quantconnect--lean/Common/Securities/Option/OptionPriceModelResult.cs

/*
 * 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 Python.Runtime;
using QuantConnect.Data.Market;
using System;

namespace QuantConnect.Securities.Option
{
    /// <summary>
    /// Result type for <see cref="IOptionPriceModel.Evaluate"/>
    /// </summary>
    public class OptionPriceModelResult
    {
        /// <summary>
        /// Represents the zero option price and greeks.
        /// </summary>
        public static OptionPriceModelResult None { get; } = new(0, NullGreeks.Instance);

        private Lazy<decimal> _theoreticalPrice;
        private Lazy<Greeks> _greeks;
        private Lazy<decimal> _impliedVolatility;

        /// <summary>
        /// Gets the theoretical price as computed by the <see cref="IOptionPriceModel"/>
        /// </summary>
        public decimal TheoreticalPrice
        {
            get
            {
                return _theoreticalPrice.Value;
            }
            set
            {
                _theoreticalPrice = new Lazy<decimal>(() => value, isThreadSafe: false);
            }
        }

        /// <summary>
        /// Gets the implied volatility of the option contract
        /// </summary>
        public decimal ImpliedVolatility
        {
            get
            {
                return _impliedVolatility.Value;
            }
            set
            {
                _impliedVolatility = new Lazy<decimal>(() => value, isThreadSafe: false);
            }
        }

        /// <summary>
        /// Gets the various sensitivities as computed by the <see cref="IOptionPriceModel"/>
        /// </summary>
        public Greeks Greeks
        {
            get
            {
                return _greeks.Value;
            }
            set
            {
                _greeks = new Lazy<Greeks>(() => value, isThreadSafe: false);
            }
        }

        /// <summary>
        /// Initializes a new instance of the <see cref="OptionPriceModelResult"/> class
        /// </summary>
        public OptionPriceModelResult()
        {
        }

        /// <summary>
        /// Initializes a new instance of the <see cref="OptionPriceModelResult"/> class
        /// </summary>
        /// <param name="theoreticalPrice">The theoretical price computed by the price model</param>
        /// <param name="greeks">The sensitivities (greeks) computed by the price model</param>
        public OptionPriceModelResult(decimal theoreticalPrice, Greeks greeks)
             : this(() => theoreticalPrice, () => decimal.Zero, () => greeks)
        {
        }

        /// <summary>
        /// Initializes a new instance of the <see cref="OptionPriceModelResult"/> class
        /// </summary>
        /// <param name="theoreticalPrice">The theoretical price computed by the price model</param>
        /// <param name="impliedVolatility">The calculated implied volatility</param>
        /// <param name="greeks">The sensitivities (greeks) computed by the price model</param>
        public OptionPriceModelResult(decimal theoreticalPrice, decimal impliedVolatility, Greeks greeks)
            : this(theoreticalPrice, () => impliedVolatility, () => greeks)
        {
        }

        /// <summary>
        /// Initializes a new instance of the <see cref="OptionPriceModelResult"/> class with lazy calculations of implied volatility and greeks
        /// </summary>
        /// <param name="theoreticalPrice">The theoretical price computed by the price model</param>
        /// <param name="impliedVolatility">The calculated implied volatility</param>
        /// <param name="greeks">The sensitivities (greeks) computed by the price model</param>
        public OptionPriceModelResult(decimal theoreticalPrice, Func<decimal> impliedVolatility, Func<Greeks> greeks)
            : this(() => theoreticalPrice, impliedVolatility, greeks)
        {
        }

        /// <summary>
        /// Initializes a new instance of the <see cref="OptionPriceModelResult"/> class with lazy calculations of implied volatility and greeks
        /// </summary>
        /// <param name="theoreticalPrice">The theoretical price computed by the price model</param>
        /// <param name="impliedVolatility">The calculated implied volatility</param>
        /// <param name="greeks">The sensitivities (greeks) computed by the price model</param>
        public OptionPriceModelResult(Func<decimal> theoreticalPrice, Func<decimal> impliedVolatility, Func<Greeks> greeks)
        {
            _theoreticalPrice = new Lazy<decimal>(theoreticalPrice, isThreadSafe: false);
            _impliedVolatility = new Lazy<decimal>(impliedVolatility, isThreadSafe: false);
            _greeks = new Lazy<Greeks>(greeks, isThreadSafe: false);
        }

        /// <summary>
        /// Initializes a new instance of the <see cref="OptionPriceModelResult"/> class with lazy calculations of implied volatility and greeks
        /// </summary>
        /// <param name="theoreticalPrice">The theoretical price computed by the price model</param>
        /// <param name="impliedVolatility">The calculated implied volatility</param>
        /// <param name="greeks">The sensitivities (greeks) computed by the price model</param>
        public OptionPriceModelResult(decimal theoreticalPrice, PyObject impliedVolatility, PyObject greeks)
            : this(theoreticalPrice, impliedVolatility.SafeAs<Func<decimal>>(), greeks.SafeAs<Func<Greeks>>())
        {
        }
    }
}