wehub-resource-sync
162 lines
8.5 KiB
C#
162 lines
8.5 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 NUnit.Framework;
|
|
using QuantConnect.Algorithm;
|
|
using QuantConnect.Data;
|
|
using QuantConnect.Indicators;
|
|
using System;
|
|
using System.IO;
|
|
using System.Linq;
|
|
|
|
namespace QuantConnect.Tests.Indicators
|
|
{
|
|
[TestFixture, Parallelizable(ParallelScope.Fixtures)]
|
|
public class VegaTests : OptionBaseIndicatorTests<Vega>
|
|
{
|
|
protected override IndicatorBase<IBaseData> CreateIndicator()
|
|
=> new Vega("testVegaIndicator", _symbol, 0.0403m, 0.0m);
|
|
|
|
protected override OptionIndicatorBase CreateIndicator(IRiskFreeInterestRateModel riskFreeRateModel)
|
|
=> new Vega("testVegaIndicator", _symbol, riskFreeRateModel);
|
|
|
|
protected override OptionIndicatorBase CreateIndicator(IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel)
|
|
{
|
|
var symbol = (SymbolList.Count > 0) ? SymbolList[0] : _symbol;
|
|
return new Vega("testVegaIndicator", symbol, riskFreeRateModel, dividendYieldModel);
|
|
}
|
|
|
|
protected override OptionIndicatorBase CreateIndicator(QCAlgorithm algorithm)
|
|
=> algorithm.V(_symbol);
|
|
|
|
[SetUp]
|
|
public void SetUp()
|
|
{
|
|
// 2 updates per iteration, 1 for greek, 1 for IV
|
|
RiskFreeRateUpdatesPerIteration = 2;
|
|
DividendYieldUpdatesPerIteration = 2;
|
|
}
|
|
|
|
[TestCase("american/third_party_1_greeks.csv", true, false, 0.2, 2e-4)]
|
|
[TestCase("american/third_party_1_greeks.csv", false, false, 0.2, 2e-4)]
|
|
// Just placing the test and data here, we are unsure about the smoothing function and not going to reverse engineer
|
|
[TestCase("american/third_party_2_greeks.csv", false, true, 10000)]
|
|
public void ComparesAgainstExternalData(string subPath, bool reset, bool singleContract, double errorRate, double errorMargin = 1e-4,
|
|
int callColumn = 13, int putColumn = 12)
|
|
{
|
|
var path = Path.Combine("TestData", "greeksindicator", subPath);
|
|
// 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.
|
|
foreach (var line in File.ReadAllLines(path).Skip(3).SkipLast(1))
|
|
{
|
|
var items = line.Split(',');
|
|
|
|
var interestRate = Parse.Decimal(items[^2]);
|
|
var dividendYield = Parse.Decimal(items[^1]);
|
|
|
|
var model = ParseSymbols(items, path.Contains("american"), out var call, out var put);
|
|
|
|
Vega callIndicator;
|
|
Vega putIndicator;
|
|
if (singleContract)
|
|
{
|
|
callIndicator = new Vega(call, interestRate, dividendYield, optionModel: model);
|
|
putIndicator = new Vega(put, interestRate, dividendYield, optionModel: model);
|
|
}
|
|
else
|
|
{
|
|
callIndicator = new Vega(call, interestRate, dividendYield, put, model);
|
|
putIndicator = new Vega(put, interestRate, dividendYield, call, model);
|
|
}
|
|
|
|
RunTestIndicator(call, put, callIndicator, putIndicator, items, callColumn, putColumn, errorRate, errorMargin);
|
|
|
|
if (reset == true)
|
|
{
|
|
callIndicator.Reset();
|
|
putIndicator.Reset();
|
|
|
|
RunTestIndicator(call, put, callIndicator, putIndicator, items, callColumn, putColumn, errorRate, errorMargin);
|
|
}
|
|
}
|
|
}
|
|
|
|
// Reference values from QuantLib
|
|
[TestCase(23.753, 450.0, OptionRight.Call, 60, 0.7215, OptionStyle.European)]
|
|
[TestCase(35.830, 450.0, OptionRight.Put, 60, 0.7195, OptionStyle.European)]
|
|
[TestCase(33.928, 470.0, OptionRight.Call, 60, 0.6705, OptionStyle.European)]
|
|
[TestCase(6.428, 470.0, OptionRight.Put, 60, 0.6181, OptionStyle.European)]
|
|
[TestCase(3.219, 430.0, OptionRight.Call, 60, 0.5429, OptionStyle.European)]
|
|
[TestCase(47.701, 430.0, OptionRight.Put, 60, 0.6922, OptionStyle.European)]
