chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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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.
+
+from AlgorithmImports import *
+from OptionPriceModelForOptionStylesBaseRegressionAlgorithm import OptionPriceModelForOptionStylesBaseRegressionAlgorithm
+
+### <summary>
+### Regression algorithm exercising an equity covered American style option, using an option price model
+### that supports American style options and asserting that the option price model is used.
+### </summary>
+class OptionPriceModelForSupportedAmericanOptionRegressionAlgorithm(OptionPriceModelForOptionStylesBaseRegressionAlgorithm):
+    def initialize(self):
+        self.set_start_date(2014, 6, 9)
+        self.set_end_date(2014, 6, 9)
+
+        option = self.add_option("AAPL", Resolution.MINUTE)
+        option.set_filter(lambda u: u.standards_only().strikes(-1, 1).expiration(0, 35))
+
+        # BaroneAdesiWhaley model supports American style options
+        option.price_model = OptionPriceModels.QuantLib.barone_adesi_whaley()
+
+        self.set_warmup(2, Resolution.DAILY)
+
+        self.init(option, option_style_is_supported=True)