-
Feature 2839 black scholes data generator (#6135)
frostbyte_neo 发布于
2022-01-10 20:21:03 +00:00 | 2026 次提交 在此版本后已推送到 master-
replace to local functions as they are more performant
-
fix random generator upper bound
Next() includes minValue, but not maxValue, so we increment it +1
-
introduce abstract layers
-
refactoring
-
fix tets
-
adapt tests
-
fixup
-
implement blackschole price model for options
-
use risk free rate
-
use ql price model
-
wip
-
change interface
-
fix
-
tidy up the code
-
wip
-
iterate groupped symbols
-
wip
-
wip
-
fix
-
allow symbol of different types
-
improve settings
-
wip
-
iterate full range
-
fix issue with negative option
-
fix
-
fixup
-
use StandardDeviationOfReturnsVolatilityModel
-
re-use existing tick types per security type
-
parametrize underlying security type
-
use default option style
-
dynamic option price model
-
fix enumeration
-
test
-
fix unit tests
-
refactor code
-
remove unused file
-
minor tweaks and refactoring
-
rename symbol generator class
-
fix interface
-
add comments
-
more comments and unit tests
-
more tests
-
add disclaimer
-
more tests
-
more comments and tests
-
split tests into different files
-
tidy up the code
-
tidy up the code; more tests
-
refactor TickGenerator => use security price directly on each iteration
-
remove dupe; reuse main constructor
-
use SecurityManager, refactor code
-
bugfix: save ticks in history array
-
check volatility warm up & tests
-
more unit tests
-
describe volatility period span in settings
-
rename command line option
-
Minor adjusments. Address review
- Use Lean log handler instead of writting directly to console
- Rename BlackShcolesPriceGenerator to generically OptionPriceModelPriceGenerator
- Minor format clean up & standarization
- Add support for specifying the option chain size
-
Rename TickGenerator private fields
-
Fix unit tests
-
fix tests class name
-
Support tickers being specified
Co-authored-by: Martin-Molinero martin@quantconnect.com
下载附件
-