wehub-resource-sync
249 lines
12 KiB
C#
249 lines
12 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 System;
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using System.IO;
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using System.Linq;
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using NUnit.Framework;
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using Python.Runtime;
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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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namespace QuantConnect.Tests.Indicators
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{
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[TestFixture, Parallelizable(ParallelScope.Fixtures)]
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public class ImpliedVolatilityTests : OptionBaseIndicatorTests<ImpliedVolatility>
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{
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protected override IndicatorBase<IBaseData> CreateIndicator()
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=> new ImpliedVolatility("testImpliedVolatilityIndicator", _symbol, 0.053m, 0.0153m);
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protected override OptionIndicatorBase CreateIndicator(IRiskFreeInterestRateModel riskFreeRateModel)
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=> new ImpliedVolatility("testImpliedVolatilityIndicator", _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 ImpliedVolatility("testImpliedVolatilityIndicator", symbol, riskFreeRateModel, dividendYieldModel);
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}
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protected override OptionIndicatorBase CreateIndicator(QCAlgorithm algorithm)
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=> algorithm.IV(_symbol);
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[SetUp]
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public void SetUp()
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{
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RiskFreeRateUpdatesPerIteration = 1;
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DividendYieldUpdatesPerIteration = 1;
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}
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[TestCase("american/third_party_1_greeks.csv", true, false, 0.08)]
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[TestCase("american/third_party_1_greeks.csv", false, false, 0.08)]
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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)]
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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 = 7, int putColumn = 6)
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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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ImpliedVolatility callIndicator;
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ImpliedVolatility putIndicator;
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if (singleContract)
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{
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callIndicator = new ImpliedVolatility(call, interestRate, dividendYield, optionModel: model);
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putIndicator = new ImpliedVolatility(put, interestRate, dividendYield, optionModel: model);
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}
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else
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{
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callIndicator = new ImpliedVolatility(call, interestRate, dividendYield, put, model);
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putIndicator = new ImpliedVolatility(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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[TestCase(23.753, 27.651, 450.0, OptionRight.Call, 60, 0.309, 0.309)]
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[TestCase(33.928, 5.564, 470.0, OptionRight.Call, 60, 0.191, 0.279)]
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[TestCase(47.701, 10.213, 430.0, OptionRight.Put, 60, 0.247, 0.545)]
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public void SetSmoothingFunction(decimal price, decimal mirrorPrice, decimal spotPrice, OptionRight right, int expiry, double refIV1, double refIV2)
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{
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var symbol = Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, right, 450m, _reference.AddDays(expiry));
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var mirrorSymbol = Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, right == OptionRight.Call ? OptionRight.Put : OptionRight.Call,
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450m, _reference.AddDays(expiry));
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var indicator = new ImpliedVolatility(symbol, 0.0530m, 0.0153m, mirrorSymbol, OptionPricingModelType.BlackScholes);
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var optionDataPoint = new IndicatorDataPoint(symbol, _reference, price);
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var mirrorOptionDataPoint = new IndicatorDataPoint(mirrorSymbol, _reference, mirrorPrice);
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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(mirrorOptionDataPoint);
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indicator.Update(spotDataPoint);
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Assert.AreEqual(refIV1, (double)indicator.Current.Value, 0.0025d);
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indicator.SetSmoothingFunction((iv, mirrorIv) => iv);
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optionDataPoint = new IndicatorDataPoint(symbol, _reference.AddMilliseconds(1), price);
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mirrorOptionDataPoint = new IndicatorDataPoint(mirrorSymbol, _reference.AddMilliseconds(1), mirrorPrice);
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spotDataPoint = new IndicatorDataPoint(symbol.Underlying, _reference.AddMilliseconds(1), spotPrice);
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indicator.Update(optionDataPoint);
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indicator.Update(mirrorOptionDataPoint);
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indicator.Update(spotDataPoint);
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Assert.AreEqual(refIV2, (double)indicator.Current.Value, 0.0035d);
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}
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[TestCase(23.753, 27.651, 450.0, OptionRight.Call, 60, 0.309, 0.309)]
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[TestCase(33.928, 5.564, 470.0, OptionRight.Call, 60, 0.191, 0.279)]
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[TestCase(47.701, 10.213, 430.0, OptionRight.Put, 60, 0.247, 0.545)]
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public void SetPythonSmoothingFunction(decimal price, decimal mirrorPrice, decimal spotPrice, OptionRight right, int expiry, double refIV1, double refIV2)
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{
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using var _ = Py.GIL();
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var module = PyModule.FromString(Guid.NewGuid().ToString(), $@"
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def TestSmoothingFunction(iv: float, mirror_iv: float) -> float:
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return iv");
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var pythonSmoothingFunction = module.GetAttr("TestSmoothingFunction");
