wehub-resource-sync
249 lines
14 KiB
C#
249 lines
14 KiB
C#
/*
|
|
* 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 MathNet.Numerics.Distributions;
|
|
using Python.Runtime;
|
|
using QuantConnect.Data;
|
|
|
|
namespace QuantConnect.Indicators
|
|
{
|
|
/// <summary>
|
|
/// Option Rho indicator that calculate the rho of an option
|
|
/// </summary>
|
|
/// <remarks>sensitivity of option price on interest rate changes</remarks>
|
|
public class Rho : OptionGreeksIndicatorBase
|
|
{
|
|
/// <summary>
|
|
/// Initializes a new instance of the Rho 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 Rho</param>
|
|
/// <param name="ivModel">The option pricing model used to estimate IV</param>
|
|
public Rho(string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel, Symbol mirrorOption = null,
|
|
OptionPricingModelType? optionModel = null, OptionPricingModelType? ivModel = null)
|
|
: base(name, option, riskFreeRateModel, dividendYieldModel, mirrorOption, optionModel, ivModel)
|
|
{
|
|
}
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the Rho class
|
|
/// </summary>
|
|
/// <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 Rho</param>
|
|
/// <param name="ivModel">The option pricing model used to estimate IV</param>
|
|
public Rho(Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel, Symbol mirrorOption = null,
|
|
OptionPricingModelType? optionModel = null, OptionPricingModelType? ivModel = null)
|
|
: this($"Rho({option},{mirrorOption},{GetOptionModel(optionModel, option.ID.OptionStyle)})", option, riskFreeRateModel,
|
|
dividendYieldModel, mirrorOption, optionModel, ivModel)
|
|
{
|
|
}
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the Rho class
|
|
/// </summary>
|
|
/// <param name="name">The name of this indicator</param>
|
|
/// <param name="option">The option to be tracked</param>
|
|
/// <param name="riskFreeRateModel">Risk-free rate model</param>
|
|
/// <param name="dividendYieldModel">Dividend yield model</param>
|
|
/// <param name="mirrorOption">The mirror option for parity calculation</param>
|
|
/// <param name="optionModel">The option pricing model used to estimate Rho</param>
|
|
/// <param name="ivModel">The option pricing model used to estimate IV</param>
|
|
public Rho(string name, Symbol option, PyObject riskFreeRateModel, PyObject dividendYieldModel, Symbol mirrorOption = null,
|
|
OptionPricingModelType? optionModel = null, OptionPricingModelType? ivModel = null)
|
|
: base(name, option, riskFreeRateModel, dividendYieldModel, mirrorOption, optionModel, ivModel)
|
|
{
|
|
}
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the Rho class
|
|
/// </summary>
|
|
/// <param name="option">The option to be tracked</param>
|
|
/// <param name="riskFreeRateModel">Risk-free rate model</param>
|
|
/// <param name="dividendYieldModel">Dividend yield model</param>
|
|
/// <param name="mirrorOption">The mirror option for parity calculation</param>
|
|
/// <param name="optionModel">The option pricing model used to estimate Rho</param>
|
|
/// <param name="ivModel">The option pricing model used to estimate IV</param>
|
|
public Rho(Symbol option, PyObject riskFreeRateModel, PyObject dividendYieldModel, Symbol mirrorOption = null,
|
|
OptionPricingModelType? optionModel = null, OptionPricingModelType? ivModel = null)
|
|
: this($"Rho({option},{mirrorOption},{GetOptionModel(optionModel, option.ID.OptionStyle)})", option, riskFreeRateModel,
|
|
dividendYieldModel, mirrorOption, optionModel, ivModel)
|
|
{
|
|
}
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the Rho 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 Rho</param>
|
|
/// <param name="ivModel">The option pricing model used to estimate IV</param>
|
|
public Rho(string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, decimal dividendYield = 0.0m, Symbol mirrorOption = null,
|
|
OptionPricingModelType? optionModel = null, OptionPricingModelType? ivModel = null)
|
|
: base(name, option, riskFreeRateModel, dividendYield, mirrorOption, optionModel, ivModel)
|
|
{
|
|
}
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the Rho class
|
|
/// </summary>
|
|
/// <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 Rho</param>
|
|
/// <param name="ivModel">The option pricing model used to estimate IV</param>
|
|
public Rho(Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, decimal dividendYield = 0.0m, Symbol mirrorOption = null,
|
|
OptionPricingModelType? optionModel = null, OptionPricingModelType? ivModel = null)
|
|
: this($"Rho({option},{mirrorOption},{GetOptionModel(optionModel, option.ID.OptionStyle)})", option, riskFreeRateModel,
|
|
dividendYield, mirrorOption, optionModel, ivModel)
|
|
{
|
|
}
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the Rho class
|
|
/// </summary>
|
|
/// <param name="name">The name of this indicator</param>
|
|
/// <param name="option">The option to be tracked</param>
|
|
/// <param name="riskFreeRateModel">Risk-free rate model</param>
|
|
/// <param name="dividendYield">Dividend yield, as a constant</param>
|
|
/// <param name="mirrorOption">The mirror option for parity calculation</param>
