quantconnect--lean/Common/Data/Market/Greeks.cs

/*
 * 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 QuantConnect.Python;

namespace QuantConnect.Data.Market
{
    /// <summary>
    /// Defines the greeks
    /// </summary>
    public class Greeks
    {
        /// <summary>
        /// Gets the delta.
        /// <para>
        /// Delta measures the rate of change of the option value with respect to changes in
        /// the underlying asset'sprice. (∂V/∂S)
        /// </para>
        /// </summary>
        public virtual decimal Delta { get; set; }

        /// <summary>
        /// Gets the gamma.
        /// <para>
        /// Gamma measures the rate of change of Delta with respect to changes in
        /// the underlying asset'sprice. (∂²V/∂S²)
        /// </para>
        /// </summary>
        public virtual decimal Gamma { get; set; }

        /// <summary>
        /// Gets the vega.
        /// <para>
        /// Vega measures the rate of change of the option value with respect to changes in
        /// the underlying's volatility. (∂V/∂σ)
        /// </para>
        /// </summary>
        public virtual decimal Vega { get; set; }

        /// <summary>
        /// Gets the theta.
        /// <para>
        /// Theta measures the rate of change of the option value with respect to changes in
        /// time. This is commonly known as the 'time decay.' (∂V/∂τ)
        /// </para>
        /// </summary>
        public virtual decimal Theta { get; set; }

        /// <summary>
        /// Gets the rho.
        /// <para>
        /// Rho measures the rate of change of the option value with respect to changes in
        /// the risk free interest rate. (∂V/∂r)
        /// </para>
        /// </summary>
        public virtual decimal Rho { get; set; }

        /// <summary>
        /// Gets the lambda.
        /// <para>
        /// Lambda is the percentage change in option value per percentage change in the
        /// underlying's price, a measure of leverage. Sometimes referred to as gearing.
        /// (∂V/∂S ✕ S/V)
        /// </para>
        /// </summary>
        [PandasIgnore]
        public virtual decimal Lambda { get; set; }

        /// <summary>
        /// Gets the lambda.
        /// <para>
        /// Lambda is the percentage change in option value per percentage change in the
        /// underlying's price, a measure of leverage. Sometimes referred to as gearing.
        /// (∂V/∂S ✕ S/V)
        /// </para>
        /// </summary>
        /// <remarks>
        /// Alias for <see cref="Lambda"/> required for compatibility with Python when
        /// PEP8 API is used (lambda is a reserved keyword in Python).
        /// </remarks>
        [PandasIgnore]
        public virtual decimal Lambda_
        {
            get { return Lambda; }
            set { Lambda = value; }
        }

        /// <summary>
        /// Gets the theta per day.
        /// <para>
        /// Theta measures the rate of change of the option value with respect to changes in
        /// time. This is commonly known as the 'time decay.' (∂V/∂τ)
        /// </para>
        /// </summary>
        [PandasIgnore]
        public virtual decimal ThetaPerDay
        {
            get { return Theta / 365m; }
            set { Theta = value * 365m; }
        }

        /// <summary>
        /// Calculates the annualized theta value based on a daily theta input.
        /// </summary>
        /// <param name="thetaPerDay">The theta value per day to be annualized.</param>
        /// <returns>The annualized theta value, calculated as the daily theta multiplied by 365. Returns decimal.MaxValue or
        /// decimal.MinValue if the result overflows.</returns>
        public static decimal GetSafeTheta(decimal thetaPerDay)
        {
            try
            {
                return thetaPerDay * 365m;
            }
            catch (OverflowException)
            {
                return thetaPerDay < 0 ? decimal.MinValue : decimal.MaxValue;
            }
        }

        /// <summary>
        /// Initializes a new instance of the <see cref="Greeks"/> class.
        /// </summary>
        public Greeks()
        {
        }

        /// <summary>
        /// Initializes a new instance of the <see cref="Greeks"/> class with specified values.
        /// </summary>
        public Greeks(decimal delta, decimal gamma, decimal vega, decimal theta, decimal rho, decimal lambda)
        {
            Delta = delta;
            Gamma = gamma;
            Vega = vega;
            Theta = theta;
            Rho = rho;
            Lambda = lambda;
        }
    }
}