Option Theta indicator that calculate the theta of an option More...

Inheritance diagram for QuantConnect.Indicators.Theta:

Public Member Functions
	Theta (string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null)
	Initializes a new instance of the Theta class More...

	Theta (Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null)
	Initializes a new instance of the Theta class More...

	Theta (string name, Symbol option, PyObject riskFreeRateModel, PyObject dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null)
	Initializes a new instance of the Theta class More...

	Theta (Symbol option, PyObject riskFreeRateModel, PyObject dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null)
	Initializes a new instance of the Theta class More...

	Theta (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 Theta class More...

	Theta (Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null)
	Initializes a new instance of the Theta class More...

	Theta (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 Theta class More...

	Theta (Symbol option, PyObject riskFreeRateModel, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null)
	Initializes a new instance of the Theta class More...

	Theta (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 Theta class More...

	Theta (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 Theta class More...

Public Member Functions inherited from QuantConnect.Indicators.OptionGreeksIndicatorBase
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...

Protected Member Functions
override decimal	CalculateGreek (decimal timeTillExpiry)
	Calculate the Theta of the option More...

Protected Member Functions inherited from QuantConnect.Indicators.OptionGreeksIndicatorBase
	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...

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...

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...

Public Attributes inherited from QuantConnect.Indicators.OptionGreeksIndicatorBase
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 Attributes inherited from QuantConnect.Indicators.OptionIndicatorBase
Symbol	_underlyingSymbol => OptionSymbol.Underlying
	Underlying security's symbol object More...

Properties inherited from QuantConnect.Indicators.OptionGreeksIndicatorBase
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< IndicatorDataPoint >	Price `[get]`
	Gets the option price level More...

IndicatorBase< IndicatorDataPoint >	OppositePrice `[get]`
	Gets the mirror option price level, for implied volatility More...

IndicatorBase< IndicatorDataPoint >	UnderlyingPrice `[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...

Detailed Description

Option Theta indicator that calculate the theta of an option

sensitivity of option price on time decay

Definition at line 27 of file Theta.cs.

Constructor & Destructor Documentation

◆ Theta() [1/10]

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

Initializes a new instance of the Theta class

Parameters

name	The name of this indicator
option	The option to be tracked
riskFreeRateModel	Risk-free rate model
dividendYieldModel	Dividend yield model
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate Theta
ivModel	The option pricing model used to estimate IV

Definition at line 39 of file Theta.cs.

◆ Theta() [2/10]

QuantConnect.Indicators.Theta.Theta	(	Symbol	option,
		IRiskFreeInterestRateModel	riskFreeRateModel,
		IDividendYieldModel	dividendYieldModel,
		Symbol	mirrorOption = `null`,
		OptionPricingModelType?	optionModel = `null`,
		OptionPricingModelType?	ivModel = `null`
	)

Initializes a new instance of the Theta class

Parameters

option	The option to be tracked
riskFreeRateModel	Risk-free rate model
dividendYieldModel	Dividend yield model
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate Theta
ivModel	The option pricing model used to estimate IV

Definition at line 54 of file Theta.cs.

◆ Theta() [3/10]

QuantConnect.Indicators.Theta.Theta	(	string	name,
		Symbol	option,
		PyObject	riskFreeRateModel,
		PyObject	dividendYieldModel,
		Symbol	mirrorOption = `null`,
		OptionPricingModelType?	optionModel = `null`,
		OptionPricingModelType?	ivModel = `null`
	)

Initializes a new instance of the Theta class

Parameters

name	The name of this indicator
option	The option to be tracked
riskFreeRateModel	Risk-free rate model
dividendYieldModel	Dividend yield model
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate Theta
ivModel	The option pricing model used to estimate IV

Definition at line 71 of file Theta.cs.

