Commit Graph

1 Commits

Author SHA1 Message Date
Louis Szeto b34cea4458 Calculate Option Greeks with Implied Volatility (#6720)
* Using IV to calculate Greeks, and remove single-step stochastic approximation

* Correct calculation for theta, vega, rho

* Add calculation from Black Calculator and peer review

* Address peer review and added unit test

* Update some tests and correct vega/eho

* Fix Unit Test and Improve Comments

Fixes `IndexOptionCallITMGreeksExpiryRegressionAlgorithm` since `Vega` was really non-zero.

* Fix regression test and add IV calculation

* refactor and bug fixing on peer review

* refactor and bug fixing on peer review

* for rerun test

* add warning on IV estimation not coveraged and edit speed unit test to not exceed 2s per 1000 iteration

* update logging

* update logging and description

* Add default option pricing models and unit tests

* address review

* Added Fed interest rate as risk-free rate with unit tests and set as default for option greeks calculation, added regression algorithms, addressed peer review

* refactor structure of interest rate

* Skip Saturday and Sunday

* regression test fix

* peer review

* Fixes Interest Rate Provider Logic

* Minor tweaks

* Fix start date

* Minor test tweak

* Update interest rates

* Fix unit tests

* Add minor log

Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
2022-11-17 13:35:42 -03:00