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GeezerVison is showing github.com — Lean/Algorithm.Python/BasicTemplateOptionsPriceModel.py at master · QuantConnect/Lean Expand file tree/ Copy pathBasicTemplateOptionsPriceModel.pyMore file actions 64 lines (53 loc) · 2.9 KB / Copy pathBasicTemplateOptionsPriceModel.pyFile metadata and controls64 lines (53 loc) · 2.9 KB 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 # QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. # Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. # # Licensed under the Apache License, Version 2.0 (the "License"); # you may not use this file except in compliance with the License. # You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 # # Unless required by applicable law or agreed to in writing, software # distributed under the License is distributed on an "AS IS" BASIS, # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. # See the License for the specific language governing permissions and # limitations under the License. from AlgorithmImports import * ### <summary> ### Example demonstrating how to define an option price model. ### </summary> ### <meta name="tag" content="using data" /> ### <meta name="tag" content="options" /> ### <meta name="tag" content="filter selection" /> ### <meta name="tag" content="option price model" /> class BasicTemplateOptionsPriceModel(QCAlgorithm): '''Example demonstrating how to define an option price model.''' def initialize(self): self.set_start_date(2020, 1, 1) self.set_end_date(2020, 1, 5) self.set_cash(100000) # Add the option option = self.add_option("AAPL") self.option_symbol = option.symbol # Add the initial contract filter option.set_filter(-3, +3, 0, 31) # Define the Option Price Model option.price_model = OptionPriceModels.QuantLib.crank_nicolson_fd() #option.price_model = OptionPriceModels.QuantLib.black_scholes() #option.price_model = OptionPriceModels.QuantLib.additive_equiprobabilities() #option.price_model = OptionPriceModels.QuantLib.barone_adesi_whaley() #option.price_model = OptionPriceModels.QuantLib.binomial_cox_ross_rubinstein() #option.price_model = OptionPriceModels.QuantLib.binomial_jarrow_rudd() #option.price_model = OptionPriceModels.QuantLib.binomial_joshi() #option.price_model = OptionPriceModels.QuantLib.binomial_leisen_reimer() #option.price_model = OptionPriceModels.QuantLib.binomial_tian() #option.price_model = OptionPriceModels.QuantLib.binomial_trigeorgis() #option.price_model = OptionPriceModels.QuantLib.bjerksund_stensland() #option.price_model = OptionPriceModels.QuantLib.integral() # Set warm up with 30 trading days to warm up the underlying volatility model self.set_warm_up(30, Resolution.DAILY) def on_data(self,slice): '''OnData will test whether the option contracts has a non-zero Greeks.delta''' if self.is_warming_up or not slice.option_chains.contains_key(self.option_symbol): return chain = slice.option_chains[self.option_symbol] if not any([x for x in chain if x.greeks.delta != 0]): self.log(f'No contract with Delta != 0') |
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