chore: import upstream snapshot with attribution
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wehub-resource-sync
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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using MathNet.Numerics.RootFinding;
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using QuantConnect.Data;
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using QuantConnect.Data.Consolidators;
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using QuantConnect.Indicators;
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using QuantConnect.Interfaces;
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using QuantConnect.Logging;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Algorithm illustrating the usage of the <see cref="OptionIndicatorBase"/> indicators with mirror-paired contracts
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/// </summary>
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public class OptionIndicatorsMirrorContractsRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private ImpliedVolatility _impliedVolatility;
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private Delta _delta;
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private Gamma _gamma;
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private Vega _vega;
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private Theta _theta;
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private Rho _rho;
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public override void Initialize()
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{
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SetStartDate(2014, 6, 5);
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SetEndDate(2014, 6, 9);
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SetCash(100000);
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var equity = AddEquity("AAPL", Resolution.Daily).Symbol;
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var option = QuantConnect.Symbol.CreateOption("AAPL", Market.USA, OptionStyle.American, OptionRight.Put, 650m, new DateTime(2014, 6, 21));
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AddOptionContract(option, Resolution.Daily);
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// add the call counter side of the mirrored pair
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var mirrorOption = QuantConnect.Symbol.CreateOption("AAPL", Market.USA, OptionStyle.American, OptionRight.Call, 650m, new DateTime(2014, 6, 21));
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AddOptionContract(mirrorOption, Resolution.Daily);
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_delta = D(option, mirrorOption, optionModel: OptionPricingModelType.BinomialCoxRossRubinstein, ivModel: OptionPricingModelType.BlackScholes);
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_gamma = G(option, mirrorOption, optionModel: OptionPricingModelType.ForwardTree, ivModel: OptionPricingModelType.BlackScholes);
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_vega = V(option, mirrorOption, optionModel: OptionPricingModelType.ForwardTree, ivModel: OptionPricingModelType.BlackScholes);
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_theta = T(option, mirrorOption, optionModel: OptionPricingModelType.ForwardTree, ivModel: OptionPricingModelType.BlackScholes);
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_rho = R(option, mirrorOption, optionModel: OptionPricingModelType.ForwardTree, ivModel: OptionPricingModelType.BlackScholes);
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// A custom IV indicator with custom calculation of IV
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var riskFreeRateModel = new InterestRateProvider();
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var dividendYieldModel = new DividendYieldProvider(equity);
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_impliedVolatility = new CustomImpliedVolatility(option, mirrorOption, riskFreeRateModel, dividendYieldModel);
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RegisterIndicator(option, _impliedVolatility, new QuoteBarConsolidator(TimeSpan.FromDays(1)));
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RegisterIndicator(mirrorOption, _impliedVolatility, new QuoteBarConsolidator(TimeSpan.FromDays(1)));
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RegisterIndicator(equity, _impliedVolatility, new TradeBarConsolidator(TimeSpan.FromDays(1)));
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// custom IV smoothing function: assume the lower IV is more "fair"
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Func<decimal, decimal, decimal> smoothingFunc = (iv, mirrorIv) => Math.Min(iv, mirrorIv);
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// set the smoothing function
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_delta.ImpliedVolatility.SetSmoothingFunction(smoothingFunc);
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_gamma.ImpliedVolatility.SetSmoothingFunction(smoothingFunc);
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_vega.ImpliedVolatility.SetSmoothingFunction(smoothingFunc);
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_theta.ImpliedVolatility.SetSmoothingFunction(smoothingFunc);
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_rho.ImpliedVolatility.SetSmoothingFunction(smoothingFunc);
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}
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public override void OnEndOfAlgorithm()
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{
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if (!_impliedVolatility.IsReady || !_delta.IsReady || !_gamma.IsReady || !_vega.IsReady || !_theta.IsReady || !_rho.IsReady)
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{
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throw new RegressionTestException("Expected IV/greeks calculated");
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}
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Debug(@$"Implied Volatility: {_impliedVolatility},
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Delta: {_delta},
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Gamma: {_gamma},
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Vega: {_vega},
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Theta: {_theta},
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Rho: {_rho}");
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}
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/// <summary>
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/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public bool CanRunLocally { get; } = true;
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is written in.
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/// </summary>
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public List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
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/// <summary>
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/// Data Points count of all timeslices of algorithm
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/// </summary>
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public long DataPoints => 51;
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/// <summary>
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/// Data Points count of the algorithm history
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/// </summary>
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public int AlgorithmHistoryDataPoints => 0;
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/// <summary>
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/// Final status of the algorithm
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/// </summary>
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public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
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/// <summary>
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/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
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/// </summary>
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public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Orders", "0"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "0%"},
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{"Drawdown", "0%"},
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{"Expectancy", "0"},
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{"Start Equity", "100000"},
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{"End Equity", "100000"},
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{"Net Profit", "0%"},
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{"Sharpe Ratio", "0"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "0"},
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{"Beta", "0"},
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{"Annual Standard Deviation", "0"},
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{"Annual Variance", "0"},
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{"Information Ratio", "-11.639"},
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{"Tracking Error", "0.037"},
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{"Treynor Ratio", "0"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$0"},
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{"Lowest Capacity Asset", ""},
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{"Portfolio Turnover", "0%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
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};
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}
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public class CustomImpliedVolatility : ImpliedVolatility
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{
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public CustomImpliedVolatility(Symbol option, Symbol mirrorOption, IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel)
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: base(option, riskFreeRateModel, dividendYieldModel, mirrorOption)
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{
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SetSmoothingFunction((iv, mirrorIV) => iv);
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}
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protected override decimal CalculateIV(decimal timeTillExpiry)
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{
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var underlyingPrice = (double)UnderlyingPrice.Current.Value;
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var optionPrice = (double)Price.Current.Value;
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var mirrorOptionPrice = (double)OppositePrice.Current.Value;
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var strike = (double)Strike;
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var timeTillExpiryDouble = (double)timeTillExpiry;
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var riskFreeRate = (double)RiskFreeRate.Current.Value;
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var dividendYield = (double)DividendYield.Current.Value;
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double result;
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// we demonstate put-call parity calculation here, but note that it is not suitable for American options
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try
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{
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Func<double, double> f = (vol) =>
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{
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var callBlackPrice = OptionGreekIndicatorsHelper.BlackTheoreticalPrice(
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vol, underlyingPrice, strike, timeTillExpiryDouble, riskFreeRate, dividendYield, OptionRight.Call);
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var putBlackPrice = OptionGreekIndicatorsHelper.BlackTheoreticalPrice(
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vol, underlyingPrice, strike, timeTillExpiryDouble, riskFreeRate, dividendYield, OptionRight.Put);
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return optionPrice + mirrorOptionPrice - callBlackPrice - putBlackPrice;
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};
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return Convert.ToDecimal(Brent.FindRoot(f, 1e-7d, 2.0d, 1e-4d, 100));
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}
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catch
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{
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Log.Error("ImpliedVolatility.CalculateIV(): Fail to converge, returning 0.");
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return 0m;
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}
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}
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}
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}
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