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OptionGreekIndicatorsHelper

QuantConnect.Indicators.OptionGreekIndicatorsHelper

Bases: Object

Helper class for option greeks related indicators

STEPS 

STEPS: int = 200

Number of steps in binomial tree simulation to obtain Greeks/IV

black_theoretical_price 

black_theoretical_price(
    volatility: float,
    spot_price: float,
    strike_price: float,
    time_to_expiration: float,
    risk_free_rate: float,
    dividend_yield: float,
    option_type: OptionRight,
) -> float

Returns the Black theoretical price for the given arguments

crr_theoretical_price 

crr_theoretical_price(
    volatility: float,
    spot_price: float,
    strike_price: float,
    time_to_expiration: float,
    risk_free_rate: float,
    dividend_yield: float,
    option_type: OptionRight,
    steps: int = ...,
) -> float

Creates a Binomial Theoretical Price Tree from the given parameters

forward_tree_theoretical_price 

forward_tree_theoretical_price(
    volatility: float,
    spot_price: float,
    strike_price: float,
    time_to_expiration: float,
    risk_free_rate: float,
    dividend_yield: float,
    option_type: OptionRight,
    steps: int = ...,
) -> float

Creates the Forward Binomial Theoretical Price Tree from the given parameters

time_till_expiry 

time_till_expiry(
    expiry: Union[datetime, date],
    reference_date: Union[datetime, date],
) -> float