public void BlackScholesPortfolioTest()
{
const decimal price = 20.00m;
const decimal underlyingPrice = 200m;
const decimal underlyingVol = 0.15m;
const decimal riskFreeRate = 0.01m;
var tz = TimeZones.NewYork;
var evaluationDate = new DateTime(2015, 2, 19);
var SPY_C_192_Feb19_2016E = Symbol.CreateOption("SPY", Market.USA, OptionStyle.European, OptionRight.Call, 192m, new DateTime(2016, 02, 19));
// setting up underlying
var equity = new Equity(
SecurityExchangeHours.AlwaysOpen(tz),
new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, tz, tz, true, false, false),
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
equity.SetMarketPrice(new Tick {
Value = underlyingPrice
});
equity.VolatilityModel = new DummyVolatilityModel(underlyingVol);
// setting up European style option
var contract = new OptionContract(SPY_C_192_Feb19_2016E, Symbols.SPY)
{
Time = evaluationDate
};
var optionCall = new Option(
SecurityExchangeHours.AlwaysOpen(tz),
new SubscriptionDataConfig(typeof(TradeBar), SPY_C_192_Feb19_2016E, Resolution.Minute, tz, tz, true, false, false),
new Cash(Currencies.USD, 0, 1m),
new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
optionCall.SetMarketPrice(new Tick {
Value = price
});
optionCall.Underlying = equity;
// running evaluation
var priceModel = OptionPriceModels.BlackScholes();
var results = priceModel.Evaluate(optionCall, null, contract);
var callPrice = results.TheoreticalPrice;
var greeks = results.Greeks;
// BS equation
var rightPart = greeks.Theta + riskFreeRate * underlyingPrice * greeks.Delta + 0.5m * underlyingVol * underlyingVol * underlyingPrice * underlyingPrice * greeks.Gamma;
var leftPart = riskFreeRate * callPrice;
Assert.AreEqual((double)leftPart, (double)rightPart, 0.0001);
}
public void FreeBuyingPowerPercentDefault_Option()
{
const decimal price = 25m;
const decimal underlyingPrice = 25m;
var tz = TimeZones.NewYork;
var equity = new QuantConnect.Securities.Equity.Equity(
SecurityExchangeHours.AlwaysOpen(tz),
new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, tz, tz, true, false, false),
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
equity.SetMarketPrice(new Tick {
Value = underlyingPrice
});
var optionPutSymbol = Symbol.CreateOption(Symbols.SPY, Market.USA, OptionStyle.American, OptionRight.Put, 207m, new DateTime(2015, 02, 27));
var security = new Option(
SecurityExchangeHours.AlwaysOpen(tz),
new SubscriptionDataConfig(typeof(TradeBar), optionPutSymbol, Resolution.Minute, tz, tz, true, false, false),
new Cash(Currencies.USD, 0, 1m),
new OptionSymbolProperties("", Currencies.USD, 100, 0.01m, 1),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
security.SetMarketPrice(new Tick {
Value = price
});
security.Underlying = equity;
var algo = GetAlgorithm();
security.SetLocalTimeKeeper(algo.TimeKeeper.GetLocalTimeKeeper(tz));
var actual = security.BuyingPowerModel.GetMaximumOrderQuantityForTargetBuyingPower(
new GetMaximumOrderQuantityForTargetBuyingPowerParameters(algo.Portfolio, security, 1, 0)).Quantity;
// (100000 * 1) / (25 * 100 contract multiplier) - 1 order due to fees
Assert.AreEqual(39m, actual);
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, security, algo));
Assert.AreEqual(algo.Portfolio.Cash, security.BuyingPowerModel.GetBuyingPower(algo.Portfolio, security, OrderDirection.Buy));
}
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(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
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(Currencies.USD, 0, 1m),
new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
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 void EvaluationDateWorksInPortfolioTest()
{
const decimal price = 30.00m;
const decimal underlyingPrice = 200m;
const decimal underlyingVol = 0.25m;
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(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
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(Currencies.USD, 0, 1m),
new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
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 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(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
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(Currencies.USD, 0, 1m),
new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
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));
}
