wehub-resource-sync
69 lines
3.3 KiB
C#
69 lines
3.3 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.Securities;
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using QuantConnect.Securities.Option;
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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// Provides option price models for option securities based on Lean's Greeks indicators
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/// </summary>
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public class IndicatorBasedOptionPriceModelProvider : IOptionPriceModelProvider
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{
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/// <summary>
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/// Gets the security manager instance to use
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/// </summary>
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public SecurityManager Securities { get; }
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/// <summary>
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/// Creates a new instance of the <see cref="IndicatorBasedOptionPriceModelProvider"/> class
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/// </summary>
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public IndicatorBasedOptionPriceModelProvider(SecurityManager securities)
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{
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Securities = securities;
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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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return new IndicatorBasedOptionPriceModel(pricingModelType, pricingModelType, securityProvider: Securities);
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}
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/// <summary>
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/// Gets the option price model with the specified configuration
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/// </summary>
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/// <param name="optionModel">The option pricing model type to be used by the indicators</param>
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/// <param name="ivModel">The option pricing model type to be used by the implied volatility indicator</param>
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/// <param name="dividendYieldModel">The dividend yield model to be used by the indicators</param>
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/// <param name="riskFreeInterestRateModel">The risk free interest rate model to be used by the indicators</param>v
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/// <param name="useMirrorContract">Whether to use the mirror contract when possible</param>
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/// <returns>The option price model for the given symbol</returns>
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public IOptionPriceModel GetOptionPriceModel(OptionPricingModelType? optionModel = null,
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OptionPricingModelType? ivModel = null, IDividendYieldModel dividendYieldModel = null,
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IRiskFreeInterestRateModel riskFreeInterestRateModel = null,
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bool useMirrorContract = true)
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{
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return new IndicatorBasedOptionPriceModel(optionModel, ivModel, dividendYieldModel, riskFreeInterestRateModel, useMirrorContract, securityProvider: Securities);
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}
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}
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}
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