# 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 optionoption = self.add_option("AAPL")self.option_symbol = option.symbol# Add the initial contract filteroption.set_filter(-3, +3, 0, 31)# Define the Option Price Modeloption.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 modelself.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):returnchain = 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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