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;
+using Python.Runtime;
+using QuantConnect.Data;
+using QuantConnect.Python;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// To provide a base class for option greeks indicator
+    /// </summary>
+    public abstract class OptionGreeksIndicatorBase : OptionIndicatorBase
+    {
+        private ImpliedVolatility _iv;
+        private bool _userProvidedIv;
+
+        /// <summary>
+        /// Gets the implied volatility of the option
+        /// </summary>
+        public ImpliedVolatility ImpliedVolatility
+        {
+            get
+            {
+                return _iv;
+            }
+            set
+            {
+                _iv = value;
+                _userProvidedIv = true;
+            }
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the OptionGreeksIndicatorBase class
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="option">The option to be tracked</param>
+        /// <param name="riskFreeRateModel">Risk-free rate model</param>
+        /// <param name="dividendYieldModel">Dividend yield model</param>
+        /// <param name="mirrorOption">The mirror option for parity calculation</param>
+        /// <param name="optionModel">The option pricing model used to estimate the Greek</param>
+        /// <param name="ivModel">The option pricing model used to estimate IV</param>
+        protected OptionGreeksIndicatorBase(string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel,
+            Symbol mirrorOption = null, OptionPricingModelType? optionModel = null, OptionPricingModelType? ivModel = null)
+            : base(name, option, riskFreeRateModel, dividendYieldModel, mirrorOption, optionModel, period: 1)
+        {
+            ivModel = GetOptionModel(ivModel, option.ID.OptionStyle);
+            _iv = new ImpliedVolatility(name + "_IV", option, riskFreeRateModel, dividendYieldModel, mirrorOption, ivModel.Value);
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the OptionGreeksIndicatorBase class
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="option">The option to be tracked</param>
+        /// <param name="riskFreeRateModel">Risk-free rate model</param>
+        /// <param name="dividendYield">Dividend yield, as a constant</param>
+        /// <param name="mirrorOption">The mirror option for parity calculation</param>
+        /// <param name="optionModel">The option pricing model used to estimate the Greek</param>
+        /// <param name="ivModel">The option pricing model used to estimate IV</param>
+        protected OptionGreeksIndicatorBase(string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, decimal dividendYield = 0.0m,
+            Symbol mirrorOption = null, OptionPricingModelType? optionModel = null, OptionPricingModelType? ivModel = null)
+            : this(name, option, riskFreeRateModel, new ConstantDividendYieldModel(dividendYield), mirrorOption, optionModel, ivModel)
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the OptionGreeksIndicatorBase class
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="option">The option to be tracked</param>
+        /// <param name="riskFreeRate">Risk-free rate, as a constant</param>
+        /// <param name="dividendYield">Dividend yield, as a constant</param>
+        /// <param name="mirrorOption">The mirror option for parity calculation</param>
+        /// <param name="optionModel">The option pricing model used to estimate the Greek</param>
+        /// <param name="ivModel">The option pricing model used to estimate IV</param>
+        protected OptionGreeksIndicatorBase(string name, Symbol option, decimal riskFreeRate = 0.05m, decimal dividendYield = 0.0m, Symbol mirrorOption = null,
+            OptionPricingModelType? optionModel = null, OptionPricingModelType? ivModel = null)
+            : this(name, option, new ConstantRiskFreeRateInterestRateModel(riskFreeRate), new ConstantDividendYieldModel(dividendYield),
+                  mirrorOption, optionModel, ivModel)
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the OptionGreeksIndicatorBase class
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="option">The option to be tracked</param>
+        /// <param name="riskFreeRateModel">Risk-free rate model</param>
+        /// <param name="dividendYieldModel">Dividend yield model</param>
+        /// <param name="mirrorOption">The mirror option for parity calculation</param>
+        /// <param name="optionModel">The option pricing model used to estimate the Greek</param>
+        /// <param name="ivModel">The option pricing model used to estimate IV</param>
+        protected OptionGreeksIndicatorBase(string name, Symbol option, PyObject riskFreeRateModel, PyObject dividendYieldModel, Symbol mirrorOption = null,
+            OptionPricingModelType? optionModel = null, OptionPricingModelType? ivModel = null)
+            : this(name, option, RiskFreeInterestRateModelPythonWrapper.FromPyObject(riskFreeRateModel),
+                DividendYieldModelPythonWrapper.FromPyObject(dividendYieldModel), mirrorOption, optionModel, ivModel)
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the OptionGreeksIndicatorBase class
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="option">The option to be tracked</param>
+        /// <param name="riskFreeRateModel">Risk-free rate model</param>
+        /// <param name="dividendYield">Dividend yield, as a constant</param>
+        /// <param name="mirrorOption">The mirror option for parity calculation</param>
+        /// <param name="optionModel">The option pricing model used to estimate the Greek</param>
+        /// <param name="ivModel">The option pricing model used to estimate IV</param>
+        protected OptionGreeksIndicatorBase(string name, Symbol option, PyObject riskFreeRateModel, decimal dividendYield = 0.0m, Symbol mirrorOption = null,
+            OptionPricingModelType? optionModel = null, OptionPricingModelType? ivModel = null)
+            : this(name, option, RiskFreeInterestRateModelPythonWrapper.FromPyObject(riskFreeRateModel),
+                new ConstantDividendYieldModel(dividendYield), mirrorOption, optionModel, ivModel)
+        {
+        }
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => ImpliedVolatility.IsReady;
+
+        /// <summary>
+        /// Computes the next value of the option greek indicator
+        /// </summary>
+        /// <returns>The input is returned unmodified.</returns>
+        protected override decimal ComputeIndicator()
+        {
+            var time = Price.Current.EndTime;
+
+            if (!_userProvidedIv)
+            {
+                ImpliedVolatility.Update(DataBySymbol[OptionSymbol].CurrentInput);
+                ImpliedVolatility.Update(DataBySymbol[_underlyingSymbol].CurrentInput);
+                if (UseMirrorContract)
+                {
+                    ImpliedVolatility.Update(DataBySymbol[_oppositeOptionSymbol].CurrentInput);
+                }
+            }
+
+            RiskFreeRate.Update(time, _riskFreeInterestRateModel.GetInterestRate(time));
+            DividendYield.Update(time, _dividendYieldModel.GetDividendYield(time, UnderlyingPrice.Current.Value));
+
+            var timeTillExpiry = Convert.ToDecimal(OptionGreekIndicatorsHelper.TimeTillExpiry(Expiry, time));
+            try
+            {
+                IndicatorValue = timeTillExpiry < 0 ? 0 : CalculateGreek(timeTillExpiry);
+            }
+            catch (OverflowException)
+            {
+                //Log.Error($"OptionGreeksIndicatorBase.Calculate: Decimal overflow detected. The previous greek value will be used.");
+            }
+
+            return IndicatorValue;
+        }
+
+        /// <summary>
+        /// Calculate the greek of the option
+        /// </summary>
+        protected abstract decimal CalculateGreek(decimal timeTillExpiry);
+
+        /// <summary>
+        /// Resets this indicator and all sub-indicators
+        /// </summary>
+        public override void Reset()
+        {
+            ImpliedVolatility.Reset();
+            base.Reset();
+        }
+    }
+}