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| class | ConstantQLDividendYieldEstimator |
| | Class implements default flat dividend yield curve estimator, implementing IQLDividendYieldEstimator.
More...
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| class | ConstantQLRiskFreeRateEstimator |
| | Class implements default flat risk free curve, implementing IQLRiskFreeRateEstimator. More...
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| class | ConstantQLUnderlyingVolatilityEstimator |
| | Class implements default underlying constant volatility estimator (IQLUnderlyingVolatilityEstimator.), that projects the underlying own volatility model into corresponding option pricing model. More...
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| class | CurrentPriceOptionPriceModel |
| | Provides a default implementation of IOptionPriceModel that does not compute any greeks and uses the current price for the theoretical price. More...
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| class | DefaultOptionAssignmentModel |
| | The option assignment model emulates exercising of short option positions in the portfolio. Simulator implements basic no-arb argument: when time value of the option contract is close to zero it assigns short legs getting profit close to expiration dates in deep ITM positions. User algorithm then receives assignment event from LEAN. Simulator randomly scans for arbitrage opportunities every two hours or so. More...
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| class | EmptyOptionChainProvider |
| | An implementation of IOptionChainProvider that always returns an empty list of contracts More...
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| class | FedRateQLRiskFreeRateEstimator |
| | Class implements Fed's US primary credit rate as risk free rate, implementing IQLRiskFreeRateEstimator. More...
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| class | FuturesOptionsMarginModel |
| | Defines a margin model for future options (an option with a future as its underlying). We re-use the FutureMarginModel implementation and multiply its results by 1.5x to simulate the increased margins seen for future options. More...
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| interface | IOptionAssignmentModel |
| | The option assignment model emulates exercising of short option positions in the portfolio. More...
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| interface | IOptionPriceModel |
| | Defines a model used to calculate the theoretical price of an option contract. More...
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| interface | IQLDividendYieldEstimator |
| | Defines QuantLib dividend yield estimator for option pricing model. User may define his own estimators, including those forward and backward looking ones. More...
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| interface | IQLRiskFreeRateEstimator |
| | Defines QuantLib risk free rate estimator for option pricing model. More...
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| interface | IQLUnderlyingVolatilityEstimator |
| | Defines QuantLib underlying volatility estimator for option pricing model. User may define his own estimators, including those forward and backward looking ones. More...
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| class | NullOptionAssignmentModel |
| | The null option assignment model, that will disable automatic order assignment More...
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| class | Option |
| | Option Security Object Implementation for Option Assets More...
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| class | OptionAssignmentParameters |
| | The option assignment parameters data transfer class More...
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| class | OptionAssignmentResult |
| | Data transfer object class More...
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| class | OptionCache |
| | Option specific caching support More...
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| class | OptionDataFilter |
| | Option packet by packet data filtering mechanism for dynamically detecting bad ticks. More...
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| class | OptionExchange |
| | Option exchange class - information and helper tools for option exchange properties More...
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| class | OptionHolding |
| | Option holdings implementation of the base securities class More...
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| class | OptionMarginModel |
| | Represents a simple option margin model. More...
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| class | OptionPortfolioModel |
| | Provides an implementation of ISecurityPortfolioModel for options that supports default fills as well as option exercising. More...
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| class | OptionPriceModelResult |
| | Result type for IOptionPriceModel.Evaluate More...
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| class | OptionPriceModels |
| | Static class contains definitions of major option pricing models that can be used in LEAN More...
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| class | OptionStrategies |
| | Provides methods for creating popular OptionStrategy instances. These strategies can be directly bought and sold via: QCAlgorithm.Buy(OptionStrategy strategy, int quantity) QCAlgorithm.Sell(OptionStrategy strategy, int quantity) More...
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| class | OptionStrategy |
| | Option strategy specification class. Describes option strategy and its parameters for trading. More...
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| class | OptionStrategyPositionGroupBuyingPowerModel |
| | Option strategy buying power model More...
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| class | OptionSymbol |
| | Static class contains common utility methods specific to symbols representing the option contracts More...
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| class | OptionSymbolProperties |
| | Represents common properties for a specific option contract More...
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| class | QLOptionPriceModel |
| | Provides QuantLib(QL) implementation of IOptionPriceModel to support major option pricing models, available in QL. More...
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1.8.17