wehub-resource-sync
169 lines
9.3 KiB
C#
169 lines
9.3 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using NUnit.Framework;
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using QuantConnect.Algorithm;
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using QuantConnect.Data;
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using QuantConnect.Indicators;
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using System;
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using System.IO;
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using System.Linq;
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namespace QuantConnect.Tests.Indicators
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{
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[TestFixture, Parallelizable(ParallelScope.Fixtures)]
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public class GammaTests : OptionBaseIndicatorTests<Gamma>
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{
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protected override IndicatorBase<IBaseData> CreateIndicator()
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=> new Gamma("testGammaIndicator", _symbol, 0.0403m, 0.0m);
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protected override OptionIndicatorBase CreateIndicator(IRiskFreeInterestRateModel riskFreeRateModel)
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=> new Gamma("testGammaIndicator", _symbol, riskFreeRateModel);
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protected override OptionIndicatorBase CreateIndicator(IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel)
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{
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var symbol = (SymbolList.Count > 0) ? SymbolList[0] : _symbol;
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return new Gamma("testGammaIndicator", symbol, riskFreeRateModel, dividendYieldModel);
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}
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protected override OptionIndicatorBase CreateIndicator(QCAlgorithm algorithm)
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=> algorithm.G(_symbol);
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[SetUp]
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public void SetUp()
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{
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// 2 updates per iteration, 1 for greek, 1 for IV
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RiskFreeRateUpdatesPerIteration = 2;
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DividendYieldUpdatesPerIteration = 2;
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}
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[TestCase("american/third_party_1_greeks.csv", true, false, 0.12)]
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[TestCase("american/third_party_1_greeks.csv", false, false, 0.12)]
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// Just placing the test and data here, we are unsure about the smoothing function and not going to reverse engineer
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[TestCase("american/third_party_2_greeks.csv", false, true, 10000, 0.002)]
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public void ComparesAgainstExternalData(string subPath, bool reset, bool singleContract, double errorRate, double errorMargin = 1e-4,
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int callColumn = 11, int putColumn = 10)
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{
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var path = Path.Combine("TestData", "greeksindicator", subPath);
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// skip last entry since for deep ITM, IV will not affect much on price. Thus root finding will not be optimizing a non-convex function.
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foreach (var line in File.ReadAllLines(path).Skip(3).SkipLast(1))
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{
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var items = line.Split(',');
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var interestRate = Parse.Decimal(items[^2]);
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var dividendYield = Parse.Decimal(items[^1]);
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var model = ParseSymbols(items, path.Contains("american"), out var call, out var put);
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Gamma callIndicator;
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Gamma putIndicator;
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if (singleContract)
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{
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callIndicator = new Gamma(call, interestRate, dividendYield, optionModel: model);
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putIndicator = new Gamma(put, interestRate, dividendYield, optionModel: model);
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}
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else
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{
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callIndicator = new Gamma(call, interestRate, dividendYield, put, model);
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putIndicator = new Gamma(put, interestRate, dividendYield, call, model);
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}
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RunTestIndicator(call, put, callIndicator, putIndicator, items, callColumn, putColumn, errorRate, errorMargin);
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if (reset == true)
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{
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callIndicator.Reset();
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putIndicator.Reset();
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RunTestIndicator(call, put, callIndicator, putIndicator, items, callColumn, putColumn, errorRate, errorMargin);
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}
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}
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}
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// Reference values from QuantLib
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[TestCase(23.753, 450.0, OptionRight.Call, 60, 0.0071, OptionStyle.European)]
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[TestCase(35.830, 450.0, OptionRight.Put, 60, 0.0042, OptionStyle.European)]
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[TestCase(33.928, 470.0, OptionRight.Call, 60, 0.0067, OptionStyle.European)]
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[TestCase(6.428, 470.0, OptionRight.Put, 60, 0.0083, OptionStyle.European)]
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[TestCase(3.219, 430.0, OptionRight.Call, 60, 0.0136, OptionStyle.European)]
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[TestCase(47.701, 430.0, OptionRight.Put, 60, 0.0042, OptionStyle.European)]
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[TestCase(16.528, 450.0, OptionRight.Call, 180, 0.0128, OptionStyle.European)]
