wehub-resource-sync
120 lines
5.6 KiB
C#
120 lines
5.6 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.Data.Market;
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using QuantConnect.Indicators;
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using QuantConnect.Securities;
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using QuantConnect.Securities.Option;
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using QuantConnect.Tests.Common;
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using System;
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namespace QuantConnect.Tests.Indicators
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{
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[TestFixture]
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public class IndicatorBasedOptionPriceModelTests
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{
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[TestCase(true, 6.05392693521696, 0.3559978, 0.7560627, 0.0430897, 0.0663327, -1599.430292, 0.0000904)]
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[TestCase(false, 5.05414551764534, 0.1427122, 0.957485, 0.0311303, 0.020584, -163.902082, 0.0000057)]
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public void WorksWithAndWithoutMirrorContract([Values] bool withMirrorContract, decimal expectedTheoreticalPrice,
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decimal expectedIv, decimal expectedDelta, decimal expectedGamma, decimal expectedVega,
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decimal expectedTheta, decimal expectedRho)
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{
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GetTestData(true, true, withMirrorContract, out var option, out var contract, out var securities);
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var model = new IndicatorBasedOptionPriceModel(securityProvider: securities);
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var result = model.Evaluate(new OptionPriceModelParameters(option, null, contract));
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var theoreticalPrice = result.TheoreticalPrice;
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var iv = result.ImpliedVolatility;
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var greeks = result.Greeks;
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Assert.Multiple(() =>
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{
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Assert.AreEqual(expectedTheoreticalPrice, theoreticalPrice);
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Assert.AreEqual(expectedIv, iv);
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Assert.AreEqual(expectedDelta, greeks.Delta);
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Assert.AreEqual(expectedGamma, greeks.Gamma);
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Assert.AreEqual(expectedVega, greeks.Vega);
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Assert.AreEqual(expectedTheta, greeks.Theta);
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Assert.AreEqual(expectedRho, greeks.Rho);
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});
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}
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[TestCase(false, false)]
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[TestCase(true, false)]
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[TestCase(false, true)]
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public void WontCalculateIfMissindData(bool withUnderlyingData, bool withOptionData)
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{
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GetTestData(withUnderlyingData, withOptionData, true, out var option, out var contract, out var securities);
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var model = new IndicatorBasedOptionPriceModel(securityProvider: securities);
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var result = model.Evaluate(new OptionPriceModelParameters(option, null, contract));
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Assert.AreEqual(OptionPriceModelResult.None, result);
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}
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private static void GetTestData(bool withUnderlying, bool withOption, bool withMirrorOption,
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out Option option, out OptionContract contract, out SecurityManager securities)
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{
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var underlyingSymbol = Symbols.GOOG;
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var date = new DateTime(2015, 11, 24);
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var contractSymbol = Symbols.CreateOptionSymbol(underlyingSymbol.Value, OptionRight.Call, 745m, date);
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var tz = TimeZones.NewYork;
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var underlyingPrice = 750m;
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var underlyingVolume = 10000;
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var contractPrice = 5.05m;
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var mirrorContractPrice = 1.05m;
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var underlying = OptionPriceModelTests.GetEquity(underlyingSymbol, 0m, underlyingVolume, tz);
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option = OptionPriceModelTests.GetOption(contractSymbol, underlying, tz);
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contract = OptionPriceModelTests.GetOptionContract(contractSymbol, underlyingSymbol, date);
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var time = date.Add(new TimeSpan(9, 31, 0));
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var timeKeeper = new TimeKeeper(time.ConvertToUtc(tz));
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securities = new SecurityManager(timeKeeper);
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if (withUnderlying)
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{
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var underlyingData = new Tick { Symbol = underlying.Symbol, Time = time, Value = underlyingPrice, Quantity = underlyingVolume, TickType = TickType.Trade };
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underlying.SetMarketPrice(underlyingData);
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securities.Add(underlying);
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}
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if (withOption)
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{
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var contractData = new Tick { Symbol = contractSymbol, Time = time, Value = contractPrice, Quantity = 10, TickType = TickType.Trade };
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option.SetMarketPrice(contractData);
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securities.Add(option);
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}
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if (withMirrorOption)
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{
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var mirrorContractSymbol = Symbol.CreateOption(contractSymbol.Underlying,
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contractSymbol.ID.Symbol,
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contractSymbol.ID.Market,
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contractSymbol.ID.OptionStyle,
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contractSymbol.ID.OptionRight == OptionRight.Call ? OptionRight.Put : OptionRight.Call,
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contractSymbol.ID.StrikePrice,
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contractSymbol.ID.Date);
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var mirrorContractData = new Tick { Symbol = mirrorContractSymbol, Time = time, Value = mirrorContractPrice, Quantity = 10, TickType = TickType.Trade };
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var mirrorOption = OptionPriceModelTests.GetOption(mirrorContractSymbol, underlying, tz);
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mirrorOption.SetMarketPrice(mirrorContractData);
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securities.Add(mirrorOption);
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}
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}
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}
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}
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