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12 Commits

Author SHA1 Message Date
Michael Handschuh d709d1c4e0 Update Common to respect CA1304 and CA1305 
Updates all occurrences of parsing/ToString-ing to go through the new
StringExtensions methods that use CultureInfo.InvariantCulture

See #3045
 2019-09-12 14:13:24 -04:00
Stefano Raggi f934322dbc Fix indentation in QLOptionPriceModel 2017-08-23 22:45:36 +02:00
Stefano Raggi 79a85537f5 EnableGreekApproximation is now enabled by default on QL option price models 
This bool property has been moved to the QLOptionPriceModel class and
the same property in the Option class has been obsoleted.
 2017-08-23 22:41:06 +02:00
Anshul ac2f20de70 Fixes three warnings with code CS0168 2017-06-12 17:59:24 +05:30
quant1729 879f5a26d5 Fix makes sure that NaNs, Infs from QLNet don't disrupt our calculations. 
Cosmetic fix in IQFeed test.
 2017-01-18 21:37:15 +08:00
quant1729 145ba7bd83 Updated code as per PR 2017-01-02 19:47:23 +01:00
quant1729 c4c7c935e8 Added exception handling to QL option pricing evaluation 2016-12-13 15:56:19 +01:00
quant1729 50b1a93b5f Theta approximation is fixed. Test. 2016-12-01 07:51:48 +01:00
quant1729 509a122e0c Added temp workaround for QLNet bug in approximating theta. Tests. 2016-11-28 12:14:21 +01:00
quant1729 55299e60fb Added new constructors to IBMapper class 
Added support for history requirements, exposed by vol models. AM processes requirements.
Added new volatility model - standard deviation of returns - default vol model. Compared its results with publicly available.
Refactored option pricing engine to support optimal approximation calculations.
Added basic greeks approximation in case they are not available in QL. Tests.
Updated BasicTemplateOptionHistoryAlgorithm to print greeks.
 2016-11-25 15:11:01 +01:00
quant1729 32ea56f5f6 Got rid of QuantLib binaries replacing it with QLNet (nuget package). Hid QL estimator interfaces from end-user (for now). Added pricing model tests. 2016-09-23 23:01:58 +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