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)); }
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)); }
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); }