Louis Szeto
b34cea4458
* Using IV to calculate Greeks, and remove single-step stochastic approximation * Correct calculation for theta, vega, rho * Add calculation from Black Calculator and peer review * Address peer review and added unit test * Update some tests and correct vega/eho * Fix Unit Test and Improve Comments Fixes `IndexOptionCallITMGreeksExpiryRegressionAlgorithm` since `Vega` was really non-zero. * Fix regression test and add IV calculation * refactor and bug fixing on peer review * refactor and bug fixing on peer review * for rerun test * add warning on IV estimation not coveraged and edit speed unit test to not exceed 2s per 1000 iteration * update logging * update logging and description * Add default option pricing models and unit tests * address review * Added Fed interest rate as risk-free rate with unit tests and set as default for option greeks calculation, added regression algorithms, addressed peer review * refactor structure of interest rate * Skip Saturday and Sunday * regression test fix * peer review * Fixes Interest Rate Provider Logic * Minor tweaks * Fix start date * Minor test tweak * Update interest rates * Fix unit tests * Add minor log Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com> Co-authored-by: Martin-Molinero <martin@quantconnect.com>
80 lines
3.9 KiB
Python
80 lines
3.9 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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### <summary>
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### Base regression algorithm exercising different style options with option price models that might
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### or might not support them. Also, if the option style is supported, greeks are asserted to be accesible and have valid values.
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### </summary>
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class OptionPriceModelForOptionStylesBaseRegressionAlgorithm(QCAlgorithm):
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def __init__(self):
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super().__init__()
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self._optionStyleIsSupported = False
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self._checkGreeks = True
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self._triedGreeksCalculation = False
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self._option = None
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def OnData(self, slice):
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if self.IsWarmingUp: return
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for kvp in slice.OptionChains:
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if self._option is None or kvp.Key != self._option.Symbol: continue
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self.CheckGreeks([contract for contract in kvp.Value])
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def OnEndOfDay(self, symbol):
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self._checkGreeks = True
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def OnEndOfAlgorithm(self):
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if not self._triedGreeksCalculation:
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raise Exception("Expected greeks to be accessed")
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def Init(self, option, optionStyleIsSupported):
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self._option = option
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self._optionStyleIsSupported = optionStyleIsSupported
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self._checkGreeks = True
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self._triedGreeksCalculation = False
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def CheckGreeks(self, contracts):
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if not self._checkGreeks or len(contracts) == 0: return
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self._checkGreeks = False
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self._triedGreeksCalculation = True
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for contract in contracts:
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greeks = Greeks()
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try:
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greeks = contract.Greeks
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# Greeks should have not been successfully accessed if the option style is not supported
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optionStyleStr = 'American' if self._option.Style == OptionStyle.American else 'European'
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if not self._optionStyleIsSupported:
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raise Exception(f'Expected greeks not to be calculated for {contract.Symbol.Value}, an {optionStyleStr} style option, using {type(self._option.PriceModel).__name__}, which does not support them, but they were')
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except ArgumentException:
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# ArgumentException is only expected if the option style is not supported
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if self._optionStyleIsSupported:
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raise Exception(f'Expected greeks to be calculated for {contract.Symbol.Value}, an {optionStyleStr} style option, using {type(self._option.PriceModel).__name__}, which supports them, but they were not')
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# Greeks should be valid if they were successfuly accessed for supported option style
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# Delta can be {-1, 0, 1} if the price is too wild, rho can be 0 if risk free rate is 0
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# Vega can be 0 if the price is very off from theoretical price, Gamma = 0 if Delta belongs to {-1, 1}
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if (self._optionStyleIsSupported
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and ((contract.Right == OptionRight.Call and (greeks.Delta < 0.0 or greeks.Delta > 1.0 or greeks.Rho < 0.0))
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or (contract.Right == OptionRight.Put and (greeks.Delta < -1.0 or greeks.Delta > 0.0 or greeks.Rho > 0.0))
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or greeks.Theta == 0.0 or greeks.Vega < 0.0 or greeks.Gamma < 0.0)):
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raise Exception(f'Expected greeks to have valid values. Greeks were: Delta: {greeks.Delta}, Rho: {greeks.Rho}, Theta: {greeks.Theta}, Vega: {greeks.Vega}, Gamma: {greeks.Gamma}')
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