To provide a base class for option greeks indicator More...

Inheritance diagram for QuantConnect.Indicators.OptionGreeksIndicatorBase:

Public Member Functions
override void	Reset ()
	Resets this indicator and all sub-indicators More...

Public Member Functions inherited from QuantConnect.Indicators.OptionIndicatorBase
override void	Reset ()
	Resets this indicator and all sub-indicators More...

Public Attributes
override bool	IsReady => ImpliedVolatility.IsReady
	Gets a flag indicating when this indicator is ready and fully initialized More...

Public Attributes inherited from QuantConnect.Indicators.OptionIndicatorBase
DateTime	Expiry => _optionSymbol.ID.Date
	Gets the expiration time of the option More...

OptionRight	Right => _optionSymbol.ID.OptionRight
	Gets the option right (call/put) of the option More...

decimal	Strike => _optionSymbol.ID.StrikePrice
	Gets the strike price of the option More...

OptionStyle	Style => _optionSymbol.ID.OptionStyle
	Gets the option style (European/American) of the option More...

bool	UseMirrorContract => _oppositeOptionSymbol != null
	Flag if mirror option is implemented for parity type calculation More...

Protected Member Functions
	OptionGreeksIndicatorBase (string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, OptionPricingModelType? ivModel=null, int period=2)
	Initializes a new instance of the OptionGreeksIndicatorBase class More...

	OptionGreeksIndicatorBase (string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, OptionPricingModelType? ivModel=null, int period=2)
	Initializes a new instance of the OptionGreeksIndicatorBase class More...

	OptionGreeksIndicatorBase (string name, Symbol option, decimal riskFreeRate=0.05m, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, OptionPricingModelType? ivModel=null, int period=2)
	Initializes a new instance of the OptionGreeksIndicatorBase class More...

	OptionGreeksIndicatorBase (string name, Symbol option, PyObject riskFreeRateModel, PyObject dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, OptionPricingModelType? ivModel=null, int period=2)
	Initializes a new instance of the OptionGreeksIndicatorBase class More...

	OptionGreeksIndicatorBase (string name, Symbol option, PyObject riskFreeRateModel, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, OptionPricingModelType? ivModel=null, int period=2)
	Initializes a new instance of the OptionGreeksIndicatorBase class More...

override decimal	ComputeNextValue (IndicatorDataPoint input)
	Computes the next value of the option greek indicator More...

virtual decimal	CalculateGreek (decimal timeTillExpiry)

Protected Member Functions inherited from QuantConnect.Indicators.OptionIndicatorBase
	OptionIndicatorBase (string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, int period=2)
	Initializes a new instance of the OptionIndicatorBase class More...

Protected Attributes
decimal	_greekValue
	Cache of the current value of the greek More...

Protected Attributes inherited from QuantConnect.Indicators.OptionIndicatorBase
readonly Symbol	_optionSymbol
	Option's symbol object More...

Symbol	_underlyingSymbol => _optionSymbol.Underlying
	Underlying security's symbol object More...

OptionPricingModelType	_optionModel
	Option pricing model used to calculate indicator More...

readonly IRiskFreeInterestRateModel	_riskFreeInterestRateModel
	Risk-free rate model More...

readonly IDividendYieldModel	_dividendYieldModel
	Dividend yield model, for continuous dividend yield More...

Properties
ImpliedVolatility	ImpliedVolatility `[get, set]`
	Gets the implied volatility of the option More...

Properties inherited from QuantConnect.Indicators.OptionIndicatorBase
Symbol	_oppositeOptionSymbol `[get]`
	Mirror option symbol (by option right), for implied volatility More...

Identity	RiskFreeRate `[get, set]`
	Risk Free Rate More...

Identity	DividendYield `[get, set]`
	Dividend Yield More...

IndicatorBase< IndicatorDataPoint >	Price `[get]`
	Gets the option price level More...

IndicatorBase< IndicatorDataPoint >	OppositePrice `[get]`
	Gets the mirror option price level, for implied volatility More...

IndicatorBase< IndicatorDataPoint >	UnderlyingPrice `[get]`
	Gets the underlying's price level More...

int	WarmUpPeriod `[get, set]`
	Required period, in data points, for the indicator to be ready and fully initialized. More...

Properties inherited from QuantConnect.Indicators.IIndicatorWarmUpPeriodProvider
int	WarmUpPeriod `[get]`
	Required period, in data points, for the indicator to be ready and fully initialized. More...

Detailed Description

To provide a base class for option greeks indicator

Definition at line 26 of file OptionGreekIndicatorBase.cs.

Constructor & Destructor Documentation

◆ OptionGreeksIndicatorBase() [1/5]

QuantConnect.Indicators.OptionGreeksIndicatorBase.OptionGreeksIndicatorBase	(	string	name,
		Symbol	option,
		IRiskFreeInterestRateModel	riskFreeRateModel,
		IDividendYieldModel	dividendYieldModel,
		Symbol	mirrorOption = `null`,
		OptionPricingModelType	optionModel = `OptionPricingModelType.BlackScholes`,
		OptionPricingModelType?	ivModel = `null`,
		int	period = `2`
	)

protected

Initializes a new instance of the OptionGreeksIndicatorBase class

Parameters

name	The name of this indicator
option	The option to be tracked
riskFreeRateModel	Risk-free rate model
dividendYieldModel	Dividend yield model
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate the Greek
ivModel	The option pricing model used to estimate IV
period	The lookback period of historical volatility

Definition at line 49 of file OptionGreekIndicatorBase.cs.

