Static class contains definitions of major option pricing models that can be used in LEAN More...

Static Public Member Functions
static IOptionPriceModel	Create (string priceEngineName, decimal riskFree, OptionStyle[] allowedOptionStyles=null)
	Creates pricing engine by engine type name. More...

static IOptionPriceModel	BlackScholes ()
	Pricing engine for European vanilla options using analytical formula. QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_analytic_european_engine.html More...

static IOptionPriceModel	BaroneAdesiWhaley ()
	Barone-Adesi and Whaley pricing engine for American options (1987) QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_barone_adesi_whaley_approximation_engine.html More...

static IOptionPriceModel	BjerksundStensland ()
	Bjerksund and Stensland pricing engine for American options (1993) QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_bjerksund_stensland_approximation_engine.html More...

static IOptionPriceModel	Integral ()
	Pricing engine for European vanilla options using integral approach. QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_integral_engine.html More...

static IOptionPriceModel	CrankNicolsonFD ()
	Pricing engine for European and American options using finite-differences. QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_f_d_european_engine.html More...

static IOptionPriceModel	BinomialJarrowRudd ()
	Pricing engine for European and American vanilla options using binomial trees. Jarrow-Rudd model. QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_f_d_european_engine.html More...

static IOptionPriceModel	BinomialCoxRossRubinstein ()
	Pricing engine for European and American vanilla options using binomial trees. Cox-Ross-Rubinstein(CRR) model. QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_f_d_european_engine.html More...

static IOptionPriceModel	AdditiveEquiprobabilities ()
	Pricing engine for European and American vanilla options using binomial trees. Additive Equiprobabilities model. QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_f_d_european_engine.html More...

static IOptionPriceModel	BinomialTrigeorgis ()
	Pricing engine for European and American vanilla options using binomial trees. Trigeorgis model. QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_f_d_european_engine.html More...

static IOptionPriceModel	BinomialTian ()
	Pricing engine for European and American vanilla options using binomial trees. Tian model. QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_f_d_european_engine.html More...

static IOptionPriceModel	BinomialLeisenReimer ()
	Pricing engine for European and American vanilla options using binomial trees. Leisen-Reimer model. QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_f_d_european_engine.html More...

static IOptionPriceModel	BinomialJoshi ()
	Pricing engine for European and American vanilla options using binomial trees. Joshi model. QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_f_d_european_engine.html More...

Detailed Description

Static class contains definitions of major option pricing models that can be used in LEAN

To introduce particular model into algorithm add the following line to the algorithm's Initialize() method:

option.PriceModel = OptionPriceModels.BjerksundStensland(); // Option pricing model of choice

Definition at line 34 of file OptionPriceModels.cs.

Member Function Documentation

◆ Create()

static IOptionPriceModel QuantConnect.Securities.Option.OptionPriceModels.Create	(	string	priceEngineName,
		decimal	riskFree,
		OptionStyle[]	allowedOptionStyles = `null`
	)

static

Creates pricing engine by engine type name.

Parameters

priceEngineName	QL price engine name
riskFree	The risk free rate
allowedOptionStyles	List of option styles supported by the pricing model. It defaults to both American and European option styles

Returns: New option price model instance of specific engine

Definition at line 46 of file OptionPriceModels.cs.

◆ BlackScholes()

static IOptionPriceModel QuantConnect.Securities.Option.OptionPriceModels.BlackScholes ( )

static

Pricing engine for European vanilla options using analytical formula. QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_analytic_european_engine.html

Returns: New option price model instance

Definition at line 64 of file OptionPriceModels.cs.

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◆ BaroneAdesiWhaley()

static IOptionPriceModel QuantConnect.Securities.Option.OptionPriceModels.BaroneAdesiWhaley ( )

static

Barone-Adesi and Whaley pricing engine for American options (1987) QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_barone_adesi_whaley_approximation_engine.html

Returns: New option price model instance

Definition at line 75 of file OptionPriceModels.cs.

