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feature-python-dataframe-performance-2
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4 Commits

Author SHA1 Message Date
Stefano Raggi 57d50c69c4 Fix XML documentation compiler warnings 
- Fixed all warnings except for missing XML comments (CS1591)
 2018-11-09 11:44:03 +01:00
Anshul e7a3a2f3bd Fixes 5 warnings with code CS1574 2017-05-18 17:05:09 +05:30
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 0db7c7d95f Adds various option data types 
FirstOrderGreeks
OptionChain/s
OptionContract/s
QuoteBars
MarketDataType.OptionChain
 2016-04-07 13:39:22 -04:00