Provides QuantLib(QL) implementation of IOptionPriceModel to support major option pricing models, available in QL. More...

Inheritance diagram for QuantConnect.Securities.Option.QLOptionPriceModel:

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Public Member Functions
	QLOptionPriceModel (PricingEngineFunc pricingEngineFunc, IQLUnderlyingVolatilityEstimator underlyingVolEstimator=null, IQLRiskFreeRateEstimator riskFreeRateEstimator=null, IQLDividendYieldEstimator dividendYieldEstimator=null, OptionStyle[] allowedOptionStyles=null)
	Method constructs QuantLib option price model with necessary estimators of underlying volatility, risk free rate, and underlying dividend yield More...

	QLOptionPriceModel (PricingEngineFuncEx pricingEngineFunc, IQLUnderlyingVolatilityEstimator underlyingVolEstimator=null, IQLRiskFreeRateEstimator riskFreeRateEstimator=null, IQLDividendYieldEstimator dividendYieldEstimator=null, OptionStyle[] allowedOptionStyles=null)
	Method constructs QuantLib option price model with necessary estimators of underlying volatility, risk free rate, and underlying dividend yield More...

OptionPriceModelResult	Evaluate (Security security, Slice slice, OptionContract contract)
	Evaluates the specified option contract to compute a theoretical price, IV and greeks More...

Public Attributes
bool	VolatilityEstimatorWarmedUp => _underlyingVolEstimator.IsReady
	True if volatility model is warmed up, i.e. has generated volatility value different from zero, otherwise false. More...

Protected Member Functions
double	ImpliedVolatilityEstimation (double price, double initialGuess, double timeTillExpiry, double riskFreeDiscount, double forwardPrice, PlainVanillaPayoff payoff, out BlackCalculator black)
	An implied volatility approximation by Newton-Raphson method. Return 0 if result is not converged More...

Properties
bool	EnableGreekApproximation = true `[get, set]`
	When enabled, approximates Greeks if corresponding pricing model didn't calculate exact numbers. The default value is true. More...

IReadOnlyCollection< OptionStyle >	AllowedOptionStyles `[get]`
	List of option styles supported by the pricing model. By default, both American and European option styles are supported. More...

Detailed Description

Provides QuantLib(QL) implementation of IOptionPriceModel to support major option pricing models, available in QL.

Definition at line 33 of file QLOptionPriceModel.cs.

Constructor & Destructor Documentation

◆ QLOptionPriceModel() [1/2]

QuantConnect.Securities.Option.QLOptionPriceModel.QLOptionPriceModel	(	PricingEngineFunc	pricingEngineFunc,
		IQLUnderlyingVolatilityEstimator	underlyingVolEstimator = `null`,
		IQLRiskFreeRateEstimator	riskFreeRateEstimator = `null`,
		IQLDividendYieldEstimator	dividendYieldEstimator = `null`,
		OptionStyle[]	allowedOptionStyles = `null`
	)

Method constructs QuantLib option price model with necessary estimators of underlying volatility, risk free rate, and underlying dividend yield

Parameters

pricingEngineFunc	Function modeled stochastic process, and returns new pricing engine to run calculations for that option
underlyingVolEstimator	The underlying volatility estimator
riskFreeRateEstimator	The risk free rate estimator
dividendYieldEstimator	The underlying dividend yield estimator
allowedOptionStyles	List of option styles supported by the pricing model. It defaults to both American and European option styles

Definition at line 70 of file QLOptionPriceModel.cs.

