chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ *
+*/
+
+using QuantConnect.Indicators;
+using QuantConnect.Securities.Option;
+using System;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This example demonstrates how to override the option pricing model with the
+    /// <see cref="IndicatorBasedOptionPriceModel"/> for a given index option security.
+    /// </summary>
+    public class IndicatorBasedOptionPricingModelIndexOptionRegressionAlgorithm : IndicatorBasedOptionPricingModelRegressionAlgorithm
+    {
+        protected override DateTime TestStartDate => new(2021, 1, 4);
+
+        protected override DateTime TestEndDate => new(2021, 1, 4);
+
+        protected override Option GetOption()
+        {
+            var index = AddIndex("SPX");
+            var indexOption = AddIndexOption(index.Symbol);
+            indexOption.SetFilter(u => u.CallsOnly());
+            return indexOption;
+        }
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 4806;
+    }
+}