|
|
[TestCase(16.528, 450.0, OptionRight.Call, 180, 1.1932, OptionStyle.European)]
|
|
[TestCase(21.784, 450.0, OptionRight.Put, 180, 1.2263, OptionStyle.European)]
|
|
[TestCase(35.207, 470.0, OptionRight.Call, 180, 1.0370, OptionStyle.European)]
|
|
[TestCase(0.409, 470.0, OptionRight.Put, 180, 0.3528, OptionStyle.European)]
|
|
[TestCase(2.642, 430.0, OptionRight.Call, 180, 0.9707, OptionStyle.European)]
|
|
[TestCase(27.772, 430.0, OptionRight.Put, 180, 1.1816, OptionStyle.European)]
|
|
[TestCase(23.753, 450.0, OptionRight.Call, 60, 0.7206, OptionStyle.American)]
|
|
[TestCase(35.830, 450.0, OptionRight.Put, 60, 0.7189, OptionStyle.American)]
|
|
[TestCase(33.928, 470.0, OptionRight.Call, 60, 0.6791, OptionStyle.American)]
|
|
[TestCase(6.428, 470.0, OptionRight.Put, 60, 0.6290, OptionStyle.American)]
|
|
[TestCase(3.219, 430.0, OptionRight.Call, 60, 0.5690, OptionStyle.American)]
|
|
[TestCase(47.701, 430.0, OptionRight.Put, 60, 0.6921, OptionStyle.American)]
|
|
[TestCase(16.528, 450.0, OptionRight.Call, 180, 1.1958, OptionStyle.American)]
|
|
[TestCase(21.784, 450.0, OptionRight.Put, 180, 1.2248, OptionStyle.American)]
|
|
[TestCase(35.207, 470.0, OptionRight.Call, 180, 1.0459, OptionStyle.American)]
|
|
[TestCase(0.409, 470.0, OptionRight.Put, 180, 0.4350, OptionStyle.American)]
|
|
[TestCase(2.642, 430.0, OptionRight.Call, 180, 1.0122, OptionStyle.American)]
|
|
[TestCase(27.772, 430.0, OptionRight.Put, 180, 1.1852, OptionStyle.American)]
|
|
// No American option Vega from QuantLib
|
|
public void ComparesAgainstExternalData2(decimal price, decimal spotPrice, OptionRight right, int expiry, double refVega, OptionStyle style)
|
|
{
|
|
var symbol = Symbol.CreateOption("SPY", Market.USA, style, right, 450m, _reference.AddDays(expiry));
|
|
var model = style == OptionStyle.European ? OptionPricingModelType.BlackScholes : OptionPricingModelType.BinomialCoxRossRubinstein;
|
|
var indicator = new Vega(symbol, 0.053m, 0.0153m, optionModel: model, ivModel: OptionPricingModelType.BlackScholes);
|
|
|
|
var optionDataPoint = new IndicatorDataPoint(symbol, _reference, price);
|
|
var spotDataPoint = new IndicatorDataPoint(symbol.Underlying, _reference, spotPrice);
|
|
indicator.Update(optionDataPoint);
|
|
indicator.Update(spotDataPoint);
|
|
|
|
Assert.AreEqual(refVega, (double)indicator.Current.Value, 0.0072d);
|
|
}
|
|
|
|
[TestCase(0.5, 470.0, OptionRight.Put, 0)]
|
|
[TestCase(0.5, 470.0, OptionRight.Put, 5)]
|
|
[TestCase(0.5, 470.0, OptionRight.Put, 10)]
|
|
[TestCase(0.5, 470.0, OptionRight.Put, 15)]
|
|
[TestCase(15.0, 450.0, OptionRight.Call, 0)]
|
|
[TestCase(15.0, 450.0, OptionRight.Call, 5)]
|
|
[TestCase(15.0, 450.0, OptionRight.Call, 10)]
|
|
[TestCase(0.5, 450.0, OptionRight.Call, 15)]
|
|
public void CanComputeOnExpirationDate(decimal price, decimal spotPrice, OptionRight right, int hoursAfterExpiryDate)
|
|
{
|
|
var expiration = new DateTime(2024, 12, 6);
|
|
var symbol = Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, right, 450m, expiration);
|
|
var indicator = new Vega(symbol, 0.053m, 0.0153m,
|
|
optionModel: OptionPricingModelType.BinomialCoxRossRubinstein, ivModel: OptionPricingModelType.BlackScholes);
|
|
|
|
var currentTime = expiration.AddHours(hoursAfterExpiryDate);
|
|
|
|
var optionDataPoint = new IndicatorDataPoint(symbol, currentTime, price);
|
|
var spotDataPoint = new IndicatorDataPoint(symbol.Underlying, currentTime, spotPrice);
|
|
|
|
Assert.IsFalse(indicator.Update(optionDataPoint));
|
|
Assert.IsTrue(indicator.Update(spotDataPoint));
|
|
|
|
Assert.AreNotEqual(0, indicator.Current.Value);
|
|
}
|
|
}
|
|
}
|