IndicatorBasedOptionPriceModel

QuantConnect.Indicators.IndicatorBasedOptionPriceModel

IndicatorBasedOptionPriceModel(
    option_model: Optional[OptionPricingModelType] = None,
    iv_model: Optional[OptionPricingModelType] = None,
    dividend_yield_model: IDividendYieldModel = None,
    risk_free_interest_rate_model: IRiskFreeInterestRateModel = None,
    use_mirror_contract: bool = True,
    security_provider: SecurityManager = None,
)

Bases: OptionPriceModel

Provides an implementation of IOptionPriceModel that uses QuantConnect indicators to provide a theoretical price for the option contract.

Creates a new instance of the IndicatorBasedOptionPriceModel class

Parameters:

Name	Type	Description	Default
option_model	Optional[OptionPricingModelType]	The option pricing model type to be used by the indicators	None
iv_model	Optional[OptionPricingModelType]	The option pricing model type to be used by the implied volatility indicator	None
dividend_yield_model	IDividendYieldModel	The dividend yield model to be used by the indicators	None
risk_free_interest_rate_model	IRiskFreeInterestRateModel	The risk free interest rate model to be used by the indicators	None
use_mirror_contract	bool	Whether to use the mirror contract when possible	True
security_provider	SecurityManager	The security provider used to fetch the mirror contract	None

evaluate

evaluate(
    parameters: OptionPriceModelParameters,
) -> OptionPriceModelResult

Creates a new OptionPriceModelResult containing the theoretical price based on QuantConnect indicators.

Parameters:

Name	Type	Description	Default
parameters	OptionPriceModelParameters	The evaluation parameters	required

Returns:

Type	Description
OptionPriceModelResult	An instance of OptionPriceModelResult containing the theoretical price of the specified option contract.