◆ QLOptionPriceModel() [2/2]

QuantConnect.Securities.Option.QLOptionPriceModel.QLOptionPriceModel	(	PricingEngineFuncEx	pricingEngineFunc,
		IQLUnderlyingVolatilityEstimator	underlyingVolEstimator = `null`,
		IQLRiskFreeRateEstimator	riskFreeRateEstimator = `null`,
		IQLDividendYieldEstimator	dividendYieldEstimator = `null`,
		OptionStyle[]	allowedOptionStyles = `null`
	)

Method constructs QuantLib option price model with necessary estimators of underlying volatility, risk free rate, and underlying dividend yield

Parameters

pricingEngineFunc	Function takes option and modeled stochastic process, and returns new pricing engine to run calculations for that option
underlyingVolEstimator	The underlying volatility estimator
riskFreeRateEstimator	The risk free rate estimator
dividendYieldEstimator	The underlying dividend yield estimator
allowedOptionStyles	List of option styles supported by the pricing model. It defaults to both American and European option styles

Definition at line 85 of file QLOptionPriceModel.cs.

Member Function Documentation

◆ Evaluate()

OptionPriceModelResult QuantConnect.Securities.Option.QLOptionPriceModel.Evaluate	(	Security	security,
		Slice	slice,
		OptionContract	contract
	)

Evaluates the specified option contract to compute a theoretical price, IV and greeks

Parameters

security	The option security object
slice	The current data slice. This can be used to access other information available to the algorithm
contract	The option contract to evaluate

Returns: An instance of OptionPriceModelResult containing the theoretical price of the specified option contract

Implements QuantConnect.Securities.Option.IOptionPriceModel.

Definition at line 108 of file QLOptionPriceModel.cs.

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◆ ImpliedVolatilityEstimation()

double QuantConnect.Securities.Option.QLOptionPriceModel.ImpliedVolatilityEstimation	(	double	price,
		double	initialGuess,
		double	timeTillExpiry,
		double	riskFreeDiscount,
		double	forwardPrice,
		PlainVanillaPayoff	payoff,
		out BlackCalculator	black
	)

protected

An implied volatility approximation by Newton-Raphson method. Return 0 if result is not converged

Orlando G, Taglialatela G. A review on implied volatility calculation. Journal of Computational and Applied Mathematics. 2017 Aug 15;320:202-20. https://www.sciencedirect.com/science/article/pii/S0377042717300602

Parameters

price	current price of the option
initialGuess	initial guess of the IV
timeTillExpiry	time till option contract expiry
riskFreeDiscount	risk free rate discount factor
forwardPrice	future value of underlying price
payoff	payoff structure of the option contract
black	black calculator instance

Returns: implied volatility estimation

Definition at line 346 of file QLOptionPriceModel.cs.

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Member Data Documentation

◆ VolatilityEstimatorWarmedUp

bool QuantConnect.Securities.Option.QLOptionPriceModel.VolatilityEstimatorWarmedUp => _underlyingVolEstimator.IsReady

True if volatility model is warmed up, i.e. has generated volatility value different from zero, otherwise false.

Definition at line 54 of file QLOptionPriceModel.cs.

Property Documentation

◆ EnableGreekApproximation

bool QuantConnect.Securities.Option.QLOptionPriceModel.EnableGreekApproximation = true

getset

When enabled, approximates Greeks if corresponding pricing model didn't calculate exact numbers. The default value is true.

Definition at line 49 of file QLOptionPriceModel.cs.

◆ AllowedOptionStyles

IReadOnlyCollection<OptionStyle> QuantConnect.Securities.Option.QLOptionPriceModel.AllowedOptionStyles

get

List of option styles supported by the pricing model. By default, both American and European option styles are supported.

Definition at line 60 of file QLOptionPriceModel.cs.

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

Common/Securities/Option/QLOptionPriceModel.cs

Public Member Functions

Public Attributes

Protected Member Functions

Properties

Detailed Description

Constructor & Destructor Documentation

◆ QLOptionPriceModel() [1/2]

◆ QLOptionPriceModel() [2/2]

Member Function Documentation

◆ Evaluate()

◆ ImpliedVolatilityEstimation()

Member Data Documentation

◆ VolatilityEstimatorWarmedUp

Property Documentation

◆ EnableGreekApproximation

◆ AllowedOptionStyles