Commit Graph

5 Commits

Author SHA1 Message Date
Jhonathan Abreu a8592e08b5 Greeks calculation on expiration date (#8465)
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* Add helper method to calculate options expiration date time

This allows to compute accurate time till expiry for greek indicators to be able to calculate on the actual expiration date before market close

* Update tolerance in greek indicators tests

* Minor fix

* Modify helper method to calculate settlement time instead of expiration time

* Cache option expiration date time

* Minor changes

* Minor changes
2024-12-13 18:23:31 -04:00
Jhonathan Abreu 9b332c2149 Dividend yield calculation fix (#8264)
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* Fix dividend yield calculation

* Get security price as input for dividend yield provider

* Account for splits in dividend yield provider

* Fix split adjustment for dividend yield calculation

* Use right dividend yield in options indicators
2024-08-19 09:30:05 -04:00
Martin-Molinero 12644f8b2a Minor fixes for IndicatorHistory and IV (#8174)
* Minor fixes for IndicatorHistory and IV

- Minor fix for IndicatorHistory, use ScaledRaw data normalization mode
  for option indicators. Adding unit test
- Expand the IV expected upper range to 400%, given values can be higher
  than previous value of 200%
- Adjust IV to use smoothing function only when both option calculations
  succeed

* Updating regression algorithm expected greeks, minor change
2024-07-09 10:54:55 -03:00
Ricardo Andrés Marino Rojas a2b420cb0a Fix warnings part 8 (#8113)
* Fix CA1819 and CA1002 warnings

Changed the type of Languages statistic in regression tests from
Language[] to List<Language>. By doing that, the warning CA1819 was
removed but then the warning CA1002 was raised. However, this warning
was expected to be excluded from QuantConnect.Algorithm.CSharp.

* Improve implementation

* Simplify code

* Fix bugs
2024-06-28 10:10:30 -03:00
Martin-Molinero 88d7380a53 Use SPY as default dividend yield for Index/Future greeks (#8056)
- Index and FOPs will use SPY as the default dividend providers, adding regression algorithms for them
2024-05-28 15:48:21 -03:00