QLOptionPriceModel

QuantConnect.Securities.Option.QLOptionPriceModel

QLOptionPriceModel(
    pricing_engine_func: Callable[
        [GeneralizedBlackScholesProcess], IPricingEngine
    ],
    underlying_vol_estimator: IQLUnderlyingVolatilityEstimator = None,
    risk_free_rate_estimator: IQLRiskFreeRateEstimator = None,
    dividend_yield_estimator: IQLDividendYieldEstimator = None,
    allowed_option_styles: List[OptionStyle] = None,
)

QLOptionPriceModel(
    pricing_engine_func: Callable[
        [Symbol, GeneralizedBlackScholesProcess],
        IPricingEngine,
    ],
    underlying_vol_estimator: IQLUnderlyingVolatilityEstimator = None,
    risk_free_rate_estimator: IQLRiskFreeRateEstimator = None,
    dividend_yield_estimator: IQLDividendYieldEstimator = None,
    allowed_option_styles: List[OptionStyle] = None,
)

Bases: Object, IOptionPriceModel

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

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

Parameters:

Name	Type	Description	Default
`pricing_engine_func`	`Callable[[GeneralizedBlackScholesProcess], IPricingEngine] \| Callable[[Symbol, GeneralizedBlackScholesProcess], IPricingEngine]`	Function modeled stochastic process, and returns new pricing engine to run calculations for that option	required
`underlying_vol_estimator`	`IQLUnderlyingVolatilityEstimator`	The underlying volatility estimator	`None`
`risk_free_rate_estimator`	`IQLRiskFreeRateEstimator`	The risk free rate estimator	`None`
`dividend_yield_estimator`	`IQLDividendYieldEstimator`	The underlying dividend yield estimator	`None`
`allowed_option_styles`	`List[OptionStyle]`	List of option styles supported by the pricing model. It defaults to both American and European option styles	`None`

enable_greek_approximation

enable_greek_approximation: bool

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

volatility_estimator_warmed_up

volatility_estimator_warmed_up: bool

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

allowed_option_styles

allowed_option_styles: Sequence[OptionStyle]

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

evaluate

evaluate(
    security: Security,
    slice: Slice,
    contract: OptionContract,
) -> OptionPriceModelResult

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

Parameters:

Name	Type	Description	Default
`security`	`Security`	The option security object	required
`slice`	`Slice`	The current data slice. This can be used to access other information available to the algorithm	required
`contract`	`OptionContract`	The option contract to evaluate	required

Returns:

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

implied_volatility_estimation

implied_volatility_estimation(
    price: float,
    initial_guess: float,
    time_till_expiry: float,
    risk_free_discount: float,
    forward_price: float,
    payoff: Any,
    black: Optional[Any],
) -> Tuple[float, Any]

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

This codeEntityType is protected.

Parameters:

Name	Type	Description	Default
`price`	`float`	current price of the option	required
`initial_guess`	`float`	initial guess of the IV	required
`time_till_expiry`	`float`	time till option contract expiry	required
`risk_free_discount`	`float`	risk free rate discount factor	required
`forward_price`	`float`	future value of underlying price	required
`payoff`	`Any`	payoff structure of the option contract	required
`black`	`Optional[Any]`	black calculator instance	required

Returns:

Type	Description
`Tuple[float, Any]`	implied volatility estimation.