wehub-resource-sync
73 lines
2.9 KiB
C#
73 lines
2.9 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 System;
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namespace QuantConnect.Securities.Option
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{
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/// <summary>
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/// Static class contains definitions of major option pricing models that can be used in LEAN
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/// </summary>
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/// <remarks>
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/// To introduce particular model into algorithm add the following line to the algorithm's Initialize() method:
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///
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/// option.PriceModel = OptionPriceModels.BlackScholes(); // Option pricing model of choice
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///
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/// </remarks>
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public static partial class OptionPriceModels
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{
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/// <summary>
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/// Default option price model provider used by LEAN when creating price models.
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/// </summary>
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internal static IOptionPriceModelProvider DefaultPriceModelProvider { get; set; }
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/// <summary>
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/// Null pricing engine that returns the current price as the option theoretical price.
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/// It will also set the option Greeks and implied volatility to zero, effectively disabling the pricing.
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/// </summary>
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public static IOptionPriceModel Null()
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{
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return new CurrentPriceOptionPriceModel();
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}
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/// <summary>
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/// Pricing engine for Black-Scholes model.
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/// </summary>
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/// <returns>New option price model instance</returns>
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public static IOptionPriceModel BlackScholes()
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{
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return DefaultPriceModelProvider.GetOptionPriceModel(Symbol.Empty, Indicators.OptionPricingModelType.BlackScholes);
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}
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/// <summary>
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/// Pricing engine for Cox-Ross-Rubinstein (CRR) model.
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/// </summary>
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/// <returns>New option price model instance</returns>
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public static IOptionPriceModel BinomialCoxRossRubinstein()
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{
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return DefaultPriceModelProvider.GetOptionPriceModel(Symbol.Empty, Indicators.OptionPricingModelType.BinomialCoxRossRubinstein);
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}
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/// <summary>
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/// Pricing engine for forward binomial tree model.
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/// </summary>
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/// <returns>New option price model instance</returns>
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public static IOptionPriceModel ForwardTree()
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{
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return DefaultPriceModelProvider.GetOptionPriceModel(Symbol.Empty, Indicators.OptionPricingModelType.ForwardTree);
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}
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}
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}
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