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[TestCase(21.784, 450.0, OptionRight.Put, 180, 0.0059, OptionStyle.European)]
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[TestCase(35.207, 470.0, OptionRight.Call, 180, 0.0070, OptionStyle.European)]
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[TestCase(0.409, 470.0, OptionRight.Put, 180, 0.0057, OptionStyle.European)]
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[TestCase(2.642, 430.0, OptionRight.Call, 180, 0.0193, OptionStyle.European)]
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[TestCase(27.772, 430.0, OptionRight.Put, 180, 0.0073, OptionStyle.European)]
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[TestCase(23.753, 450.0, OptionRight.Call, 60, 0.0071, OptionStyle.American)]
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[TestCase(35.830, 450.0, OptionRight.Put, 60, 0.0042, OptionStyle.American)]
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[TestCase(33.928, 470.0, OptionRight.Call, 60, 0.0067, OptionStyle.American)]
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[TestCase(6.428, 470.0, OptionRight.Put, 60, 0.0083, OptionStyle.American)]
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[TestCase(3.219, 430.0, OptionRight.Call, 60, 0.0136, OptionStyle.American)]
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[TestCase(47.701, 430.0, OptionRight.Put, 60, 0.0042, OptionStyle.American)]
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[TestCase(16.528, 450.0, OptionRight.Call, 180, 0.0129, OptionStyle.American)]
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[TestCase(21.784, 450.0, OptionRight.Put, 180, 0.0059, OptionStyle.American)]
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[TestCase(35.207, 470.0, OptionRight.Call, 180, 0.0070, OptionStyle.American)]
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[TestCase(0.409, 470.0, OptionRight.Put, 180, 0.0058, OptionStyle.American)]
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[TestCase(2.642, 430.0, OptionRight.Call, 180, 0.0193, OptionStyle.American)]
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[TestCase(27.772, 430.0, OptionRight.Put, 180, 0.0073, OptionStyle.American)]
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public void ComparesAgainstExternalData2(decimal price, decimal spotPrice, OptionRight right, int expiry, double refGamma, OptionStyle style)
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{
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var symbol = Symbol.CreateOption("SPY", Market.USA, style, right, 450m, _reference.AddDays(expiry));
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var model = style == OptionStyle.European ? OptionPricingModelType.BlackScholes : OptionPricingModelType.BinomialCoxRossRubinstein;
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var indicator = new Gamma(symbol, 0.0403m, 0.0m, optionModel: model, ivModel: OptionPricingModelType.BlackScholes);
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var optionDataPoint = new IndicatorDataPoint(symbol, _reference, price);
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var spotDataPoint = new IndicatorDataPoint(symbol.Underlying, _reference, spotPrice);
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indicator.Update(optionDataPoint);
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indicator.Update(spotDataPoint);
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Assert.AreEqual(refGamma, (double)indicator.Current.Value, 0.0005d);
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}
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[TestCase(0.5, 470.0, OptionRight.Put, OptionStyle.American, 0)]
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[TestCase(0.5, 470.0, OptionRight.Put, OptionStyle.American, 5)]
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[TestCase(0.5, 470.0, OptionRight.Put, OptionStyle.American, 10)]
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[TestCase(0.5, 470.0, OptionRight.Put, OptionStyle.American, 15)] // Expires at 16:00
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[TestCase(15.0, 450.0, OptionRight.Call, OptionStyle.American, 0)]
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[TestCase(15.0, 450.0, OptionRight.Call, OptionStyle.American, 5)]
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[TestCase(15.0, 450.0, OptionRight.Call, OptionStyle.American, 10)]
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[TestCase(15.0, 450.0, OptionRight.Call, OptionStyle.American, 15)]
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[TestCase(0.5, 470.0, OptionRight.Put, OptionStyle.European, 0)]
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[TestCase(0.5, 470.0, OptionRight.Put, OptionStyle.European, 5)]
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[TestCase(0.5, 470.0, OptionRight.Put, OptionStyle.European, 10)]
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[TestCase(0.5, 470.0, OptionRight.Put, OptionStyle.European, 15)]
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[TestCase(0.5, 450.0, OptionRight.Call, OptionStyle.European, 0)]
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[TestCase(0.5, 450.0, OptionRight.Call, OptionStyle.European, 5)]
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[TestCase(0.5, 450.0, OptionRight.Call, OptionStyle.European, 10)]
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[TestCase(0.5, 450.0, OptionRight.Call, OptionStyle.European, 15)]
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public void CanComputeOnExpirationDate(decimal price, decimal spotPrice, OptionRight right, OptionStyle style, int hoursAfterExpiryDate)
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{
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var expiration = new DateTime(2024, 12, 6);
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var symbol = Symbol.CreateOption("SPY", Market.USA, style, right, 450m, expiration);
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var model = style == OptionStyle.European ? OptionPricingModelType.BlackScholes : OptionPricingModelType.BinomialCoxRossRubinstein;
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var indicator = new Gamma(symbol, 0.0403m, 0.0m, optionModel: model, ivModel: OptionPricingModelType.BlackScholes);
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var currentTime = expiration.AddHours(hoursAfterExpiryDate);
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var optionDataPoint = new IndicatorDataPoint(symbol, currentTime, price);
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var spotDataPoint = new IndicatorDataPoint(symbol.Underlying, currentTime, spotPrice);
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Assert.IsFalse(indicator.Update(optionDataPoint));
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Assert.IsTrue(indicator.Update(spotDataPoint));
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Assert.AreNotEqual(0, indicator.Current.Value);
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}
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}
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}
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