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
@@ -0,0 +1,78 @@
+/*
+ * 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;
+using System.Runtime.CompilerServices;
+
+namespace QuantConnect.Util
+{
+    /// <summary>
+    /// Static class containing useful methods related with options payoff
+    /// </summary>
+    public static class OptionPayoff
+    {
+        /// <summary>
+        /// Intrinsic value function of the option
+        /// </summary>
+        /// <param name="underlyingPrice">The price of the underlying</param>
+        /// <param name="strike">The strike price of the option</param>
+        /// <param name="right">The option right of the option, call or put</param>
+        /// <returns>The intrinsic value remains for the option at expiry</returns>
+        [MethodImpl(MethodImplOptions.AggressiveInlining)]
+        public static decimal GetIntrinsicValue(decimal underlyingPrice, decimal strike, OptionRight right)
+        {
+            return Math.Max(0.0m, GetPayOff(underlyingPrice, strike, right));
+        }
+
+        /// <summary>
+        /// Intrinsic value function of the option
+        /// </summary>
+        /// <param name="underlyingPrice">The price of the underlying</param>
+        /// <param name="strike">The strike price of the option</param>
+        /// <param name="right">The option right of the option, call or put</param>
+        /// <returns>The intrinsic value remains for the option at expiry</returns>
+        [MethodImpl(MethodImplOptions.AggressiveInlining)]
+        public static double GetIntrinsicValue(double underlyingPrice, double strike, OptionRight right)
+        {
+            return Math.Max(0.0, GetPayOff(underlyingPrice, strike, right));
+        }
+
+        /// <summary>
+        /// Option payoff function at expiration time
+        /// </summary>
+        /// <param name="underlyingPrice">The price of the underlying</param>
+        /// <param name="strike">The strike price of the option</param>
+        /// <param name="right">The option right of the option, call or put</param>
+        /// <returns></returns>
+        [MethodImpl(MethodImplOptions.AggressiveInlining)]
+        public static decimal GetPayOff(decimal underlyingPrice, decimal strike, OptionRight right)
+        {
+            return right == OptionRight.Call ? underlyingPrice - strike : strike - underlyingPrice;
+        }
+
+        /// <summary>
+        /// Option payoff function at expiration time
+        /// </summary>
+        /// <param name="underlyingPrice">The price of the underlying</param>
+        /// <param name="strike">The strike price of the option</param>
+        /// <param name="right">The option right of the option, call or put</param>
+        /// <returns></returns>
+        [MethodImpl(MethodImplOptions.AggressiveInlining)]
+        public static double GetPayOff(double underlyingPrice, double strike, OptionRight right)
+        {
+            return right == OptionRight.Call ? underlyingPrice - strike : strike - underlyingPrice;
+        }
+    }
+}