# 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.set_start_date(2014, 6, 5)self.set_end_date(2014, 6, 7)self.set_cash(100000)self.add_equity("AAPL", Resolution.MINUTE)option = Symbol.create_option("AAPL", Market.USA, OptionStyle.AMERICAN, OptionRight.PUT, 505, datetime(2014, 6, 27))self.add_option_contract(option, Resolution.MINUTE)self.implied_volatility = self.iv(option, option_model = OptionPricingModelType.BLACK_SCHOLES)self.delta = self.d(option, option_model = OptionPricingModelType.BINOMIAL_COX_ROSS_RUBINSTEIN, iv_model = OptionPricingModelType.BLACK_SCHOLES)self.gamma = self.g(option, option_model = OptionPricingModelType.FORWARD_TREE, iv_model = OptionPricingModelType.BLACK_SCHOLES)self.vega = self.v(option, option_model = OptionPricingModelType.FORWARD_TREE, iv_model = OptionPricingModelType.BLACK_SCHOLES)self.theta = self.t(option, option_model = OptionPricingModelType.FORWARD_TREE, iv_model = OptionPricingModelType.BLACK_SCHOLES)self.rho = self.r(option, option_model = OptionPricingModelType.FORWARD_TREE, iv_model = OptionPricingModelType.BLACK_SCHOLES)def on_end_of_algorithm(self):if self.implied_volatility.current.value == 0 or self.delta.current.value == 0 or self.gamma.current.value == 0 \or self.vega.current.value == 0 or self.theta.current.value == 0 or self.rho.current.value == 0:raise AssertionError("Expected IV/greeks calculated")self.debug(f"""Implied Volatility: {self.implied_volatility.current.value},Delta: {self.delta.current.value},Gamma: {self.gamma.current.value},Vega: {self.vega.current.value},Theta: {self.theta.current.value},Rho: {self.rho.current.value}""")
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