forked from QuantConnect/Lean
-
Notifications
You must be signed in to change notification settings - Fork 0
Commit
This commit does not belong to any branch on this repository, and may belong to a fork outside of the repository.
Implement dividend yield model (QuantConnect#7758)
* dividend yield plug-in model interface * dividend yield model python wrapper * Implement symbol dividend yield models * unit tests on dividend yield provider * Update IV indicator * IV indicator unit tests * update Delta indicator * Delta indicator unit tests * update helper method * Nit * Address peer review * Address 2nd peer review * readability * Regression tests * dividend yield model * Address review * Fix unit tests * Minor fix * Fix tests --------- Co-authored-by: Martin Molinero <[email protected]>
- Loading branch information
1 parent
ea5e4ac
commit e39cec4
Showing
16 changed files
with
1,171 additions
and
217 deletions.
There are no files selected for viewing
129 changes: 129 additions & 0 deletions
129
Algorithm.CSharp/OptionIndicatorsRegressionAlgorithm.cs
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,129 @@ | ||
| /* | ||
| * 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 System.Collections.Generic; | ||
|
|
||
| using QuantConnect.Data; | ||
| using QuantConnect.Indicators; | ||
| using QuantConnect.Interfaces; | ||
|
|
||
| namespace QuantConnect.Algorithm.CSharp | ||
| { | ||
| /// <summary> | ||
| /// Algorithm illustrating the usage of the <see cref="OptionIndicatorBase"/> indicators | ||
| /// </summary> | ||
| public class OptionIndicatorsRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition | ||
| { | ||
| private Symbol _aapl; | ||
| private Symbol _option; | ||
| private ImpliedVolatility _impliedVolatility; | ||
| private Delta _delta; | ||
|
|
||
| public override void Initialize() | ||
| { | ||
| SetStartDate(2014, 6, 5); | ||
| SetEndDate(2014, 6, 7); | ||
| SetCash(100000); | ||
|
|
||
| _aapl = AddEquity("AAPL", Resolution.Daily).Symbol; | ||
| _option = QuantConnect.Symbol.CreateOption("AAPL", Market.USA, OptionStyle.American, OptionRight.Put, 505m, new DateTime(2014, 6, 27)); | ||
| AddOptionContract(_option); | ||
|
|
||
| var interestRateProvider = new InterestRateProvider(); | ||
| var dividendYieldProvider = new DividendYieldProvider(_aapl); | ||
|
|
||
| _impliedVolatility = new ImpliedVolatility(_option, interestRateProvider, dividendYieldProvider, 2, OptionPricingModelType.BlackScholes); | ||
| _delta = new Delta(_option, interestRateProvider, dividendYieldProvider, OptionPricingModelType.BinomialCoxRossRubinstein, OptionPricingModelType.BlackScholes); | ||
| } | ||
|
|
||
| public override void OnData(Slice slice) | ||
| { | ||
| if (slice.Bars.ContainsKey(_aapl) && slice.QuoteBars.ContainsKey(_option)) | ||
| { | ||
| var underlyingDataPoint = new IndicatorDataPoint(_aapl, slice.Time, slice.Bars[_aapl].Close); | ||
| var optionDataPoint = new IndicatorDataPoint(_option, slice.Time, slice.QuoteBars[_option].Close); | ||
|
|
||
| _impliedVolatility.Update(underlyingDataPoint); | ||
| _impliedVolatility.Update(optionDataPoint); | ||
|
|
||
| _delta.Update(underlyingDataPoint); | ||
| _delta.Update(optionDataPoint); | ||
| } | ||
| } | ||
|
|
||
| public override void OnEndOfAlgorithm() | ||
| { | ||
| if (_impliedVolatility == 0m || _delta == 0m) | ||
| { | ||
| throw new Exception("Expected IV/greeks calculated"); | ||
| } | ||
| Debug(@$"Implied Volatility: {_impliedVolatility.Current.Value}, | ||
| Delta: {_delta.Current.Value}"); | ||
| } | ||
|
|
||
| /// <summary> | ||
| /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm. | ||
| /// </summary> | ||
| public bool CanRunLocally { get; } = true; | ||
|
|
||
| /// <summary> | ||
| /// This is used by the regression test system to indicate which languages this algorithm is written in. | ||
| /// </summary> | ||
| public Language[] Languages { get; } = { Language.CSharp, Language.Python }; | ||
|
|
||
| /// <summary> | ||
| /// Data Points count of all timeslices of algorithm | ||
| /// </summary> | ||
| public long DataPoints => 1197; | ||
|
|
||
| /// <summary> | ||
