Jhonathan Abreu
4a41c2ea90
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
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
1.5 KiB
Python
33 lines
1.5 KiB
Python
# 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 *
|
|
from OptionPriceModelForOptionStylesBaseRegressionAlgorithm import OptionPriceModelForOptionStylesBaseRegressionAlgorithm
|
|
|
|
### <summary>
|
|
### Regression algorithm excersizing an equity covered American style option, using an option price model
|
|
### that supports American style options and asserting that the option price model is used.
|
|
### </summary>
|
|
class OptionPriceModelForUnsupportedAmericanOptionRegressionAlgorithm(OptionPriceModelForOptionStylesBaseRegressionAlgorithm):
|
|
def Initialize(self):
|
|
self.SetStartDate(2014, 6, 9)
|
|
self.SetEndDate(2014, 6, 9)
|
|
|
|
option = self.AddOption("AAPL", Resolution.Minute)
|
|
# BlackSholes model does not support American style options
|
|
option.PriceModel = OptionPriceModels.BlackScholes()
|
|
|
|
self.SetWarmup(2, Resolution.Daily)
|
|
|
|
self.Init(option, optionStyleIsSupported=False)
|