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 QuantConnect.Data;
+using QuantConnect.Securities;
+using QuantConnect.Securities.Option;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// Provides option price models for option securities based on Lean's Greeks indicators
+    /// </summary>
+    public class IndicatorBasedOptionPriceModelProvider : IOptionPriceModelProvider
+    {
+        /// <summary>
+        /// Gets the security manager instance to use
+        /// </summary>
+        public SecurityManager Securities { get; }
+
+        /// <summary>
+        /// Creates a new instance of the <see cref="IndicatorBasedOptionPriceModelProvider"/> class
+        /// </summary>
+        public IndicatorBasedOptionPriceModelProvider(SecurityManager securities)
+        {
+            Securities = securities;
+        }
+
+        /// <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)
+        {
+            return new IndicatorBasedOptionPriceModel(pricingModelType, pricingModelType, securityProvider: Securities);
+        }
+
+        /// <summary>
+        /// Gets the option price model with the specified configuration
+        /// </summary>
+        /// <param name="optionModel">The option pricing model type to be used by the indicators</param>
+        /// <param name="ivModel">The option pricing model type to be used by the implied volatility indicator</param>
+        /// <param name="dividendYieldModel">The dividend yield model to be used by the indicators</param>
+        /// <param name="riskFreeInterestRateModel">The risk free interest rate model to be used by the indicators</param>v
+        /// <param name="useMirrorContract">Whether to use the mirror contract when possible</param>
+        /// <returns>The option price model for the given symbol</returns>
+        public IOptionPriceModel GetOptionPriceModel(OptionPricingModelType? optionModel = null,
+            OptionPricingModelType? ivModel = null, IDividendYieldModel dividendYieldModel = null,
+            IRiskFreeInterestRateModel riskFreeInterestRateModel = null,
+            bool useMirrorContract = true)
+        {
+            return new IndicatorBasedOptionPriceModel(optionModel, ivModel, dividendYieldModel, riskFreeInterestRateModel, useMirrorContract, securityProvider: Securities);
+        }
+    }
+}