Louis Szeto
e39cec40f5
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* dividend yield plug-in model interface * dividend yield model python wrapper * Implement symbol dividend yield models * unit tests on dividend yield provider * Update IV indicator * IV indicator unit tests * update Delta indicator * Delta indicator unit tests * update helper method * Nit * Address peer review * Address 2nd peer review * readability * Regression tests * dividend yield model * Address review * Fix unit tests * Minor fix * Fix tests --------- Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
50 lines
2.4 KiB
Python
50 lines
2.4 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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class OptionIndicatorsRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2014, 6, 5)
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self.SetEndDate(2014, 6, 7)
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self.SetCash(1000000)
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self.aapl = self.AddEquity("AAPL", Resolution.Daily).Symbol
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self.option = Symbol.CreateOption("AAPL", Market.USA, OptionStyle.American, OptionRight.Put, 505, datetime(2014, 6, 27))
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self.AddOptionContract(self.option)
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interestRateProvider = InterestRateProvider()
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dividendYieldProvider = DividendYieldProvider(self.aapl)
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self.impliedVolatility = ImpliedVolatility(self.option, interestRateProvider, dividendYieldProvider, 2, OptionPricingModelType.BlackScholes)
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self.delta = Delta(self.option, interestRateProvider, dividendYieldProvider, OptionPricingModelType.BinomialCoxRossRubinstein, OptionPricingModelType.BlackScholes)
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def OnData(self, slice):
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if slice.Bars.ContainsKey(self.aapl) and slice.QuoteBars.ContainsKey(self.option):
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underlyingDataPoint = IndicatorDataPoint(self.aapl, slice.Time, slice.Bars[self.aapl].Close)
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optionDataPoint = IndicatorDataPoint(self.option, slice.Time, slice.QuoteBars[self.option].Close)
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self.impliedVolatility.Update(underlyingDataPoint)
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self.impliedVolatility.Update(optionDataPoint)
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self.delta.Update(underlyingDataPoint)
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self.delta.Update(optionDataPoint)
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def OnEndOfAlgorithm(self):
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if self.impliedVolatility.Current.Value == 0 or self.delta.Current.Value == 0:
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raise Exception("Expected IV/greeks calculated")
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self.Debug(f"""Implied Volatility: {self.impliedVolatility.Current.Value},
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Delta: {self.delta.Current.Value}""")
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