CurrentPriceOptionPriceModel.cs

/*
 * 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.
*/
 
using System;
using QuantConnect.Data;
using QuantConnect.Data.Market;
 
namespace QuantConnect.Securities.Option
{
    /// <summary>
    /// Provides a default implementation of <see cref="IOptionPriceModel"/> that does not compute any
    /// greeks and uses the current price for the theoretical price.
    /// <remarks>This is a stub implementation until the real models are implemented</remarks>
    /// </summary>
    public class CurrentPriceOptionPriceModel : IOptionPriceModel
    {
        /// <summary>
        /// Creates a new <see cref="OptionPriceModelResult"/> containing the current <see cref="Security.Price"/>
        /// and a default, empty instance of first Order <see cref="Greeks"/>
        /// </summary>
        /// <param name="security">The option security object</param>
        /// <param name="slice">The current data slice. This can be used to access other information
        /// available to the algorithm</param>
        /// <param name="contract">The option contract to evaluate</param>
        /// <returns>An instance of <see cref="OptionPriceModelResult"/> containing the theoretical
        /// price of the specified option contract</returns>
        public OptionPriceModelResult Evaluate(Security security, Slice slice, OptionContract contract)
        {
            return new OptionPriceModelResult(security.Price, NullGreeks.Instance);
        }
    }
}