◆ BjerksundStensland()

static IOptionPriceModel QuantConnect.Securities.Option.OptionPriceModels.BjerksundStensland ( )

static

Bjerksund and Stensland pricing engine for American options (1993) QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_bjerksund_stensland_approximation_engine.html

Returns: New option price model instance

Definition at line 86 of file OptionPriceModels.cs.

◆ Integral()

static IOptionPriceModel QuantConnect.Securities.Option.OptionPriceModels.Integral ( )

static

Pricing engine for European vanilla options using integral approach. QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_integral_engine.html

Returns: New option price model instance

Definition at line 97 of file OptionPriceModels.cs.

◆ CrankNicolsonFD()

static IOptionPriceModel QuantConnect.Securities.Option.OptionPriceModels.CrankNicolsonFD ( )

static

Pricing engine for European and American options using finite-differences. QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_f_d_european_engine.html

Returns: New option price model instance

Definition at line 108 of file OptionPriceModels.cs.

◆ BinomialJarrowRudd()

static IOptionPriceModel QuantConnect.Securities.Option.OptionPriceModels.BinomialJarrowRudd ( )

static

Pricing engine for European and American vanilla options using binomial trees. Jarrow-Rudd model. QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_f_d_european_engine.html

Returns: New option price model instance

Definition at line 123 of file OptionPriceModels.cs.

◆ BinomialCoxRossRubinstein()

static IOptionPriceModel QuantConnect.Securities.Option.OptionPriceModels.BinomialCoxRossRubinstein ( )

static

Pricing engine for European and American vanilla options using binomial trees. Cox-Ross-Rubinstein(CRR) model. QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_f_d_european_engine.html

Returns: New option price model instance

Definition at line 134 of file OptionPriceModels.cs.

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◆ AdditiveEquiprobabilities()

static IOptionPriceModel QuantConnect.Securities.Option.OptionPriceModels.AdditiveEquiprobabilities ( )

static

Pricing engine for European and American vanilla options using binomial trees. Additive Equiprobabilities model. QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_f_d_european_engine.html

Returns: New option price model instance

Definition at line 144 of file OptionPriceModels.cs.

◆ BinomialTrigeorgis()

static IOptionPriceModel QuantConnect.Securities.Option.OptionPriceModels.BinomialTrigeorgis ( )

static

Pricing engine for European and American vanilla options using binomial trees. Trigeorgis model. QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_f_d_european_engine.html

Returns: New option price model instance

Definition at line 154 of file OptionPriceModels.cs.

◆ BinomialTian()

static IOptionPriceModel QuantConnect.Securities.Option.OptionPriceModels.BinomialTian ( )

static

Pricing engine for European and American vanilla options using binomial trees. Tian model. QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_f_d_european_engine.html

Returns: New option price model instance

Definition at line 164 of file OptionPriceModels.cs.

◆ BinomialLeisenReimer()

static IOptionPriceModel QuantConnect.Securities.Option.OptionPriceModels.BinomialLeisenReimer ( )

static

Pricing engine for European and American vanilla options using binomial trees. Leisen-Reimer model. QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_f_d_european_engine.html

Returns: New option price model instance

Definition at line 174 of file OptionPriceModels.cs.

◆ BinomialJoshi()

static IOptionPriceModel QuantConnect.Securities.Option.OptionPriceModels.BinomialJoshi ( )

static

Pricing engine for European and American vanilla options using binomial trees. Joshi model. QuantLib reference: http://quantlib.org/reference/class_quant_lib_1_1_f_d_european_engine.html

Returns: New option price model instance

Definition at line 184 of file OptionPriceModels.cs.

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

Common/Securities/Option/OptionPriceModels.cs

Static Public Member Functions

Detailed Description

Member Function Documentation

◆ Create()

◆ BlackScholes()

◆ BaroneAdesiWhaley()

◆ BjerksundStensland()

◆ Integral()

◆ CrankNicolsonFD()

◆ BinomialJarrowRudd()

◆ BinomialCoxRossRubinstein()

◆ AdditiveEquiprobabilities()

◆ BinomialTrigeorgis()

◆ BinomialTian()

◆ BinomialLeisenReimer()

◆ BinomialJoshi()