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QuantConnect.Indicators.OptionGreeksIndicatorBase Class Referenceabstract

To provide a base class for option greeks indicator More...

Inheritance diagram for QuantConnect.Indicators.OptionGreeksIndicatorBase:
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Public Member Functions

override void Reset ()
 Resets this indicator and all sub-indicators More...
 
- Public Member Functions inherited from QuantConnect.Indicators.OptionIndicatorBase
override void Reset ()
 Resets this indicator and all sub-indicators More...
 

Public Attributes

override bool IsReady => ImpliedVolatility.IsReady
 Gets a flag indicating when this indicator is ready and fully initialized More...
 
- Public Attributes inherited from QuantConnect.Indicators.OptionIndicatorBase
OptionRight Right => OptionSymbol.ID.OptionRight
 Gets the option right (call/put) of the option More...
 
decimal Strike => OptionSymbol.ID.StrikePrice
 Gets the strike price of the option More...
 
OptionStyle Style => OptionSymbol.ID.OptionStyle
 Gets the option style (European/American) of the option More...
 
bool UseMirrorContract => _oppositeOptionSymbol != null
 Flag if mirror option is implemented for parity type calculation More...
 

Protected Member Functions

 OptionGreeksIndicatorBase (string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null)
 Initializes a new instance of the OptionGreeksIndicatorBase class More...
 
 OptionGreeksIndicatorBase (string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null)
 Initializes a new instance of the OptionGreeksIndicatorBase class More...
 
 OptionGreeksIndicatorBase (string name, Symbol option, decimal riskFreeRate=0.05m, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null)
 Initializes a new instance of the OptionGreeksIndicatorBase class More...
 
 OptionGreeksIndicatorBase (string name, Symbol option, PyObject riskFreeRateModel, PyObject dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null)
 Initializes a new instance of the OptionGreeksIndicatorBase class More...
 
 OptionGreeksIndicatorBase (string name, Symbol option, PyObject riskFreeRateModel, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null)
 Initializes a new instance of the OptionGreeksIndicatorBase class More...
 
override decimal Calculate (IndicatorDataPoint input)
 Computes the next value of the option greek indicator More...
 
abstract decimal CalculateGreek (decimal timeTillExpiry)
 Calculate the greek of the option More...
 
- Protected Member Functions inherited from QuantConnect.Indicators.OptionIndicatorBase
 OptionIndicatorBase (string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, int period=2)
 Initializes a new instance of the OptionIndicatorBase class More...
 
override decimal ComputeNextValue (IndicatorDataPoint input)
 Computes the next value of this indicator from the given state. This will round the result to 7 decimal places. More...
 

Properties

decimal _greekValue [get, set]
 Cache of the current value of the greek More...
 
ImpliedVolatility ImpliedVolatility [get, set]
 Gets the implied volatility of the option More...
 
- Properties inherited from QuantConnect.Indicators.OptionIndicatorBase
Symbol OptionSymbol [get]
 Option's symbol object More...
 
Symbol _oppositeOptionSymbol [get]
 Mirror option symbol (by option right), for implied volatility More...
 
OptionPricingModelType _optionModel [get, set]
 Option pricing model used to calculate indicator More...
 
IRiskFreeInterestRateModel _riskFreeInterestRateModel [get]
 Risk-free rate model More...
 
IDividendYieldModel _dividendYieldModel [get]
 Dividend yield model, for continuous dividend yield More...
 
DateTime Expiry [get]
 Gets the expiration time of the option More...
 
Identity RiskFreeRate [get, set]
 Risk Free Rate More...
 
Identity DividendYield [get, set]
 Dividend Yield More...
 
IndicatorBase< IndicatorDataPointPrice [get]
 Gets the option price level More...
 
IndicatorBase< IndicatorDataPointOppositePrice [get]
 Gets the mirror option price level, for implied volatility More...
 
IndicatorBase< IndicatorDataPointUnderlyingPrice [get]
 Gets the underlying's price level More...
 
int WarmUpPeriod [get, set]
 Required period, in data points, for the indicator to be ready and fully initialized. More...
 
- Properties inherited from QuantConnect.Indicators.IIndicatorWarmUpPeriodProvider
int WarmUpPeriod [get]
 Required period, in data points, for the indicator to be ready and fully initialized. More...
 

Additional Inherited Members

- Static Public Member Functions inherited from QuantConnect.Indicators.OptionIndicatorBase
static OptionPricingModelType GetOptionModel (OptionPricingModelType? optionModel, OptionStyle optionStyle)
 Gets the option pricing model based on the option style, if not specified More...
 
- Protected Attributes inherited from QuantConnect.Indicators.OptionIndicatorBase
Symbol _underlyingSymbol => OptionSymbol.Underlying
 Underlying security's symbol object More...
 

Detailed Description

To provide a base class for option greeks indicator

Definition at line 26 of file OptionGreekIndicatorBase.cs.

Constructor & Destructor Documentation

◆ OptionGreeksIndicatorBase() [1/5]

QuantConnect.Indicators.OptionGreeksIndicatorBase.OptionGreeksIndicatorBase ( string  name,
Symbol  option,
IRiskFreeInterestRateModel  riskFreeRateModel,
IDividendYieldModel  dividendYieldModel,
Symbol  mirrorOption = null,
OptionPricingModelType optionModel = null,
OptionPricingModelType ivModel = null 
)
protected

Initializes a new instance of the OptionGreeksIndicatorBase class

Parameters
nameThe name of this indicator
optionThe option to be tracked
riskFreeRateModelRisk-free rate model
dividendYieldModelDividend yield model
mirrorOptionThe mirror option for parity calculation
optionModelThe option pricing model used to estimate the Greek
ivModelThe option pricing model used to estimate IV

Definition at line 62 of file OptionGreekIndicatorBase.cs.

