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 System;
+
+namespace QuantConnect.Securities.Option
+{
+    /// <summary>
+    /// Static class contains definitions of major option pricing models that can be used in LEAN
+    /// </summary>
+    /// <remarks>
+    /// To introduce particular model into algorithm add the following line to the algorithm's Initialize() method:
+    ///
+    ///     option.PriceModel = OptionPriceModels.BlackScholes(); // Option pricing model of choice
+    ///
+    /// </remarks>
+    public static partial class OptionPriceModels
+    {
+        /// <summary>
+        /// Default option price model provider used by LEAN when creating price models.
+        /// </summary>
+        internal static IOptionPriceModelProvider DefaultPriceModelProvider { get; set; }
+
+        /// <summary>
+        /// Null pricing engine that returns the current price as the option theoretical price.
+        /// It will also set the option Greeks and implied volatility to zero, effectively disabling the pricing.
+        /// </summary>
+        public static IOptionPriceModel Null()
+        {
+            return new CurrentPriceOptionPriceModel();
+        }
+
+        /// <summary>
+        /// Pricing engine for Black-Scholes model.
+        /// </summary>
+        /// <returns>New option price model instance</returns>
+        public static IOptionPriceModel BlackScholes()
+        {
+            return DefaultPriceModelProvider.GetOptionPriceModel(Symbol.Empty, Indicators.OptionPricingModelType.BlackScholes);
+        }
+
+        /// <summary>
+        /// Pricing engine for Cox-Ross-Rubinstein (CRR) model.
+        /// </summary>
+        /// <returns>New option price model instance</returns>
+        public static IOptionPriceModel BinomialCoxRossRubinstein()
+        {
+            return DefaultPriceModelProvider.GetOptionPriceModel(Symbol.Empty, Indicators.OptionPricingModelType.BinomialCoxRossRubinstein);
+        }
+
+        /// <summary>
+        /// Pricing engine for forward binomial tree model.
+        /// </summary>
+        /// <returns>New option price model instance</returns>
+        public static IOptionPriceModel ForwardTree()
+        {
+            return DefaultPriceModelProvider.GetOptionPriceModel(Symbol.Empty, Indicators.OptionPricingModelType.ForwardTree);
+        }
+    }
+}