e1dcd7	Adds Volume property to FutureContract and OptionContract ... Minor change in `TimeSlice` to update `FutureContract.Volume` and `OptionContract.Volume` with `TradeBar.Volume` value.	2018-03-23 09:58:22 +00:00
quant1729	ad34fd7bb9	Fixed commentary	2016-09-21 19:49:35 +02:00
quant1729	b3590647b5	Support for option strategies in API, QL option pricing models: ... - Added OptionStrategies class with 10 popular option strats - Defined OptionStrategy class - Added support for trading of option strategies in QCAlgorithm.Trading.cs - Added several estimator interfaces to introduce QL pricing models extention points: IDividendYieldEstimator, IRiskFreeRateEstimator, IUnderlyingVolatilityEstimator provided default implementation (flat term structure) - Added QLOptionPriceModel class that contains meat of the calculations - Added OptionPriceModels class that exposes 12 popular option pricing models to the user: those include Black Scholes, Barone-Adesi Whaley, Bjerksund Stensland, Crank Nicolson FD, Binomial Trees and more. - Modified Greeks class to support lazy evaluation and introduce IV - Partially tested on live data and trading (IQFeed/IB) and backtests. Need more data for tests.	2016-09-20 17:14:25 +02:00
Michael Handschuh	14bd34e64c	Evaluate IOptionPriceModel ... This is done lazily since some of these models can be computationally expensive.	2016-04-07 14:18:23 -04:00
Michael Handschuh	0db7c7d95f	Adds various option data types ... FirstOrderGreeks OptionChain/s OptionContract/s QuoteBars MarketDataType.OptionChain	2016-04-07 13:39:22 -04:00