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◆ OptionGreeksIndicatorBase() [2/5]

QuantConnect.Indicators.OptionGreeksIndicatorBase.OptionGreeksIndicatorBase ( string  name,
Symbol  option,
IRiskFreeInterestRateModel  riskFreeRateModel,
decimal  dividendYield = 0.0m,
Symbol  mirrorOption = null,
OptionPricingModelType optionModel = null,
OptionPricingModelType ivModel = null 
)
protected

Initializes a new instance of the OptionGreeksIndicatorBase class

Parameters
nameThe name of this indicator
optionThe option to be tracked
riskFreeRateModelRisk-free rate model
dividendYieldDividend yield, as a constant
mirrorOptionThe mirror option for parity calculation
optionModelThe option pricing model used to estimate the Greek
ivModelThe option pricing model used to estimate IV

Definition at line 81 of file OptionGreekIndicatorBase.cs.

◆ OptionGreeksIndicatorBase() [3/5]

QuantConnect.Indicators.OptionGreeksIndicatorBase.OptionGreeksIndicatorBase ( string  name,
Symbol  option,
decimal  riskFreeRate = 0.05m,
decimal  dividendYield = 0.0m,
Symbol  mirrorOption = null,
OptionPricingModelType optionModel = null,
OptionPricingModelType ivModel = null 
)
protected

Initializes a new instance of the OptionGreeksIndicatorBase class

Parameters
nameThe name of this indicator
optionThe option to be tracked
riskFreeRateRisk-free rate, as a constant
dividendYieldDividend yield, as a constant
mirrorOptionThe mirror option for parity calculation
optionModelThe option pricing model used to estimate the Greek
ivModelThe option pricing model used to estimate IV

Definition at line 97 of file OptionGreekIndicatorBase.cs.

◆ OptionGreeksIndicatorBase() [4/5]

QuantConnect.Indicators.OptionGreeksIndicatorBase.OptionGreeksIndicatorBase ( string  name,
Symbol  option,
PyObject  riskFreeRateModel,
PyObject  dividendYieldModel,
Symbol  mirrorOption = null,
OptionPricingModelType optionModel = null,
OptionPricingModelType ivModel = null 
)
protected

Initializes a new instance of the OptionGreeksIndicatorBase class

Parameters
nameThe name of this indicator
optionThe option to be tracked
riskFreeRateModelRisk-free rate model
dividendYieldModelDividend yield model
mirrorOptionThe mirror option for parity calculation
optionModelThe option pricing model used to estimate the Greek
ivModelThe option pricing model used to estimate IV

Definition at line 114 of file OptionGreekIndicatorBase.cs.

◆ OptionGreeksIndicatorBase() [5/5]

QuantConnect.Indicators.OptionGreeksIndicatorBase.OptionGreeksIndicatorBase ( string  name,
Symbol  option,
PyObject  riskFreeRateModel,
decimal  dividendYield = 0.0m,
Symbol  mirrorOption = null,
OptionPricingModelType optionModel = null,
OptionPricingModelType ivModel = null 
)
protected

Initializes a new instance of the OptionGreeksIndicatorBase class

Parameters
nameThe name of this indicator
optionThe option to be tracked
riskFreeRateModelRisk-free rate model
dividendYieldDividend yield, as a constant
mirrorOptionThe mirror option for parity calculation
optionModelThe option pricing model used to estimate the Greek
ivModelThe option pricing model used to estimate IV

Definition at line 131 of file OptionGreekIndicatorBase.cs.

Member Function Documentation

◆ Calculate()

override decimal QuantConnect.Indicators.OptionGreeksIndicatorBase.Calculate ( IndicatorDataPoint  input)
protectedvirtual

Computes the next value of the option greek indicator

Parameters
inputThe input given to the indicator
Returns
The input is returned unmodified.

Implements QuantConnect.Indicators.OptionIndicatorBase.

Definition at line 148 of file OptionGreekIndicatorBase.cs.

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◆ CalculateGreek()

abstract decimal QuantConnect.Indicators.OptionGreeksIndicatorBase.CalculateGreek ( decimal  timeTillExpiry)
protectedpure virtual

Calculate the greek of the option

Implemented in QuantConnect.Indicators.Delta, QuantConnect.Indicators.Gamma, QuantConnect.Indicators.Rho, QuantConnect.Indicators.Theta, and QuantConnect.Indicators.Vega.

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◆ Reset()

override void QuantConnect.Indicators.OptionGreeksIndicatorBase.Reset ( )

Resets this indicator and all sub-indicators

Definition at line 208 of file OptionGreekIndicatorBase.cs.

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Member Data Documentation

◆ IsReady

override bool QuantConnect.Indicators.OptionGreeksIndicatorBase.IsReady => ImpliedVolatility.IsReady

Gets a flag indicating when this indicator is ready and fully initialized

Definition at line 141 of file OptionGreekIndicatorBase.cs.

Property Documentation

◆ _greekValue

decimal QuantConnect.Indicators.OptionGreeksIndicatorBase._greekValue
getsetprotected

Cache of the current value of the greek

Definition at line 34 of file OptionGreekIndicatorBase.cs.

◆ ImpliedVolatility

ImpliedVolatility QuantConnect.Indicators.OptionGreeksIndicatorBase.ImpliedVolatility
getset

Gets the implied volatility of the option

Definition at line 40 of file OptionGreekIndicatorBase.cs.


The documentation for this class was generated from the following file: