public void ReturnsNoneIfNotWarmedUp()
{
const decimal underlyingPrice = 200m;
const decimal underlyingVol = 0.15m;
var tz = TimeZones.NewYork;
var evaluationDate = new DateTime(2015, 2, 19);
var spy = Symbols.SPY;
var SPY_C_192_Feb19_2016E = GetOptionSymbol(spy, OptionStyle.European, OptionRight.Call);
var SPY_P_192_Feb19_2016E = GetOptionSymbol(spy, OptionStyle.European, OptionRight.Put);
// setting up underlying
var equity = GetEquity(spy, underlyingPrice, underlyingVol, tz);
// setting up European style call option
var contractCall = GetOptionContract(SPY_C_192_Feb19_2016E, spy, evaluationDate);
var optionCall = GetOption(SPY_C_192_Feb19_2016E, equity, tz);
// setting up European style put option
var contractPut = GetOptionContract(SPY_P_192_Feb19_2016E, spy, evaluationDate);
var optionPut = GetOption(SPY_P_192_Feb19_2016E, equity, tz);
// running evaluation
var volatilityModel = new Mock <IQLUnderlyingVolatilityEstimator>();
volatilityModel.SetupGet(s => s.IsReady).Returns(false);
var priceModel = new QLOptionPriceModel(process => new AnalyticEuropeanEngine(process),
volatilityModel.Object,
null,
null);
var resultsCall = priceModel.Evaluate(optionCall, null, contractCall);
var resultsPut = priceModel.Evaluate(optionPut, null, contractPut);
Assert.AreEqual(OptionPriceModelResult.None, resultsCall);
Assert.AreEqual(OptionPriceModelResult.None, resultsCall);
}
public void HasBeenWarmedUp(bool warmUp)
{
var volatilityModel = new Mock <IQLUnderlyingVolatilityEstimator>();
volatilityModel.SetupGet(s => s.IsReady).Returns(warmUp);
var priceModel = new QLOptionPriceModel(
process => new IntegralEngine(process),
volatilityModel.Object,
null,
null);
Assert.AreEqual(warmUp, priceModel.VolatilityEstimatorWarmedUp);
}
public void ReturnsNoneIfNotWarmedUp()
{
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));
var SPY_P_192_Feb19_2016E = Symbol.CreateOption("SPY", Market.USA, OptionStyle.European, OptionRight.Put, 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 call option
var contractCall = 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.Underlying = equity;
// setting up European style put option
var contractPut = new OptionContract(SPY_P_192_Feb19_2016E, Symbols.SPY)
{
Time = evaluationDate
};
var optionPut = new Option(
SecurityExchangeHours.AlwaysOpen(tz),
new SubscriptionDataConfig(typeof(TradeBar), SPY_P_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
);
optionPut.Underlying = equity;
// running evaluation
var volatilityModel = new Mock <IQLUnderlyingVolatilityEstimator>();
volatilityModel.SetupGet(s => s.IsReady).Returns(false);
var priceModel = new QLOptionPriceModel(process => new AnalyticEuropeanEngine(process),
volatilityModel.Object,
null,
null);
var resultsCall = priceModel.Evaluate(optionCall, null, contractCall);
var resultsPut = priceModel.Evaluate(optionPut, null, contractPut);
Assert.AreEqual(OptionPriceModelResult.None, resultsCall);
Assert.AreEqual(OptionPriceModelResult.None, resultsCall);
}
