wehub-resource-sync
84 lines
4.2 KiB
Python
84 lines
4.2 KiB
Python
# 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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from AlgorithmImports import *
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### <summary>
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### Base regression algorithm exercising different style options with option price models that might
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### or might not support them. Also, if the option style is supported, greeks are asserted to be accesible and have valid values.
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### </summary>
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class OptionPriceModelForOptionStylesBaseRegressionAlgorithm(QCAlgorithm):
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def __init__(self) -> None:
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super().__init__()
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self._option_style_is_supported = False
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self._check_greeks = True
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self._tried_greeks_calculation = False
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self._option = None
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def on_data(self, slice: Slice) -> None:
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if self.is_warming_up:
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return
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for kvp in slice.option_chains:
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if not self._option or kvp.key != self._option.symbol:
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continue
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self.check_greeks([contract for contract in kvp.value])
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def on_end_of_day(self, symbol: Symbol) -> None:
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self._check_greeks = True
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def on_end_of_algorithm(self) -> None:
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if not self._tried_greeks_calculation:
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raise AssertionError("Expected greeks to be accessed")
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def init(self, option: Option, option_style_is_supported: bool) -> None:
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self._option = option
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self._option_style_is_supported = option_style_is_supported
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self._check_greeks = True
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self._tried_greeks_calculation = False
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def check_greeks(self, contracts: list[OptionContract]) -> None:
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if not self._check_greeks or len(contracts) == 0 or not self._option:
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return
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self._check_greeks = False
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self._tried_greeks_calculation = True
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for contract in contracts:
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greeks = None
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try:
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greeks = contract.greeks
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# Greeks should have not been successfully accessed if the option style is not supported
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option_style_str = 'American' if self._option.style == OptionStyle.AMERICAN else 'European'
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if not self._option_style_is_supported:
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raise AssertionError(f'Expected greeks not to be calculated for {contract.symbol.value}, an {option_style_str} style option, using {type(self._option.price_model).__name__}, which does not support them, but they were')
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except ArgumentException:
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# ArgumentException is only expected if the option style is not supported
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if self._option_style_is_supported:
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raise AssertionError(f'Expected greeks to be calculated for {contract.symbol.value}, an {option_style_str} style option, using {type(self._option.price_model).__name__}, which supports them, but they were not')
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# Greeks should be valid if they were successfuly accessed for supported option style
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# Delta can be {-1, 0, 1} if the price is too wild, rho can be 0 if risk free rate is 0
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# Vega can be 0 if the price is very off from theoretical price, Gamma = 0 if Delta belongs to {-1, 1}
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if (self._option_style_is_supported
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and (not greeks
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or ((contract.right == OptionRight.CALL and (greeks.delta < 0.0 or greeks.delta > 1.0 or greeks.rho < 0.0))
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or (contract.right == OptionRight.PUT and (greeks.delta < -1.0 or greeks.delta > 0.0 or greeks.rho > 0.0))
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or greeks.theta == 0.0 or greeks.vega < 0.0 or greeks.gamma < 0.0))):
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raise AssertionError(f'Expected greeks to have valid values. Greeks were: Delta: {greeks.delta}, Rho: {greeks.rho}, Theta: {greeks.theta}, Vega: {greeks.vega}, Gamma: {greeks.gamma}')
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