◆ Theta() [4/10]

QuantConnect.Indicators.Theta.Theta	(	Symbol	option,
		PyObject	riskFreeRateModel,
		PyObject	dividendYieldModel,
		Symbol	mirrorOption = `null`,
		OptionPricingModelType?	optionModel = `null`,
		OptionPricingModelType?	ivModel = `null`
	)

Initializes a new instance of the Theta class

Parameters

option	The option to be tracked
riskFreeRateModel	Risk-free rate model
dividendYieldModel	Dividend yield model
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate Theta
ivModel	The option pricing model used to estimate IV

Definition at line 86 of file Theta.cs.

◆ Theta() [5/10]

QuantConnect.Indicators.Theta.Theta	(	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 Theta class

Parameters

name	The name of this indicator
option	The option to be tracked
riskFreeRateModel	Risk-free rate model
dividendYield	Dividend yield, as a constant
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate Theta
ivModel	The option pricing model used to estimate IV

Definition at line 103 of file Theta.cs.

◆ Theta() [6/10]

QuantConnect.Indicators.Theta.Theta	(	Symbol	option,
		IRiskFreeInterestRateModel	riskFreeRateModel,
		decimal	dividendYield = `0.0m`,
		Symbol	mirrorOption = `null`,
		OptionPricingModelType?	optionModel = `null`,
		OptionPricingModelType?	ivModel = `null`
	)

Initializes a new instance of the Theta class

Parameters

option	The option to be tracked
riskFreeRateModel	Risk-free rate model
dividendYield	Dividend yield, as a constant
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate Theta
ivModel	The option pricing model used to estimate IV

Definition at line 118 of file Theta.cs.

◆ Theta() [7/10]

QuantConnect.Indicators.Theta.Theta	(	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 Theta class

Parameters

name	The name of this indicator
option	The option to be tracked
riskFreeRateModel	Risk-free rate model
dividendYield	Dividend yield, as a constant
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate Theta
ivModel	The option pricing model used to estimate IV

Definition at line 135 of file Theta.cs.

◆ Theta() [8/10]

QuantConnect.Indicators.Theta.Theta	(	Symbol	option,
		PyObject	riskFreeRateModel,
		decimal	dividendYield = `0.0m`,
		Symbol	mirrorOption = `null`,
		OptionPricingModelType?	optionModel = `null`,
		OptionPricingModelType?	ivModel = `null`
	)

Initializes a new instance of the Theta class

Parameters

option	The option to be tracked
riskFreeRateModel	Risk-free rate model
dividendYield	Dividend yield, as a constant
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate Theta
ivModel	The option pricing model used to estimate IV

Definition at line 150 of file Theta.cs.

◆ Theta() [9/10]

QuantConnect.Indicators.Theta.Theta	(	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 Theta class

Parameters

name	The name of this indicator
option	The option to be tracked

am>

Parameters

riskFreeRate	Risk-free rate, as a constant
dividendYield	Dividend yield, as a constant
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate Theta
ivModel	The option pricing model used to estimate IV

Definition at line 167 of file Theta.cs.

◆ Theta() [10/10]

QuantConnect.Indicators.Theta.Theta	(	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 Theta class

Parameters

option	The option to be tracked
riskFreeRate	Risk-free rate, as a constant
dividendYield	Dividend yield, as a constant
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate Theta
ivModel	The option pricing model used to estimate IV

Definition at line 182 of file Theta.cs.

Member Function Documentation

◆ CalculateGreek()

override decimal QuantConnect.Indicators.Theta.CalculateGreek ( decimal timeTillExpiry )

protectedvirtual

Calculate the Theta of the option

Implements QuantConnect.Indicators.OptionGreeksIndicatorBase.

Definition at line 192 of file Theta.cs.

Here is the call graph for this function:

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

Indicators/Theta.cs

Public Member Functions

Protected Member Functions

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ Theta() [1/10]

◆ Theta() [2/10]

◆ Theta() [3/10]

◆ Theta() [4/10]

◆ Theta() [5/10]

◆ Theta() [6/10]

◆ Theta() [7/10]

◆ Theta() [8/10]

◆ Theta() [9/10]

◆ Theta() [10/10]

Member Function Documentation

◆ CalculateGreek()