wehub-resource-sync
56 lines
2.7 KiB
C#
56 lines
2.7 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 QuantConnect.Data;
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using QuantConnect.Data.Market;
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namespace QuantConnect.Securities.Option
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{
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/// <summary>
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/// Provides a default implementation of <see cref="IOptionPriceModel"/> that does not compute any
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/// greeks and uses the current price for the theoretical price.
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/// <remarks>This is a stub implementation until the real models are implemented</remarks>
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/// </summary>
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public class CurrentPriceOptionPriceModel : OptionPriceModel
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{
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/// <summary>
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/// Creates a new <see cref="OptionPriceModelResult"/> containing the current <see cref="Security.Price"/>
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/// and a default, empty instance of first Order <see cref="Greeks"/>
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/// </summary>
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/// <param name="security">The option security object</param>
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/// <param name="slice">The current data slice. This can be used to access other information
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/// available to the algorithm</param>
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/// <param name="contract">The option contract to evaluate</param>
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/// <returns>An instance of <see cref="OptionPriceModelResult"/> containing the theoretical
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/// price of the specified option contract</returns>
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public override OptionPriceModelResult Evaluate(Security security, Slice slice, OptionContract contract)
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{
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return new OptionPriceModelResult(security.Price, NullGreeks.Instance);
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}
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/// <summary>
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/// Evaluates the specified option contract to compute a theoretical price, IV and greeks
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/// </summary>
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/// <param name="parameters">A <see cref="OptionPriceModelParameters"/> object
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/// containing the security, slice and contract</param>
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/// <returns>An instance of <see cref="OptionPriceModelResult"/> containing the theoretical
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/// price of the specified option contract</returns>
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public override OptionPriceModelResult Evaluate(OptionPriceModelParameters parameters)
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{
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return Evaluate(parameters.Security, parameters.Slice, parameters.Contract);
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}
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}
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}
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