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 QLNet;
+using QuantConnect.Indicators;
+using System;
+
+namespace QuantConnect.Securities.Option
+{
+    /// <summary>
+    /// Provides option price models for option securities based on QuantLib implementations
+    /// </summary>
+    public class QLOptionPriceModelProvider : IOptionPriceModelProvider
+    {
+        internal const int TimeStepsBinomial = 100;
+
+        /// <summary>
+        /// Singleton instance of the <see cref="QLOptionPriceModelProvider"/>
+        /// </summary>
+        public static QLOptionPriceModelProvider Instance { get; } = new();
+
+        private QLOptionPriceModelProvider()
+        {
+        }
+
+        /// <summary>
+        /// Gets the option price model for the specified option symbol
+        /// </summary>
+        /// <param name="symbol">The symbol</param>
+        /// <param name="pricingModelType">The option pricing model type to use</param>
+        /// <returns>The option price model for the given symbol</returns>
+        public IOptionPriceModel GetOptionPriceModel(Symbol symbol, OptionPricingModelType? pricingModelType = null)
+        {
+            if (pricingModelType.HasValue)
+            {
+                return GetOptionPriceModel(pricingModelType.Value);
+            }
+
+            return symbol.ID.OptionStyle switch
+            {
+                // CRR model has the best accuracy and speed suggested by
+                // Branka, Zdravka & Tea (2014). Numerical Methods versus Bjerksund and Stensland Approximations for American Options Pricing.
+                // International Journal of Economics and Management Engineering. 8:4.
+                // Available via: https://downloads.dxfeed.com/specifications/dxLibOptions/Numerical-Methods-versus-Bjerksund-and-Stensland-Approximations-for-American-Options-Pricing-.pdf
+                // Also refer to OptionPriceModelTests.MatchesIBGreeksBulk() test,
+                // we select the most accurate and computational efficient model
+                OptionStyle.American => GetOptionPriceModel(OptionPricingModelType.BinomialCoxRossRubinstein),
+                OptionStyle.European => GetOptionPriceModel(OptionPricingModelType.BlackScholes),
+                _ => throw new ArgumentException("Invalid OptionStyle")
+            };
+        }
+        
+        private static QLOptionPriceModel GetOptionPriceModel(OptionPricingModelType pricingModelType)
+        {
+            return pricingModelType switch
+            {
+                OptionPricingModelType.BlackScholes => new QLOptionPriceModel(process => new AnalyticEuropeanEngine(process),
+                    allowedOptionStyles: [OptionStyle.European]),
+                OptionPricingModelType.BinomialCoxRossRubinstein => new QLOptionPriceModel(process => new BinomialVanillaEngine<CoxRossRubinstein>(process, TimeStepsBinomial)),
+                _ => throw new ArgumentException($"Unsupported pricing model type: {pricingModelType}")
+            };
+        }
+    }
+}