Jhonathan Abreu
e29bb2c5e0
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* Initial options universe with greeks implementation * Options universe improvements * Address peer review * File based options universe fixes and improvements. - Adjust OptionUniverse start-end times and period. - Adapt unit tests and some algorithms to pass with new options universe selection. * Updated options regression algorithms stats for new universe data * Updated options regression algorithms stats for new universe data * Updated options regression algorithms stats for new universe data * Updated options regression algorithms stats for new universe data * Updated options regression algorithms stats for new universe data * Option chain provider with new options universe * Allow canonical option history requests * Address peer review * Address peer review * Fix symbols parsing in OptionUniverse * Fix universe selection subscriptions start time to not include extended market hours * Minor changes * Minor changes * Peer recommended changes and fixes * Update regression algorithm stats * Update regression algorithms stats and minor fixes * Fix option chain provider history request * Round option indicators values * Added option universe csv header property * Update regression algorithms stats * Update regression algorithms stats * Data fixes and regression algos stats update * Unit test fixes * Minor changes * Option chain handling in live trading data feed * Minor changes * Added processed data provider * Fix thread-safety violation in Slice class * Minor change * Update options filter universe API to use OptionUniverse data Add new filter methods for greeks, IV and open interest * Option filter universe api updates * Add OptionUniverse history regression algorithms * Add regression algorithms for new options filter universe api methods * Added options greeks data and updated regression algorithms * Address peer review * Address peer review * Add more assertions to new options filter api regression algorithms * Minor performance improvement. Reduce greeks binomial model steps to 140 * Minor tests updates * Greeks numerical models performance improvements * Greeks numerical models performance improvements * Revert array pool change for option pricing numerical models * Update default dividend yield provider depending on option type * [TEST] * Add helper method con calculate time till expiration * Use double in price option numerical models * Implied volatility calculation improvements - Adjust root finding method accuracy as a factor of the option price - Use BSM to get a first guess * Cleanup * Some regression algorithms and unit tests cleanup * Regression tests updates after rebasing from master * Add universe files * Self review and cleanup * Minor regression tests updates after rebase * Fix: set data time zone to same as exchange tz for options universes * Minor change * Minor change * Fix for live trading options universe selection * Keep underlying when aggregating collections in BaseDataCollectionAggregatorEnumerator * Update index options regression algorithms stats * Minor change * Address peer review * Memory usage improvements * Minor build fix * Minor changes and test fixes * Cache symbols in OptionUniverse * Cleanup * Fix index option creation in OptionUniverse * Use cached underlying SID when parsing from string * Abstract symbols cache to BaseDataCollection * Return actual underlying symbol when mapping decomposing ICO ticker * Address peer review * Minor performance improvements reduce garbage * Limit Symbols and SIDs cache size to help with memory usage * Minor fix in symbols and sid cache cleanup * Build fix * Lazily parse greeks on individual access * Cleanup and tests * Address peer review * Minor greeks fix --------- Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
79 lines
3.5 KiB
C#
79 lines
3.5 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 System.Runtime.CompilerServices;
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namespace QuantConnect.Util
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{
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/// <summary>
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/// Static class containing useful methods related with options payoff
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/// </summary>
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public static class OptionPayoff
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{
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/// <summary>
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/// Intrinsic value function of the option
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/// </summary>
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/// <param name="underlyingPrice">The price of the underlying</param>
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/// <param name="strike">The strike price of the option</param>
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/// <param name="right">The option right of the option, call or put</param>
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/// <returns>The intrinsic value remains for the option at expiry</returns>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static decimal GetIntrinsicValue(decimal underlyingPrice, decimal strike, OptionRight right)
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{
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return Math.Max(0.0m, GetPayOff(underlyingPrice, strike, right));
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}
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/// <summary>
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/// Intrinsic value function of the option
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/// </summary>
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/// <param name="underlyingPrice">The price of the underlying</param>
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/// <param name="strike">The strike price of the option</param>
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/// <param name="right">The option right of the option, call or put</param>
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/// <returns>The intrinsic value remains for the option at expiry</returns>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static double GetIntrinsicValue(double underlyingPrice, double strike, OptionRight right)
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{
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return Math.Max(0.0, GetPayOff(underlyingPrice, strike, right));
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}
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/// <summary>
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/// Option payoff function at expiration time
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/// </summary>
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/// <param name="underlyingPrice">The price of the underlying</param>
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/// <param name="strike">The strike price of the option</param>
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/// <param name="right">The option right of the option, call or put</param>
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/// <returns></returns>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static decimal GetPayOff(decimal underlyingPrice, decimal strike, OptionRight right)
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{
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return right == OptionRight.Call ? underlyingPrice - strike : strike - underlyingPrice;
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}
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/// <summary>
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/// Option payoff function at expiration time
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/// </summary>
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/// <param name="underlyingPrice">The price of the underlying</param>
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/// <param name="strike">The strike price of the option</param>
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/// <param name="right">The option right of the option, call or put</param>
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/// <returns></returns>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static double GetPayOff(double underlyingPrice, double strike, OptionRight right)
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{
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return right == OptionRight.Call ? underlyingPrice - strike : strike - underlyingPrice;
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}
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}
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}
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