Jhonathan Abreu
9eb484625d
* Set best recommended model based on option style. The best option model will be used in options indicators based on option style if not specified * Reduced Greeks/IV numerical models steps to 100 * Minor fixes * Minor changes and improvements * Changed default pricing model for IV * Minor performance improvements * Minor performance improvements and fixes * Minor change * Minor regression algorithm fix * Update greek indicators internal IV indicator only when not user provided * Revert unnecessary changes * Minor changes * Cleanup
261 lines
15 KiB
C#
261 lines
15 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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using System;
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using MathNet.Numerics.Distributions;
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using Python.Runtime;
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using QuantConnect.Data;
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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// Option Delta indicator that calculate the delta of an option
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/// </summary>
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/// <remarks>sensitivity of option price relative to $1 of underlying change</remarks>
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public class Delta : OptionGreeksIndicatorBase
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{
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/// <summary>
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/// Initializes a new instance of the Delta class
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/// </summary>
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/// <param name="name">The name of this indicator</param>
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/// <param name="option">The option to be tracked</param>
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/// <param name="riskFreeRateModel">Risk-free rate model</param>
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/// <param name="dividendYieldModel">Dividend yield model</param>
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/// <param name="mirrorOption">The mirror option for parity calculation</param>
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/// <param name="optionModel">The option pricing model used to estimate Delta</param>
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/// <param name="ivModel">The option pricing model used to estimate IV</param>
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public Delta(string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel, Symbol mirrorOption = null,
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OptionPricingModelType? optionModel = null, OptionPricingModelType? ivModel = null)
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: base(name, option, riskFreeRateModel, dividendYieldModel, mirrorOption, optionModel, ivModel)
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{
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}
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/// <summary>
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/// Initializes a new instance of the Delta class
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/// </summary>
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/// <param name="option">The option to be tracked</param>
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/// <param name="riskFreeRateModel">Risk-free rate model</param>
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/// <param name="dividendYieldModel">Dividend yield model</param>
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/// <param name="mirrorOption">The mirror option for parity calculation</param>
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/// <param name="optionModel">The option pricing model used to estimate Delta</param>
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/// <param name="ivModel">The option pricing model used to estimate IV</param>
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public Delta(Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel, Symbol mirrorOption = null,
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OptionPricingModelType? optionModel = null, OptionPricingModelType? ivModel = null)
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: this($"Delta({option},{mirrorOption},{GetOptionModel(optionModel, option.ID.OptionStyle)})", option, riskFreeRateModel,
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dividendYieldModel, mirrorOption, optionModel, ivModel)
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{
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}
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/// <summary>
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/// Initializes a new instance of the Delta class
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/// </summary>
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/// <param name="name">The name of this indicator</param>
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/// <param name="option">The option to be tracked</param>
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/// <param name="riskFreeRateModel">Risk-free rate model</param>
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/// <param name="dividendYieldModel">Dividend yield model</param>
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/// <param name="mirrorOption">The mirror option for parity calculation</param>
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/// <param name="optionModel">The option pricing model used to estimate Delta</param>
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/// <param name="ivModel">The option pricing model used to estimate IV</param>
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public Delta(string name, Symbol option, PyObject riskFreeRateModel, PyObject dividendYieldModel, Symbol mirrorOption = null,
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OptionPricingModelType? optionModel = null, OptionPricingModelType? ivModel = null)
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: base(name, option, riskFreeRateModel, dividendYieldModel, mirrorOption, optionModel, ivModel)
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{
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}
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/// <summary>
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/// Initializes a new instance of the Delta class
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/// </summary>
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/// <param name="option">The option to be tracked</param>
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/// <param name="riskFreeRateModel">Risk-free rate model</param>
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/// <param name="dividendYieldModel">Dividend yield model</param>
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/// <param name="mirrorOption">The mirror option for parity calculation</param>
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/// <param name="optionModel">The option pricing model used to estimate Delta</param>
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/// <param name="ivModel">The option pricing model used to estimate IV</param>
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public Delta(Symbol option, PyObject riskFreeRateModel, PyObject dividendYieldModel, Symbol mirrorOption = null,
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OptionPricingModelType? optionModel = null, OptionPricingModelType? ivModel = null)
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: this($"Delta({option},{mirrorOption},{GetOptionModel(optionModel, option.ID.OptionStyle)})", option, riskFreeRateModel,
