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 +1,158 @@
+/*
+ * 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 QuantConnect.Data;
+using QuantConnect.Data.Market;
+using QuantConnect.Securities.Option;
+using System;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// Helper class that holds and updates the greeks indicators
+    /// </summary>
+    public class GreeksIndicators
+    {
+        private readonly static IRiskFreeInterestRateModel _interestRateProvider = new InterestRateProvider();
+        private readonly static IDividendYieldModel _constantDividendYieldModel = new ConstantDividendYieldModel(0);
+
+        private readonly Symbol _optionSymbol;
+        private readonly Symbol _mirrorOptionSymbol;
+
+        /// <summary>
+        /// Gets the implied volatility indicator
+        /// </summary>
+        public ImpliedVolatility ImpliedVolatility { get; }
+
+        /// <summary>
+        /// Gets the delta indicator
+        /// </summary>
+        public Delta Delta { get; }
+
+        /// <summary>
+        /// Gets the gamma indicator
+        /// </summary>
+        public Gamma Gamma { get; }
+
+        /// <summary>
+        /// Gets the vega indicator
+        /// </summary>
+        public Vega Vega { get; }
+
+        /// <summary>
+        /// Gets the daily theta indicator
+        /// </summary>
+        public Theta ThetaPerDay { get; }
+
+        /// <summary>
+        /// Gets the rho indicator
+        /// </summary>
+        public Rho Rho { get; }
+
+        /// <summary>
+        /// Gets the interest rate used in the calculations
+        /// </summary>
+        public decimal InterestRate => Delta.RiskFreeRate;
+
+        /// <summary>
+        /// Gets the dividend yield used in the calculations
+        /// </summary>
+        public decimal DividendYield => Delta.DividendYield;
+
+        /// <summary>
+        /// Gets the current greeks values
+        /// </summary>
+        public Greeks Greeks
+        {
+            get
+            {
+                return new Greeks(Delta, Gamma, Vega, Greeks.GetSafeTheta(ThetaPerDay.Current.Value), Rho, 0m);
+            }
+        }
+
+        /// <summary>
+        /// Whether the mirror option is set and will be used in the calculations.
+        /// </summary>
+        public bool UseMirrorOption => _mirrorOptionSymbol != null;
+
+        /// <summary>
+        /// Gets the current result of the greeks indicators, including the implied volatility, theoretical price and greeks values
+        /// </summary>
+        public OptionPriceModelResult CurrentResult => new OptionPriceModelResult(ImpliedVolatility.TheoreticalPrice, ImpliedVolatility, Greeks);
+
+        /// <summary>
+        /// Gets the dividend yield model to be used in the calculations for the specified option symbol.
+        /// </summary>
+        public static IDividendYieldModel GetDividendYieldModel(Symbol optionSymbol)
+        {
+            return optionSymbol.SecurityType != SecurityType.IndexOption
+                ? DividendYieldProvider.CreateForOption(optionSymbol)
+                : _constantDividendYieldModel;
+        }
+
+        /// <summary>
+        /// Creates a new instance of the <see cref="GreeksIndicators"/> class
+        /// </summary>
+        public GreeksIndicators(Symbol optionSymbol, Symbol mirrorOptionSymbol, OptionPricingModelType? optionModel = null,
+            OptionPricingModelType? ivModel = null, IDividendYieldModel dividendYieldModel = null,
+            IRiskFreeInterestRateModel riskFreeInterestRateModel = null)
+        {
+            _optionSymbol = optionSymbol;
+            _mirrorOptionSymbol = mirrorOptionSymbol;
+
+            dividendYieldModel ??= GetDividendYieldModel(optionSymbol);
+            riskFreeInterestRateModel ??= _interestRateProvider;
+
+            ImpliedVolatility = new ImpliedVolatility(_optionSymbol, riskFreeInterestRateModel, dividendYieldModel, _mirrorOptionSymbol, ivModel);
+            Delta = new Delta(_optionSymbol, riskFreeInterestRateModel, dividendYieldModel, _mirrorOptionSymbol, optionModel, ivModel);
+            Gamma = new Gamma(_optionSymbol, riskFreeInterestRateModel, dividendYieldModel, _mirrorOptionSymbol, optionModel, ivModel);
+            Vega = new Vega(_optionSymbol, riskFreeInterestRateModel, dividendYieldModel, _mirrorOptionSymbol, optionModel, ivModel);
+            ThetaPerDay = new Theta(_optionSymbol, riskFreeInterestRateModel, dividendYieldModel, _mirrorOptionSymbol, optionModel, ivModel);
+            Rho = new Rho(_optionSymbol, riskFreeInterestRateModel, dividendYieldModel, _mirrorOptionSymbol, optionModel, ivModel);
+
+            Delta.ImpliedVolatility = ImpliedVolatility;
+            Gamma.ImpliedVolatility = ImpliedVolatility;
+            Vega.ImpliedVolatility = ImpliedVolatility;
+            ThetaPerDay.ImpliedVolatility = ImpliedVolatility;
+            Rho.ImpliedVolatility = ImpliedVolatility;
+        }
+
+        /// <summary>
+        /// Feeds the specified data into the indicators
+        /// </summary>
+        public void Update(IBaseData data)
+        {
+            ImpliedVolatility.Update(data);
+            Delta.Update(data);
+            Gamma.Update(data);
+            Vega.Update(data);
+            ThetaPerDay.Update(data);
+            Rho.Update(data);
+        }
+
+        /// <summary>
+        /// Resets the indicators to their default state
+        /// </summary>
+        public void Reset()
+        {
+            ImpliedVolatility.Reset();
+            Delta.Reset();
+            Gamma.Reset();
+            Vega.Reset();
+            ThetaPerDay.Reset();
+            Rho.Reset();
+        }
+    }
+}