Jhonathan Abreu
4a41c2ea90
Regression Tests / build (push) Has been cancelled
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Build & Test Lean / build (push) Has been cancelled
* Add indicator for allowed option styles to QL option price models * Add and update option price model tests * Update option price models methods sumary to indicate allowed option styles * Add regression algorithms for option price models for different option styles * Update OptionPriceModel regression algorithms to use Lean local data * Add Python regression algorithms for option price models for different option styles * Update OptionPriceModel regression algorithms to assert that greeks are valid * Address changes request * Address changes request * Update OptionPriceModel regression algorithms to check both call and put contracts * Update OptionPriceModel regression algorithms to use correct test data * Update OptionPriceModel regression algorithms to throw in OnData * Address changes request * Update OptionPriceModel regression algorithms to assert greeks are not all zero
33 lines
1.6 KiB
Python
33 lines
1.6 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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from AlgorithmImports import *
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from OptionPriceModelForOptionStylesBaseRegressionAlgorithm import OptionPriceModelForOptionStylesBaseRegressionAlgorithm
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### <summary>
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### Regression algorithm excersizing an equity covered European style option, using an option price model
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### that does not support European style options and asserting that the option price model is not used.
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### </summary>
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class OptionPriceModelForUnsupportedEuropeanOptionRegressionAlgorithm(OptionPriceModelForOptionStylesBaseRegressionAlgorithm):
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def Initialize(self):
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self.SetStartDate(2021, 1, 14)
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self.SetEndDate(2021, 1, 14)
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option = self.AddIndexOption("SPX", Resolution.Hour)
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# BaroneAdesiWhaley model does not support European style options
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option.PriceModel = OptionPriceModels.BaroneAdesiWhaley()
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self.SetWarmup(7, Resolution.Daily)
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self.Init(option, optionStyleIsSupported=False)
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