OptionPriceModels

QuantConnect.Securities.Option.OptionPriceModels

Bases: Object

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

QuantLib

Bases: Object

Static class contains definitions of major option pricing models that can be used in LEAN, based on QuantLib implementations.

additive_equiprobabilities

additive_equiprobabilities() -> IOptionPriceModel

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:

Type	Description
IOptionPriceModel	New option price model instance.

barone_adesi_whaley

barone_adesi_whaley() -> IOptionPriceModel

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:

Type	Description
IOptionPriceModel	New option price model instance.

binomial_cox_ross_rubinstein

binomial_cox_ross_rubinstein() -> IOptionPriceModel

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:

Type	Description
IOptionPriceModel	New option price model instance.

binomial_jarrow_rudd

binomial_jarrow_rudd() -> IOptionPriceModel

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:

Type	Description
IOptionPriceModel	New option price model instance.

binomial_joshi

binomial_joshi() -> IOptionPriceModel

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:

Type	Description
IOptionPriceModel	New option price model instance.

binomial_leisen_reimer

binomial_leisen_reimer() -> IOptionPriceModel

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:

Type	Description
IOptionPriceModel	New option price model instance.

binomial_tian

binomial_tian() -> IOptionPriceModel

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:

Type	Description
IOptionPriceModel	New option price model instance.

binomial_trigeorgis

binomial_trigeorgis() -> IOptionPriceModel

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:

Type	Description
IOptionPriceModel	New option price model instance.

bjerksund_stensland

bjerksund_stensland() -> IOptionPriceModel

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:

Type	Description
IOptionPriceModel	New option price model instance.

black_scholes

black_scholes() -> IOptionPriceModel

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:

Type	Description
IOptionPriceModel	New option price model instance.

crank_nicolson_fd

crank_nicolson_fd() -> IOptionPriceModel

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:

Type	Description
IOptionPriceModel	New option price model instance.

create

create(
    price_engine_name: str,
    risk_free: float,
    allowed_option_styles: List[OptionStyle] = None,
) -> IOptionPriceModel

Creates pricing engine by engine type name.

Parameters:

Name	Type	Description	Default
price_engine_name	str	QL price engine name	required
risk_free	float	The risk free rate	required
allowed_option_styles	List[OptionStyle]	List of option styles supported by the pricing model. It defaults to both American and European option styles	None

Returns:

Type	Description
IOptionPriceModel	New option price model instance of specific engine.

integral

integral() -> IOptionPriceModel

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

Returns:

Type	Description
IOptionPriceModel	New option price model instance.

binomial_cox_ross_rubinstein

binomial_cox_ross_rubinstein() -> IOptionPriceModel

Pricing engine for Cox-Ross-Rubinstein (CRR) model.

Returns:

Type	Description
IOptionPriceModel	New option price model instance.

black_scholes

black_scholes() -> IOptionPriceModel

Pricing engine for Black-Scholes model.

Returns:

Type	Description
IOptionPriceModel	New option price model instance.

forward_tree

forward_tree() -> IOptionPriceModel

Pricing engine for forward binomial tree model.

Returns:

Type	Description
IOptionPriceModel	New option price model instance.

null

null() -> IOptionPriceModel

Null pricing engine that returns the current price as the option theoretical price. It will also set the option Greeks and implied volatility to zero, effectively disabling the pricing.