| /// Data Points count of the algorithm history | ||
| /// </summary> | ||
| public int AlgorithmHistoryDataPoints => 0; | ||
|
|
||
| /// <summary> | ||
| /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm | ||
| /// </summary> | ||
| public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string> | ||
| { | ||
| {"Total Trades", "0"}, | ||
| {"Average Win", "0%"}, | ||
| {"Average Loss", "0%"}, | ||
| {"Compounding Annual Return", "0%"}, | ||
| {"Drawdown", "0%"}, | ||
| {"Expectancy", "0"}, | ||
| {"Net Profit", "0%"}, | ||
| {"Sharpe Ratio", "0"}, | ||
| {"Sortino Ratio", "0"}, | ||
| {"Probabilistic Sharpe Ratio", "0%"}, | ||
| {"Loss Rate", "0%"}, | ||
| {"Win Rate", "0%"}, | ||
| {"Profit-Loss Ratio", "0"}, | ||
| {"Alpha", "0"}, | ||
| {"Beta", "0"}, | ||
| {"Annual Standard Deviation", "0"}, | ||
| {"Annual Variance", "0"}, | ||
| {"Information Ratio", "0"}, | ||
| {"Tracking Error", "0"}, | ||
| {"Treynor Ratio", "0"}, | ||
| {"Total Fees", "$0.00"}, | ||
| {"Estimated Strategy Capacity", "$0"}, | ||
| {"Lowest Capacity Asset", ""}, | ||
| {"Portfolio Turnover", "0%"}, | ||
| {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"} | ||
| }; | ||
| } | ||
| } |
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,49 @@ | ||
| # 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 * | ||
|
|
||
| class OptionIndicatorsRegressionAlgorithm(QCAlgorithm): | ||
|
|
||
| def Initialize(self): | ||
| self.SetStartDate(2014, 6, 5) | ||
| self.SetEndDate(2014, 6, 7) | ||
| self.SetCash(1000000) | ||
|
|
||
| self.aapl = self.AddEquity("AAPL", Resolution.Daily).Symbol | ||
| self.option = Symbol.CreateOption("AAPL", Market.USA, OptionStyle.American, OptionRight.Put, 505, datetime(2014, 6, 27)) | ||
| self.AddOptionContract(self.option) | ||
|
|
||
| interestRateProvider = InterestRateProvider() | ||
| dividendYieldProvider = DividendYieldProvider(self.aapl) | ||
|
|
||
| self.impliedVolatility = ImpliedVolatility(self.option, interestRateProvider, dividendYieldProvider, 2, OptionPricingModelType.BlackScholes) | ||
| self.delta = Delta(self.option, interestRateProvider, dividendYieldProvider, OptionPricingModelType.BinomialCoxRossRubinstein, OptionPricingModelType.BlackScholes) | ||
|
|
||
| def OnData(self, slice): | ||
| if slice.Bars.ContainsKey(self.aapl) and slice.QuoteBars.ContainsKey(self.option): | ||
| underlyingDataPoint = IndicatorDataPoint(self.aapl, slice.Time, slice.Bars[self.aapl].Close) | ||
| optionDataPoint = IndicatorDataPoint(self.option, slice.Time, slice.QuoteBars[self.option].Close) | ||
|
|
||
| self.impliedVolatility.Update(underlyingDataPoint) | ||
| self.impliedVolatility.Update(optionDataPoint) | ||
|
|
||
| self.delta.Update(underlyingDataPoint) | ||
| self.delta.Update(optionDataPoint) | ||
|
|
||
| def OnEndOfAlgorithm(self): | ||
| if self.impliedVolatility.Current.Value == 0 or self.delta.Current.Value == 0: | ||
| raise Exception("Expected IV/greeks calculated") | ||
|
|
||
| self.Debug(f"""Implied Volatility: {self.impliedVolatility.Current.Value}, | ||
| Delta: {self.delta.Current.Value}""") |
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,45 @@ | ||
| /* | ||
| * 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; | ||
|
|
||
| namespace QuantConnect.Data | ||
| { | ||
| /// <summary> | ||
| /// Constant dividend yield model | ||
| /// </summary> | ||
| public class ConstantDividendYieldModel : IDividendYieldModel | ||
| { | ||
| private readonly decimal _dividendYield; | ||
|
|
||
| /// <summary> | ||
| /// Instantiates a <see cref="ConstantDividendYieldModel"/> with the specified dividend yield | ||
| /// </summary> | ||
| public ConstantDividendYieldModel(decimal dividendYield) | ||
| { | ||
| _dividendYield = dividendYield; | ||
| } | ||
|
|
||
| /// <summary> | ||
| /// Get dividend yield by a given date of a given symbol | ||
| /// </summary> | ||
| /// <param name="date">The date</param> | ||
| /// <returns>Dividend yield on the given date of the given symbol</returns> | ||
| public decimal GetDividendYield(DateTime date) | ||
| { | ||
| return _dividendYield; | ||
| } | ||
| } | ||
| } |
Oops, something went wrong.