Ricardo Andrés Marino Rojas
ead2efe6b9
* First draft of the solution * Add missing changes * Remove the new KPI's from report * Fix bugs * nit change * Add improvements * Fix regression tests * Solve bugs in the regression algos * Fix regression tests bugs * Expand unit tests and add minor changes
45 lines
2.4 KiB
Python
45 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(100000)
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self.AddEquity("AAPL", Resolution.Minute)
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option = Symbol.CreateOption("AAPL", Market.USA, OptionStyle.American, OptionRight.Put, 505, datetime(2014, 6, 27))
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self.AddOptionContract(option, Resolution.Minute)
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self.impliedVolatility = self.IV(option, optionModel = OptionPricingModelType.BlackScholes, period = 2)
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self.delta = self.D(option, optionModel = OptionPricingModelType.BinomialCoxRossRubinstein, ivModel = OptionPricingModelType.BlackScholes)
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self.gamma = self.G(option, optionModel = OptionPricingModelType.ForwardTree, ivModel = OptionPricingModelType.BlackScholes)
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self.vega = self.V(option, optionModel = OptionPricingModelType.ForwardTree, ivModel = OptionPricingModelType.BlackScholes)
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self.theta = self.T(option, optionModel = OptionPricingModelType.ForwardTree, ivModel = OptionPricingModelType.BlackScholes)
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self.rho = self.R(option, optionModel = OptionPricingModelType.ForwardTree, ivModel = OptionPricingModelType.BlackScholes)
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def OnEndOfAlgorithm(self):
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if self.impliedVolatility.Current.Value == 0 or self.delta.Current.Value == 0 or self.gamma.Current.Value == 0 \
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or self.vega.Current.Value == 0 or self.theta.Current.Value == 0 or self.rho.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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Gamma: {self.gamma.Current.Value},
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Vega: {self.vega.Current.Value},
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Theta: {self.theta.Current.Value},
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Rho: {self.rho.Current.Value}""")
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