◆ OptionGreeksIndicatorBase() [2/5]

QuantConnect.Indicators.OptionGreeksIndicatorBase.OptionGreeksIndicatorBase	(	string	name,
		Symbol	option,
		IRiskFreeInterestRateModel	riskFreeRateModel,
		decimal	dividendYield = `0.0m`,
		Symbol	mirrorOption = `null`,
		OptionPricingModelType	optionModel = `OptionPricingModelType.BlackScholes`,
		OptionPricingModelType?	ivModel = `null`,
		int	period = `2`
	)

protected

Initializes a new instance of the OptionGreeksIndicatorBase class

Parameters

name	The name of this indicator
option	The option to be tracked
riskFreeRateModel	Risk-free rate model
dividendYield	Dividend yield, as a constant
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate the Greek
ivModel	The option pricing model used to estimate IV
period	The lookback period of historical volatility

Definition at line 69 of file OptionGreekIndicatorBase.cs.

◆ OptionGreeksIndicatorBase() [3/5]

QuantConnect.Indicators.OptionGreeksIndicatorBase.OptionGreeksIndicatorBase	(	string	name,
		Symbol	option,
		decimal	riskFreeRate = `0.05m`,
		decimal	dividendYield = `0.0m`,
		Symbol	mirrorOption = `null`,
		OptionPricingModelType	optionModel = `OptionPricingModelType.BlackScholes`,
		OptionPricingModelType?	ivModel = `null`,
		int	period = `2`
	)

protected

Initializes a new instance of the OptionGreeksIndicatorBase class

Parameters

name	The name of this indicator
option	The option to be tracked
riskFreeRate	Risk-free rate, as a constant
dividendYield	Dividend yield, as a constant
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate the Greek
ivModel	The option pricing model used to estimate IV
period	The lookback period of historical volatility

Definition at line 86 of file OptionGreekIndicatorBase.cs.

◆ OptionGreeksIndicatorBase() [4/5]

QuantConnect.Indicators.OptionGreeksIndicatorBase.OptionGreeksIndicatorBase	(	string	name,
		Symbol	option,
		PyObject	riskFreeRateModel,
		PyObject	dividendYieldModel,
		Symbol	mirrorOption = `null`,
		OptionPricingModelType	optionModel = `OptionPricingModelType.BlackScholes`,
		OptionPricingModelType?	ivModel = `null`,
		int	period = `2`
	)

protected

Initializes a new instance of the OptionGreeksIndicatorBase class

Parameters

name	The name of this indicator
option	The option to be tracked
riskFreeRateModel	Risk-free rate model
dividendYieldModel	Dividend yield model
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate the Greek
ivModel	The option pricing model used to estimate IV
period	The lookback period of historical volatility

Definition at line 104 of file OptionGreekIndicatorBase.cs.

◆ OptionGreeksIndicatorBase() [5/5]

QuantConnect.Indicators.OptionGreeksIndicatorBase.OptionGreeksIndicatorBase	(	string	name,
		Symbol	option,
		PyObject	riskFreeRateModel,
		decimal	dividendYield = `0.0m`,
		Symbol	mirrorOption = `null`,
		OptionPricingModelType	optionModel = `OptionPricingModelType.BlackScholes`,
		OptionPricingModelType?	ivModel = `null`,
		int	period = `2`
	)

protected

Initializes a new instance of the OptionGreeksIndicatorBase class

Parameters

name	The name of this indicator
option	The option to be tracked
riskFreeRateModel	Risk-free rate model
dividendYield	Dividend yield, as a constant
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate the Greek
ivModel	The option pricing model used to estimate IV
period	The lookback period of historical volatility

Definition at line 122 of file OptionGreekIndicatorBase.cs.

Member Function Documentation

◆ ComputeNextValue()

override decimal QuantConnect.Indicators.OptionGreeksIndicatorBase.ComputeNextValue ( IndicatorDataPoint input )

protected

Computes the next value of the option greek indicator

Parameters

input The input given to the indicator

Returns: The input is returned unmodified.

Definition at line 139 of file OptionGreekIndicatorBase.cs.

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◆ Reset()

override void QuantConnect.Indicators.OptionGreeksIndicatorBase.Reset ( )

Resets this indicator and all sub-indicators

Definition at line 193 of file OptionGreekIndicatorBase.cs.

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Member Data Documentation

◆ _greekValue

decimal QuantConnect.Indicators.OptionGreeksIndicatorBase._greekValue

protected

Cache of the current value of the greek

Definition at line 31 of file OptionGreekIndicatorBase.cs.

◆ IsReady

override bool QuantConnect.Indicators.OptionGreeksIndicatorBase.IsReady => ImpliedVolatility.IsReady

Gets a flag indicating when this indicator is ready and fully initialized

Definition at line 132 of file OptionGreekIndicatorBase.cs.

Property Documentation

◆ ImpliedVolatility

ImpliedVolatility QuantConnect.Indicators.OptionGreeksIndicatorBase.ImpliedVolatility

getset

Gets the implied volatility of the option

Definition at line 36 of file OptionGreekIndicatorBase.cs.

The documentation for this class was generated from the following file:

Indicators/OptionGreekIndicatorBase.cs

Public Member Functions

Public Attributes

Protected Member Functions

Protected Attributes

Properties

Detailed Description

Constructor & Destructor Documentation

◆ OptionGreeksIndicatorBase() [1/5]

◆ OptionGreeksIndicatorBase() [2/5]

◆ OptionGreeksIndicatorBase() [3/5]

◆ OptionGreeksIndicatorBase() [4/5]

◆ OptionGreeksIndicatorBase() [5/5]

Member Function Documentation

◆ ComputeNextValue()

◆ Reset()

Member Data Documentation

◆ _greekValue

◆ IsReady

Property Documentation

◆ ImpliedVolatility