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dividendYieldModel, mirrorOption, optionModel, ivModel)
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{
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}
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/// <summary>
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/// Initializes a new instance of the Delta class
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/// </summary>
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/// <param name="name">The name of this indicator</param>
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/// <param name="option">The option to be tracked</param>
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/// <param name="riskFreeRateModel">Risk-free rate model</param>
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/// <param name="dividendYield">Dividend yield, as a constant</param>
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/// <param name="mirrorOption">The mirror option for parity calculation</param>
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/// <param name="optionModel">The option pricing model used to estimate Delta</param>
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/// <param name="ivModel">The option pricing model used to estimate IV</param>
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public Delta(string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, decimal dividendYield = 0.0m, Symbol mirrorOption = null,
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OptionPricingModelType? optionModel = null, OptionPricingModelType? ivModel = null)
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: base(name, option, riskFreeRateModel, dividendYield, mirrorOption, optionModel, ivModel)
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{
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}
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/// <summary>
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/// Initializes a new instance of the Delta class
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/// </summary>
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/// <param name="option">The option to be tracked</param>
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/// <param name="riskFreeRateModel">Risk-free rate model</param>
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/// <param name="dividendYield">Dividend yield, as a constant</param>
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/// <param name="mirrorOption">The mirror option for parity calculation</param>
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/// <param name="optionModel">The option pricing model used to estimate Delta</param>
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/// <param name="ivModel">The option pricing model used to estimate IV</param>
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public Delta(Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, decimal dividendYield = 0.0m, Symbol mirrorOption = null,
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OptionPricingModelType? optionModel = null, OptionPricingModelType? ivModel = null)
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: this($"Delta({option},{mirrorOption},{GetOptionModel(optionModel, option.ID.OptionStyle)})", option, riskFreeRateModel,
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dividendYield, mirrorOption, optionModel, ivModel)
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{
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}
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/// <summary>
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/// Initializes a new instance of the Delta class
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/// </summary>
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/// <param name="name">The name of this indicator</param>
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/// <param name="option">The option to be tracked</param>
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/// <param name="riskFreeRateModel">Risk-free rate model</param>
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/// <param name="dividendYield">Dividend yield, as a constant</param>
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/// <param name="mirrorOption">The mirror option for parity calculation</param>
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/// <param name="optionModel">The option pricing model used to estimate Delta</param>
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/// <param name="ivModel">The option pricing model used to estimate IV</param>
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public Delta(string name, Symbol option, PyObject riskFreeRateModel, decimal dividendYield = 0.0m, Symbol mirrorOption = null,
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OptionPricingModelType? optionModel = null, OptionPricingModelType? ivModel = null)
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: base(name, option, riskFreeRateModel, dividendYield, mirrorOption, optionModel, ivModel)
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{
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}
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/// <summary>
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/// Initializes a new instance of the Delta class
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/// </summary>
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/// <param name="option">The option to be tracked</param>
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/// <param name="riskFreeRateModel">Risk-free rate model</param>
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/// <param name="dividendYield">Dividend yield, as a constant</param>
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/// <param name="mirrorOption">The mirror option for parity calculation</param>
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/// <param name="optionModel">The option pricing model used to estimate Delta</param>
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/// <param name="ivModel">The option pricing model used to estimate IV</param>
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public Delta(Symbol option, PyObject riskFreeRateModel, decimal dividendYield = 0.0m, Symbol mirrorOption = null,
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OptionPricingModelType? optionModel = null, OptionPricingModelType? ivModel = null)
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: this($"Delta({option},{mirrorOption},{GetOptionModel(optionModel, option.ID.OptionStyle)})", option, riskFreeRateModel,
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dividendYield, mirrorOption, optionModel, ivModel)
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{
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}
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/// <summary>
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/// Initializes a new instance of the Delta class
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/// </summary>
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/// <param name="name">The name of this indicator</param>
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/// <param name="option">The option to be tracked</param>am>
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/// <param name="riskFreeRate">Risk-free rate, as a constant</param>
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/// <param name="dividendYield">Dividend yield, as a constant</param>
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/// <param name="mirrorOption">The mirror option for parity calculation</param>
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/// <param name="optionModel">The option pricing model used to estimate Delta</param>
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/// <param name="ivModel">The option pricing model used to estimate IV</param>
