コード例 #1
0
        public void TestLongCallsPuts()
        {
            const decimal price           = 1.2345m;
            const decimal underlyingPrice = 200m;
            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(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency));

            equity.SetMarketPrice(new Tick {
                Value = underlyingPrice
            });

            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("", CashBook.AccountCurrency.ToUpper(), 100, 0.01m, 1));

            optionPut.SetMarketPrice(new Tick {
                Value = price
            });
            optionPut.Underlying = equity;
            optionPut.Holdings.SetHoldings(1m, 2);

            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("", CashBook.AccountCurrency.ToUpper(), 100, 0.01m, 1));

            optionCall.SetMarketPrice(new Tick {
                Value = price
            });
            optionCall.Underlying = equity;
            optionCall.Holdings.SetHoldings(1.5m, 2);

            var buyingPowerModel = new TestOptionMarginBuyingPowerModel();

            // we expect long positions to be 100% charged.
            Assert.AreEqual(optionPut.Holdings.AbsoluteHoldingsCost, buyingPowerModel.GetMaintenanceMargin(optionPut));
            Assert.AreEqual(optionCall.Holdings.AbsoluteHoldingsCost, buyingPowerModel.GetMaintenanceMargin(optionCall));
        }
コード例 #2
0
        public void TestShortCallsITM()
        {
            const decimal price           = 14m;
            const decimal underlyingPrice = 196m;
            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(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency));

            equity.SetMarketPrice(new Tick {
                Value = underlyingPrice
            });

            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("", CashBook.AccountCurrency.ToUpper(), 100, 0.01m, 1));

            optionCall.SetMarketPrice(new Tick {
                Value = price
            });
            optionCall.Underlying = equity;
            optionCall.Holdings.SetHoldings(price, -2);

            var buyingPowerModel = new TestOptionMarginBuyingPowerModel();

            // short option positions are very expensive in terms of margin.
            // Margin = 2 * 100 * (14 + 0.2 * 196) = 10640
            Assert.AreEqual(10640m, buyingPowerModel.GetMaintenanceMargin(optionCall));
        }
コード例 #3
0
        public void TestShortPutFarITM()
        {
            const decimal price           = 0.18m;
            const decimal underlyingPrice = 200m;

            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(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency));

            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 optionPut       = new Option(SecurityExchangeHours.AlwaysOpen(tz), new SubscriptionDataConfig(typeof(TradeBar), optionPutSymbol, Resolution.Minute, tz, tz, true, false, false), new Cash(CashBook.AccountCurrency, 0, 1m), new OptionSymbolProperties("", CashBook.AccountCurrency.ToUpper(), 100, 0.01m, 1));

            optionPut.SetMarketPrice(new Tick {
                Value = price
            });
            optionPut.Underlying = equity;
            optionPut.Holdings.SetHoldings(price, -2);

            var buyingPowerModel = new TestOptionMarginBuyingPowerModel();

            // short option positions are very expensive in terms of margin.
            // Margin = 2 * 100 * (0.18 + 0.2 * 200) = 8036
            Assert.AreEqual(8036, (double)buyingPowerModel.GetMaintenanceMargin(optionPut), 0.01);
        }