public void EvaluationDateWorksInPortfolioTest()
{
const decimal price = 30.00m;
const decimal underlyingPrice = 200m;
const decimal underlyingVol = 0.25m;
var tz = TimeZones.NewYork;
var spy = Symbols.SPY;
var evaluationDate1 = new DateTime(2015, 2, 19);
var evaluationDate2 = new DateTime(2015, 2, 20);
var SPY_C_192_Feb19_2016E = GetOptionSymbol(spy, OptionStyle.American, OptionRight.Call);
var equity = GetEquity(spy, underlyingPrice, underlyingVol, tz);
var contract = GetOptionContract(SPY_C_192_Feb19_2016E, spy, evaluationDate1);
var optionCall = GetOption(SPY_C_192_Feb19_2016E, equity, tz);
optionCall.SetMarketPrice(new Tick {
Value = price
});
var priceModel = OptionPriceModels.BaroneAdesiWhaley();
var results = priceModel.Evaluate(optionCall, null, contract);
var callPrice1 = results.TheoreticalPrice;
contract.Time = evaluationDate2;
results = priceModel.Evaluate(optionCall, null, contract);
var callPrice2 = results.TheoreticalPrice;
Assert.Greater(callPrice1, callPrice2);
}
public override void Initialize()
{
SetStartDate(2021, 1, 14);
SetEndDate(2021, 1, 14);
var option = AddIndexOption("SPX", Resolution.Hour);
// BaroneAdesiWhaley model does not support European style options
option.PriceModel = OptionPriceModels.BaroneAdesiWhaley();
SetWarmup(7, Resolution.Daily);
Init(option, optionStyleIsSupported: false);
}
public override void Initialize()
{
SetStartDate(2014, 6, 9);
SetEndDate(2014, 6, 9);
var option = AddOption("AAPL", Resolution.Minute);
// BaroneAdesiWhaley model supports American style options
option.PriceModel = OptionPriceModels.BaroneAdesiWhaley();
SetWarmup(2, Resolution.Daily);
Init(option, optionStyleIsSupported: true);
}
public override void Initialize()
{
SetStartDate(2014, 06, 9);
SetEndDate(2014, 06, 15);
var option = AddOption("AAPL", Resolution.Minute);
option.SetFilter((universeFilter) =>
{
return(universeFilter.IncludeWeeklys().Strikes(-1, 1).Expiration(0, 10));
});
option.PriceModel = OptionPriceModels.BaroneAdesiWhaley();
_optionSymbol = option.Symbol;
SetWarmUp(TimeSpan.FromDays(3));
}
public void BaroneAdesiWhaleyPortfolioTest()
{
const decimal price = 30.00m;
const decimal underlyingPrice = 200m;
const decimal underlyingVol = 0.25m;
const decimal riskFreeRate = 0.01m;
var tz = TimeZones.NewYork;
var evaluationDate = new DateTime(2015, 2, 19);
var equity = new Equity(SecurityExchangeHours.AlwaysOpen(tz), new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, tz, tz, true, false, false), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency));
equity.SetMarketPrice(new Tick {
Value = underlyingPrice
});
equity.VolatilityModel = new DummyVolatilityModel(underlyingVol);
var contract = new OptionContract(Symbols.SPY_C_192_Feb19_2016, Symbols.SPY)
{
Time = evaluationDate
};
var optionCall = new Option(SecurityExchangeHours.AlwaysOpen(tz), new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY_C_192_Feb19_2016, Resolution.Minute, tz, tz, true, false, false), new Cash(CashBook.AccountCurrency, 0, 1m), new OptionSymbolProperties(SymbolProperties.GetDefault(CashBook.AccountCurrency)));
optionCall.SetMarketPrice(new Tick {
Value = price
});
optionCall.Underlying = equity;
var priceModel = OptionPriceModels.BaroneAdesiWhaley();
var results = priceModel.Evaluate(optionCall, null, contract);
