# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.

from AlgorithmImports import *

class OptionIndicatorsRegressionAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2014, 6, 5)
        self.SetEndDate(2014, 6, 7)
        self.SetCash(100000)

        self.AddEquity("AAPL", Resolution.Minute)
        option = Symbol.CreateOption("AAPL", Market.USA, OptionStyle.American, OptionRight.Put, 505, datetime(2014, 6, 27))
        self.AddOptionContract(option, Resolution.Minute)

        self.impliedVolatility = self.IV(option, optionModel = OptionPricingModelType.BlackScholes, period = 2)
        self.delta = self.D(option, optionModel = OptionPricingModelType.BinomialCoxRossRubinstein, ivModel = OptionPricingModelType.BlackScholes)
        self.gamma = self.G(option, optionModel = OptionPricingModelType.ForwardTree, ivModel = OptionPricingModelType.BlackScholes)
        self.vega = self.V(option, optionModel = OptionPricingModelType.ForwardTree, ivModel = OptionPricingModelType.BlackScholes)
        self.theta = self.T(option, optionModel = OptionPricingModelType.ForwardTree, ivModel = OptionPricingModelType.BlackScholes)
        self.rho = self.R(option, optionModel = OptionPricingModelType.ForwardTree, ivModel = OptionPricingModelType.BlackScholes)

    def OnEndOfAlgorithm(self):
        if self.impliedVolatility.Current.Value == 0 or self.delta.Current.Value == 0 or self.gamma.Current.Value == 0 \
        or self.vega.Current.Value == 0 or self.theta.Current.Value == 0 or self.rho.Current.Value == 0:
            raise Exception("Expected IV/greeks calculated")

        self.Debug(f"""Implied Volatility: {self.impliedVolatility.Current.Value},
Delta: {self.delta.Current.Value},
Gamma: {self.gamma.Current.Value},
Vega: {self.vega.Current.Value},
Theta: {self.theta.Current.Value},
Rho: {self.rho.Current.Value}""")