OptionIndicatorBase.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 System;
using QuantConnect.Data;
 
namespace QuantConnect.Indicators
{
    /// <summary>
    /// To provide a base class for option indicator
    /// </summary>
    public abstract class OptionIndicatorBase : IndicatorBase<IndicatorDataPoint>, IIndicatorWarmUpPeriodProvider
    {
        /// <summary>
        /// Option's symbol object
        /// </summary>
        protected readonly Symbol _optionSymbol;
 
        /// <summary>
        /// Mirror option symbol (by option right), for implied volatility
        /// </summary>
        protected Symbol _oppositeOptionSymbol { get; private set; }
 
        /// <summary>
        /// Underlying security's symbol object
        /// </summary>
        protected Symbol _underlyingSymbol => _optionSymbol.Underlying;
 
        /// <summary>
        /// Option pricing model used to calculate indicator
        /// </summary>
        protected OptionPricingModelType _optionModel;
 
        /// <summary>
        /// Risk-free rate model
        /// </summary>
        protected readonly IRiskFreeInterestRateModel _riskFreeInterestRateModel;
 
        /// <summary>
        /// Dividend yield model, for continuous dividend yield
        /// </summary>
        protected readonly IDividendYieldModel _dividendYieldModel;
 
        /// <summary>
        /// Gets the expiration time of the option
        /// </summary>
        public DateTime Expiry => _optionSymbol.ID.Date;
 
        /// <summary>
        /// Gets the option right (call/put) of the option
        /// </summary>
        public OptionRight Right => _optionSymbol.ID.OptionRight;
 
        /// <summary>
        /// Gets the strike price of the option
        /// </summary>
        public decimal Strike => _optionSymbol.ID.StrikePrice;
 
        /// <summary>
        /// Gets the option style (European/American) of the option
        /// </summary>
        public OptionStyle Style => _optionSymbol.ID.OptionStyle;
 
        /// <summary>
        /// Risk Free Rate
        /// </summary>
        public Identity RiskFreeRate { get; set; }
 
        /// <summary>
        /// Dividend Yield
        /// </summary>
        public Identity DividendYield { get; set; }
 
        /// <summary>
        /// Gets the option price level
        /// </summary>
        public IndicatorBase<IndicatorDataPoint> Price { get; }
 
        /// <summary>
        /// Gets the mirror option price level, for implied volatility
        /// </summary>
        public IndicatorBase<IndicatorDataPoint> OppositePrice { get; private set; }
 
        /// <summary>
        /// Gets the underlying's price level
        /// </summary>
        public IndicatorBase<IndicatorDataPoint> UnderlyingPrice { get; }
 
        /// <summary>
        /// Flag if mirror option is implemented for parity type calculation
        /// </summary>
        public bool UseMirrorContract => _oppositeOptionSymbol != null;
 
        /// <summary>
        /// Initializes a new instance of the OptionIndicatorBase class
        /// </summary>
        /// <param name="name">The name of this indicator</param>
        /// <param name="option">The option to be tracked</param>
        /// <param name="riskFreeRateModel">Risk-free rate model</param>
        /// <param name="dividendYieldModel">Dividend yield model</param>
        /// <param name="mirrorOption">The mirror option for parity calculation</param>
        /// <param name="period">The lookback period of volatility</param>
        /// <param name="optionModel">The option pricing model used to estimate the Greek/IV</param>
        protected OptionIndicatorBase(string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel, 
            Symbol mirrorOption = null, OptionPricingModelType optionModel = OptionPricingModelType.BlackScholes, int period = 2)
            : base(name)
        {
            var sid = option.ID;
            if (!sid.SecurityType.IsOption())
            {
                throw new ArgumentException("OptionIndicatorBase only support SecurityType.Option.");
            }
 
            _optionSymbol = option;
            _riskFreeInterestRateModel = riskFreeRateModel;
            _dividendYieldModel = dividendYieldModel;
            _optionModel = optionModel;
 
            RiskFreeRate = new Identity(name + "_RiskFreeRate");
            DividendYield = new Identity(name + "_DividendYield");
            Price = new Identity(name + "_Close");
            UnderlyingPrice = new Identity(name + "_UnderlyingClose");
 
            if (mirrorOption != null)
            {
                _oppositeOptionSymbol = mirrorOption;
                OppositePrice = new Identity(Name + "_OppositeClose");
            }
 
            WarmUpPeriod = period;
        }
 
        /// <summary>
        /// Required period, in data points, for the indicator to be ready and fully initialized.
        /// </summary>
        public int WarmUpPeriod { get; set; }
 
        /// <summary>
        /// Resets this indicator and all sub-indicators
        /// </summary>
        public override void Reset()
        {
            RiskFreeRate.Reset();
            DividendYield.Reset();
            Price.Reset();
            UnderlyingPrice.Reset();
            base.Reset();
 
            if (UseMirrorContract)
            {
                OppositePrice.Reset();
            }
        }
    }
}