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public Delta(string name, Symbol option, decimal riskFreeRate = 0.05m, decimal dividendYield = 0.0m, Symbol mirrorOption = null,
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OptionPricingModelType? optionModel = null, OptionPricingModelType? ivModel = null)
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: base(name, option, riskFreeRate, dividendYield, mirrorOption, optionModel, ivModel)
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{
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}
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/// <summary>
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/// Initializes a new instance of the Delta class
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/// </summary>
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/// <param name="option">The option to be tracked</param>
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/// <param name="riskFreeRate">Risk-free rate, as a constant</param>
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/// <param name="dividendYield">Dividend yield, as a constant</param>
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/// <param name="mirrorOption">The mirror option for parity calculation</param>
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/// <param name="optionModel">The option pricing model used to estimate Delta</param>
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/// <param name="ivModel">The option pricing model used to estimate IV</param>
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public Delta(Symbol option, decimal riskFreeRate = 0.05m, decimal dividendYield = 0.0m, Symbol mirrorOption = null,
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OptionPricingModelType? optionModel = null, OptionPricingModelType? ivModel = null)
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: this($"Delta({option},{mirrorOption},{GetOptionModel(optionModel, option.ID.OptionStyle)})", option, riskFreeRate, dividendYield,
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mirrorOption, optionModel, ivModel)
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{
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}
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/// <summary>
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/// Calculate the Delta of the option
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/// </summary>
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protected override decimal CalculateGreek(decimal timeTillExpiry)
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{
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var math = OptionGreekIndicatorsHelper.DecimalMath;
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switch (_optionModel)
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{
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case OptionPricingModelType.BinomialCoxRossRubinstein:
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var upFactor = math(Math.Exp, ImpliedVolatility * math(Math.Sqrt, timeTillExpiry / OptionGreekIndicatorsHelper.Steps));
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if (upFactor == 1)
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{
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// provide a small step to estimate delta
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upFactor = 1.00001m;
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}
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var sU = UnderlyingPrice * upFactor;
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var sD = UnderlyingPrice / upFactor;
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var fU = OptionGreekIndicatorsHelper.CRRTheoreticalPrice(
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ImpliedVolatility, sU, Strike, timeTillExpiry, RiskFreeRate, DividendYield, Right);
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var fD = OptionGreekIndicatorsHelper.CRRTheoreticalPrice(
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ImpliedVolatility, sD, Strike, timeTillExpiry, RiskFreeRate, DividendYield, Right);
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return OptionGreekIndicatorsHelper.Divide(fU - fD, sU - sD);
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case OptionPricingModelType.ForwardTree:
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var discount = math(Math.Exp, (RiskFreeRate - DividendYield) * timeTillExpiry / OptionGreekIndicatorsHelper.Steps);
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upFactor = math(Math.Exp, ImpliedVolatility * math(Math.Sqrt, timeTillExpiry / OptionGreekIndicatorsHelper.Steps)) * discount;
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if (upFactor == 1)
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{
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// provide a small step to estimate delta
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upFactor = 1.00001m;
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}
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var downFactor = math(Math.Exp, -ImpliedVolatility * math(Math.Sqrt, timeTillExpiry / OptionGreekIndicatorsHelper.Steps)) * discount;
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if (downFactor == 1)
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{
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// provide a small step to estimate delta
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downFactor = 0.99999m;
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}
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sU = UnderlyingPrice * upFactor;
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sD = UnderlyingPrice * downFactor;
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fU = OptionGreekIndicatorsHelper.ForwardTreeTheoreticalPrice(
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ImpliedVolatility, sU, Strike, timeTillExpiry, RiskFreeRate, DividendYield, Right);
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fD = OptionGreekIndicatorsHelper.ForwardTreeTheoreticalPrice(
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ImpliedVolatility, sD, Strike, timeTillExpiry, RiskFreeRate, DividendYield, Right);
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return OptionGreekIndicatorsHelper.Divide(fU - fD, sU - sD);
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case OptionPricingModelType.BlackScholes:
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default:
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var norm = new Normal();
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var d1 = OptionGreekIndicatorsHelper.CalculateD1(UnderlyingPrice, Strike, timeTillExpiry, RiskFreeRate, DividendYield, ImpliedVolatility);
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decimal wholeShareDelta;
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if (Right == OptionRight.Call)
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{
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wholeShareDelta = math(norm.CumulativeDistribution, d1);
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}
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else
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{
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wholeShareDelta = -math(norm.CumulativeDistribution, -d1);
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}
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return wholeShareDelta * math(Math.Exp, -DividendYield * timeTillExpiry);
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}
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}
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}
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}
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