public override void Initialize()
{
// this test opens position in the first day of trading, lives through stock split (7 for 1), and closes adjusted position on the second day
SetStartDate(2015, 12, 24);
SetEndDate(2015, 12, 24);
SetCash(1000000);
var option = AddOption("GOOG");
option.PriceModel = OptionPriceModels.CrankNicolsonFD();
option.SetFilter(-2, +2, TimeSpan.Zero, TimeSpan.FromDays(180));
SetBenchmark("GOOG");
}
public override void Initialize()
{
// this test opens position in the first day of trading, lives through stock split (7 for 1), and closes adjusted position on the second day
SetStartDate(2015, 12, 24);
SetEndDate(2015, 12, 24);
SetCash(1000000);
var equity = AddEquity(UnderlyingTicker);
var option = AddOption(UnderlyingTicker);
equity.SetDataNormalizationMode(DataNormalizationMode.Raw);
option.PriceModel = OptionPriceModels.CrankNicolsonFD();
option.SetFilter(-2, +2, TimeSpan.FromDays(00), TimeSpan.FromDays(180));
SetBenchmark(equity.Symbol);
}
public void GreekApproximationTest()
{
const decimal price = 20.00m;
const decimal underlyingPrice = 190m;
const decimal underlyingVol = 0.15m;
var tz = TimeZones.NewYork;
var evaluationDate = new DateTime(2016, 1, 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_P_192_Feb19_2016, Symbols.SPY)
{
Time = evaluationDate
};
var optionPut = new Option(SecurityExchangeHours.AlwaysOpen(tz), new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY_P_192_Feb19_2016, Resolution.Minute, tz, tz, true, false, false), new Cash(CashBook.AccountCurrency, 0, 1m), new OptionSymbolProperties(SymbolProperties.GetDefault(CashBook.AccountCurrency)));
optionPut.SetMarketPrice(new Tick {
Value = price
});
optionPut.Underlying = equity;
var priceModel = (QLOptionPriceModel)OptionPriceModels.CrankNicolsonFD();
priceModel.EnableGreekApproximation = false;
var results = priceModel.Evaluate(optionPut, null, contract);
var greeks = results.Greeks;
Assert.AreEqual(greeks.Theta, 0);
Assert.AreEqual(greeks.Rho, 0);
Assert.AreEqual(greeks.Vega, 0);
priceModel = (QLOptionPriceModel)OptionPriceModels.CrankNicolsonFD();
priceModel.EnableGreekApproximation = true;
results = priceModel.Evaluate(optionPut, null, contract);
greeks = results.Greeks;
Assert.LessOrEqual(greeks.Theta, 0);
Assert.AreNotEqual(greeks.Rho, 0);
Assert.Greater(greeks.Vega, 0);
}
public override void Initialize()
{
// this test opens position in the first day of trading, lives through stock split (7 for 1), and closes adjusted position on the second day
SetStartDate(2015, 12, 24);
SetEndDate(2015, 12, 24);
SetCash(1000000);
var option = AddOption("GOOG");
// add the initial contract filter
option.SetFilter(-2, +2, TimeSpan.Zero, TimeSpan.FromDays(180));
// set the pricing model for Greeks and volatility
// find more pricing models https://www.quantconnect.com/lean/documentation/topic27704.html
option.PriceModel = OptionPriceModels.CrankNicolsonFD();
// set the warm-up period for the pricing model
SetWarmup(TimeSpan.FromDays(4));
// set the benchmark to be the initial cash
SetBenchmark(d => 1000000);
}
public void GreekApproximationTest()
{
const decimal price = 20.00m;
const decimal underlyingPrice = 190m;
const decimal underlyingVol = 0.15m;
var tz = TimeZones.NewYork;
var evaluationDate = new DateTime(2016, 1, 19);
var spy = Symbols.SPY;
var equity = GetEquity(spy, underlyingPrice, underlyingVol, tz);
var contract = GetOptionContract(Symbols.SPY_P_192_Feb19_2016, spy, evaluationDate);
var optionPut = GetOption(Symbols.SPY_P_192_Feb19_2016, equity, tz);
optionPut.SetMarketPrice(new Tick {
Value = price
});
var priceModel = (QLOptionPriceModel)OptionPriceModels.CrankNicolsonFD();
priceModel.EnableGreekApproximation = false;
var results = priceModel.Evaluate(optionPut, null, contract);
var greeks = results.Greeks;
Assert.AreEqual(greeks.Theta, 0);
Assert.AreEqual(greeks.Rho, 0);
Assert.AreEqual(greeks.Vega, 0);
priceModel = (QLOptionPriceModel)OptionPriceModels.CrankNicolsonFD();
priceModel.EnableGreekApproximation = true;
results = priceModel.Evaluate(optionPut, null, contract);
greeks = results.Greeks;
Assert.LessOrEqual(greeks.Theta, 0);
Assert.AreNotEqual(greeks.Rho, 0);
Assert.Greater(greeks.Vega, 0);
}