|
|
/// <param name="optionModel">The option pricing model used to estimate Rho</param>
|
|
/// <param name="ivModel">The option pricing model used to estimate IV</param>
|
|
public Rho(string name, Symbol option, PyObject riskFreeRateModel, decimal dividendYield = 0.0m, Symbol mirrorOption = null,
|
|
OptionPricingModelType? optionModel = null, OptionPricingModelType? ivModel = null)
|
|
: base(name, option, riskFreeRateModel, dividendYield, mirrorOption, optionModel, ivModel)
|
|
{
|
|
}
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the Rho class
|
|
/// </summary>
|
|
/// <param name="option">The option to be tracked</param>
|
|
/// <param name="riskFreeRateModel">Risk-free rate model</param>
|
|
/// <param name="dividendYield">Dividend yield, as a constant</param>
|
|
/// <param name="mirrorOption">The mirror option for parity calculation</param>
|
|
/// <param name="optionModel">The option pricing model used to estimate Rho</param>
|
|
/// <param name="ivModel">The option pricing model used to estimate IV</param>
|
|
public Rho(Symbol option, PyObject riskFreeRateModel, decimal dividendYield = 0.0m, Symbol mirrorOption = null,
|
|
OptionPricingModelType? optionModel = null, OptionPricingModelType? ivModel = null)
|
|
: this($"Rho({option},{mirrorOption},{GetOptionModel(optionModel, option.ID.OptionStyle)})", option, riskFreeRateModel,
|
|
dividendYield, mirrorOption, optionModel, ivModel)
|
|
{
|
|
}
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the Rho class
|
|
/// </summary>
|
|
/// <param name="name">The name of this indicator</param>
|
|
/// <param name="option">The option to be tracked</param>am>
|
|
/// <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 Rho</param>
|
|
/// <param name="ivModel">The option pricing model used to estimate IV</param>
|
|
public Rho(string name, Symbol option, decimal riskFreeRate = 0.05m, decimal dividendYield = 0.0m, Symbol mirrorOption = null,
|
|
OptionPricingModelType? optionModel = null, OptionPricingModelType? ivModel = null)
|
|
: base(name, option, riskFreeRate, dividendYield, mirrorOption, optionModel, ivModel)
|
|
{
|
|
}
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the Rho class
|
|
/// </summary>
|
|
/// <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 Rho</param>
|
|
/// <param name="ivModel">The option pricing model used to estimate IV</param>
|
|
public Rho(Symbol option, decimal riskFreeRate = 0.05m, decimal dividendYield = 0.0m, Symbol mirrorOption = null,
|
|
OptionPricingModelType? optionModel = null, OptionPricingModelType? ivModel = null)
|
|
: this($"Rho({option},{mirrorOption},{GetOptionModel(optionModel, option.ID.OptionStyle)})", option, riskFreeRate, dividendYield,
|
|
mirrorOption, optionModel, ivModel)
|
|
{
|
|
}
|
|
|
|
/// <summary>
|
|
/// Calculate the Rho of the option
|
|
/// </summary>
|
|
protected override decimal CalculateGreek(decimal timeTillExpiry)
|
|
{
|
|
var underlyingPrice = (double)UnderlyingPrice.Current.Value;
|
|
var strike = (double)Strike;
|
|
var timeTillExpiryDouble = (double)timeTillExpiry;
|
|
var riskFreeRate = (double)RiskFreeRate.Current.Value;
|
|
var dividendYield = (double)DividendYield.Current.Value;
|
|
var iv = (double)ImpliedVolatility.Current.Value;
|
|
|
|
double result;
|
|
|
|
switch (_optionModel)
|
|
{
|
|
case OptionPricingModelType.BinomialCoxRossRubinstein:
|
|
case OptionPricingModelType.ForwardTree:
|
|
// finite differencing method with 0.01% risk free rate changes
|
|
var deltaRho = 0.0001;
|
|
|
|
var newPrice = 0d;
|
|
var price = 0d;
|
|
if (_optionModel == OptionPricingModelType.BinomialCoxRossRubinstein)
|
|
{
|
|
newPrice = OptionGreekIndicatorsHelper.CRRTheoreticalPrice(iv, underlyingPrice, strike, timeTillExpiryDouble, riskFreeRate + deltaRho, dividendYield, Right);
|
|
price = OptionGreekIndicatorsHelper.CRRTheoreticalPrice(iv, underlyingPrice, strike, timeTillExpiryDouble, riskFreeRate, dividendYield, Right);
|
|
}
|
|
else if (_optionModel == OptionPricingModelType.ForwardTree)
|
|
{
|
|
newPrice = OptionGreekIndicatorsHelper.ForwardTreeTheoreticalPrice(iv, underlyingPrice, strike, timeTillExpiryDouble, riskFreeRate + deltaRho, dividendYield, Right);
|
|
price = OptionGreekIndicatorsHelper.ForwardTreeTheoreticalPrice(iv, underlyingPrice, strike, timeTillExpiryDouble, riskFreeRate, dividendYield, Right);
|
|
}
|
|
|
|
result = (newPrice - price) / deltaRho / 100d;
|
|
break;
|
|
|
|
case OptionPricingModelType.BlackScholes:
|
|
default:
|
|
var norm = new Normal();
|
|
var d1 = OptionGreekIndicatorsHelper.CalculateD1(underlyingPrice, strike, timeTillExpiryDouble, riskFreeRate, dividendYield, iv);
|
|
var d2 = OptionGreekIndicatorsHelper.CalculateD2(d1, iv, timeTillExpiryDouble);
|
|
var discount = Math.Exp(-riskFreeRate * timeTillExpiryDouble);
|
|
|
|
if (Right == OptionRight.Call)
|
|
{
|
|
result = strike * timeTillExpiryDouble * discount * norm.CumulativeDistribution(d2) / 100d;
|
|
}
|
|
else
|
|
{
|
|
result = -strike * timeTillExpiryDouble * discount * norm.CumulativeDistribution(-d2) / 100d;
|
|
}
|
|
break;
|
|
}
|
|
|
|
return Convert.ToDecimal(result);
|
|
}
|
|
}
|
|
}
|
|
|