wehub-resource-sync
77 lines
3.6 KiB
C#
77 lines
3.6 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 QLNet;
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using QuantConnect.Indicators;
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using System;
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namespace QuantConnect.Securities.Option
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{
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/// <summary>
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/// Provides option price models for option securities based on QuantLib implementations
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/// </summary>
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public class QLOptionPriceModelProvider : IOptionPriceModelProvider
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{
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internal const int TimeStepsBinomial = 100;
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/// <summary>
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/// Singleton instance of the <see cref="QLOptionPriceModelProvider"/>
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/// </summary>
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public static QLOptionPriceModelProvider Instance { get; } = new();
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private QLOptionPriceModelProvider()
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{
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}
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/// <summary>
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/// Gets the option price model for the specified option symbol
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/// </summary>
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/// <param name="symbol">The symbol</param>
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/// <param name="pricingModelType">The option pricing model type to use</param>
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/// <returns>The option price model for the given symbol</returns>
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public IOptionPriceModel GetOptionPriceModel(Symbol symbol, OptionPricingModelType? pricingModelType = null)
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{
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if (pricingModelType.HasValue)
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{
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return GetOptionPriceModel(pricingModelType.Value);
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}
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return symbol.ID.OptionStyle switch
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{
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// CRR model has the best accuracy and speed suggested by
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// Branka, Zdravka & Tea (2014). Numerical Methods versus Bjerksund and Stensland Approximations for American Options Pricing.
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// International Journal of Economics and Management Engineering. 8:4.
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// Available via: https://downloads.dxfeed.com/specifications/dxLibOptions/Numerical-Methods-versus-Bjerksund-and-Stensland-Approximations-for-American-Options-Pricing-.pdf
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// Also refer to OptionPriceModelTests.MatchesIBGreeksBulk() test,
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// we select the most accurate and computational efficient model
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OptionStyle.American => GetOptionPriceModel(OptionPricingModelType.BinomialCoxRossRubinstein),
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OptionStyle.European => GetOptionPriceModel(OptionPricingModelType.BlackScholes),
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_ => throw new ArgumentException("Invalid OptionStyle")
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};
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}
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private static QLOptionPriceModel GetOptionPriceModel(OptionPricingModelType pricingModelType)
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{
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return pricingModelType switch
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{
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OptionPricingModelType.BlackScholes => new QLOptionPriceModel(process => new AnalyticEuropeanEngine(process),
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allowedOptionStyles: [OptionStyle.European]),
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OptionPricingModelType.BinomialCoxRossRubinstein => new QLOptionPriceModel(process => new BinomialVanillaEngine<CoxRossRubinstein>(process, TimeStepsBinomial)),
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_ => throw new ArgumentException($"Unsupported pricing model type: {pricingModelType}")
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};
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}
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}
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}
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