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var symbol = Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, right, 450m, _reference.AddDays(expiry));
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var mirrorSymbol = Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, right == OptionRight.Call ? OptionRight.Put : OptionRight.Call,
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450m, _reference.AddDays(expiry));
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var indicator = new ImpliedVolatility(symbol, 0.0530m, 0.0153m, mirrorSymbol, OptionPricingModelType.BlackScholes);
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var optionDataPoint = new IndicatorDataPoint(symbol, _reference, price);
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var mirrorOptionDataPoint = new IndicatorDataPoint(mirrorSymbol, _reference, mirrorPrice);
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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(mirrorOptionDataPoint);
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indicator.Update(spotDataPoint);
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Assert.AreEqual(refIV1, (double)indicator.Current.Value, 0.0025d);
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indicator.SetSmoothingFunction(pythonSmoothingFunction);
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optionDataPoint = new IndicatorDataPoint(symbol, _reference.AddMilliseconds(1), price);
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mirrorOptionDataPoint = new IndicatorDataPoint(mirrorSymbol, _reference.AddMilliseconds(1), mirrorPrice);
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spotDataPoint = new IndicatorDataPoint(symbol.Underlying, _reference.AddMilliseconds(1), spotPrice);
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indicator.Update(optionDataPoint);
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indicator.Update(mirrorOptionDataPoint);
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indicator.Update(spotDataPoint);
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Assert.AreEqual(refIV2, (double)indicator.Current.Value, 0.0035d);
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}
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// Reference values from QuantLib
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[TestCase(23.753, 450.0, OptionRight.Call, 60, 0.309)]
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[TestCase(35.830, 450.0, OptionRight.Put, 60, 0.515)]
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[TestCase(33.928, 470.0, OptionRight.Call, 60, 0.279)]
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[TestCase(6.428, 470.0, OptionRight.Put, 60, 0.205)]
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[TestCase(3.219, 430.0, OptionRight.Call, 60, 0.133)]
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[TestCase(47.701, 430.0, OptionRight.Put, 60, 0.545)]
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[TestCase(16.528, 450.0, OptionRight.Call, 180, 0.097)]
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[TestCase(21.784, 450.0, OptionRight.Put, 180, 0.207)]
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[TestCase(35.207, 470.0, OptionRight.Call, 180, 0.140)]
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[TestCase(0.409, 470.0, OptionRight.Put, 180, 0.055)]
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[TestCase(2.642, 430.0, OptionRight.Call, 180, 0.057)]
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[TestCase(27.772, 430.0, OptionRight.Put, 180, 0.177)]
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public void ComparesAgainstExternalData2(decimal price, decimal spotPrice, OptionRight right, int expiry, double refIV)
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{
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var symbol = Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, right, 450m, _reference.AddDays(expiry));
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var indicator = new ImpliedVolatility(symbol, 0.0530m, 0.0153m, optionModel: 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(refIV, (double)indicator.Current.Value, 0.0036d);
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}
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[TestCase(0.5, 470.0, OptionRight.Put, 0)]
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[TestCase(0.5, 470.0, OptionRight.Put, 5)]
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[TestCase(0.5, 470.0, OptionRight.Put, 10)]
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[TestCase(0.5, 470.0, OptionRight.Put, 15)]
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[TestCase(15, 450.0, OptionRight.Call, 0)]
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[TestCase(15, 450.0, OptionRight.Call, 5)]
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[TestCase(15, 450.0, OptionRight.Call, 10)]
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[TestCase(0.5, 450.0, OptionRight.Call, 15)]
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public void CanComputeOnExpirationDate(decimal price, decimal spotPrice, OptionRight right, 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, OptionStyle.American, right, 450m, expiration);
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var indicator = new ImpliedVolatility(symbol, 0.0530m, 0.0153m, optionModel: 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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[Test]
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public override void WarmsUpProperly()
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{
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var indicator = new ImpliedVolatility("testImpliedVolatilityIndicator", _symbol, 0.053m, 0.0153m);
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var warmUpPeriod = (indicator as IIndicatorWarmUpPeriodProvider)?.WarmUpPeriod;
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if (!warmUpPeriod.HasValue)
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{
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Assert.Ignore($"{indicator.Name} is not IIndicatorWarmUpPeriodProvider");
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return;
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}
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// warmup period is 5 + 1
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for (var i = 1; i <= warmUpPeriod.Value; i++)
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{
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var time = _reference.AddDays(i);
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var price = 500m;
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var optionPrice = Math.Max(price - 450, 0) * 1.1m;
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indicator.Update(new IndicatorDataPoint(_symbol, time, optionPrice));
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if (i == 1)
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{
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Assert.IsFalse(indicator.IsReady);
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}
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indicator.Update(new IndicatorDataPoint(_underlying, time, price));
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Assert.IsTrue(indicator.IsReady);
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}
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Assert.AreEqual(2 * warmUpPeriod.Value, indicator.Samples);
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}
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}
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}
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