var callPrice = results.TheoreticalPrice;
var impliedVolatility = results.ImpliedVolatility;
var greeks = results.Greeks;
Assert.Greater(price, callPrice);
Assert.Greater(impliedVolatility, underlyingVol);
// BS equation (inequality)
var rightPart = greeks.Theta + riskFreeRate * underlyingPrice * greeks.Delta + 0.5m * underlyingVol * underlyingVol * underlyingPrice * underlyingPrice * greeks.Gamma;
var leftPart = riskFreeRate * callPrice;
Assert.GreaterOrEqual(Math.Round(leftPart, 4), Math.Round(rightPart, 4));
}
public void EvaluationDateWorksInPortfolioTest()
{
const decimal price = 30.00m;
const decimal underlyingPrice = 200m;
const decimal underlyingVol = 0.25m;
const decimal riskFreeRate = 0.01m;
var tz = TimeZones.NewYork;
var evaluationDate1 = new DateTime(2015, 2, 19);
var evaluationDate2 = new DateTime(2015, 2, 20);
var equity = new Equity(SecurityExchangeHours.AlwaysOpen(tz), new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, tz, tz, true, false, false), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency));
equity.SetMarketPrice(new Tick {
Value = underlyingPrice
});
equity.VolatilityModel = new DummyVolatilityModel(underlyingVol);
var contract = new OptionContract(Symbols.SPY_C_192_Feb19_2016, Symbols.SPY)
{
Time = evaluationDate1
};
var optionCall = new Option(SecurityExchangeHours.AlwaysOpen(tz), new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY_C_192_Feb19_2016, Resolution.Minute, tz, tz, true, false, false), new Cash(CashBook.AccountCurrency, 0, 1m), new OptionSymbolProperties(SymbolProperties.GetDefault(CashBook.AccountCurrency)));
optionCall.SetMarketPrice(new Tick {
Value = price
});
optionCall.Underlying = equity;
var priceModel = OptionPriceModels.BaroneAdesiWhaley();
var results = priceModel.Evaluate(optionCall, null, contract);
var callPrice1 = results.TheoreticalPrice;
contract.Time = evaluationDate2;
results = priceModel.Evaluate(optionCall, null, contract);
var callPrice2 = results.TheoreticalPrice;
Assert.Greater(callPrice1, callPrice2);
}
public void BaroneAdesiWhaleyPortfolioTest()
{
const decimal price = 30.00m;
const decimal underlyingPrice = 200m;
const decimal underlyingVol = 0.25m;
const decimal riskFreeRate = 0.01m;
var tz = TimeZones.NewYork;
var spy = Symbols.SPY;
var evaluationDate = new DateTime(2015, 2, 19);
var SPY_C_192_Feb19_2016E = GetOptionSymbol(spy, OptionStyle.American, OptionRight.Call);
var equity = GetEquity(spy, underlyingPrice, underlyingVol, tz);
var contract = new OptionContract(Symbols.SPY_C_192_Feb19_2016, Symbols.SPY)
{
Time = evaluationDate
};
var optionCall = GetOption(SPY_C_192_Feb19_2016E, equity, tz);
optionCall.SetMarketPrice(new Tick {
Value = price
});
var priceModel = OptionPriceModels.BaroneAdesiWhaley();
var results = priceModel.Evaluate(optionCall, null, contract);
var callPrice = results.TheoreticalPrice;
var impliedVolatility = results.ImpliedVolatility;
var greeks = results.Greeks;
Assert.Greater(price, callPrice);
Assert.Greater(impliedVolatility, underlyingVol);
// BS equation (inequality)
var rightPart = greeks.Theta + riskFreeRate * underlyingPrice * greeks.Delta + 0.5m * underlyingVol * underlyingVol * underlyingPrice * underlyingPrice * greeks.Gamma;
var leftPart = riskFreeRate * callPrice;
Assert.GreaterOrEqual(Math.Round(leftPart, 4), Math.Round(rightPart, 4));
}