Jhonathan Abreu
e68ee853db
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* Implement indicator-based option price model This model uses IV and Greeks indicators to implement Lean's own option pricing model * Minor fixes * Address peer review * Minor tests fixes * Make the indicator based price model the default for options * Address peer review * Cleanup and minor changes * Support indicators configuration for new pricing model * Some cleanup * Add QL option price model example algorithm * Return lean models from static helpers * Minor tests fixes * Minor test fixes * Address peer review * Cleanup * Fix unit tests * Move QL models to OptionPriceModels.QuantLib.* * Add forward tree helper method
47 lines
1.7 KiB
C#
47 lines
1.7 KiB
C#
/*
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* 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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*
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*/
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using QuantConnect.Indicators;
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using QuantConnect.Securities.Option;
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using System;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This example demonstrates how to override the option pricing model with the
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/// <see cref="IndicatorBasedOptionPriceModel"/> for a given index option security.
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/// </summary>
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public class IndicatorBasedOptionPricingModelIndexOptionRegressionAlgorithm : IndicatorBasedOptionPricingModelRegressionAlgorithm
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{
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protected override DateTime TestStartDate => new(2021, 1, 4);
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protected override DateTime TestEndDate => new(2021, 1, 4);
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protected override Option GetOption()
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{
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var index = AddIndex("SPX");
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var indexOption = AddIndexOption(index.Symbol);
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indexOption.SetFilter(u => u.CallsOnly());
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return indexOption;
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}
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/// <summary>
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/// Data Points count of all timeslices of algorithm
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/// </summary>
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public override long DataPoints => 4806;
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}
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}
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