# 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>
### Base regression algorithm exercising different style options with option price models that might
### or might not support them. Also, if the option style is supported, greeks are asserted to be accesible and have valid values.
### </summary>
class OptionPriceModelForOptionStylesBaseRegressionAlgorithm(QCAlgorithm):
 def __init__(self) -> None:
 super().__init__()
 self._option_style_is_supported = False
 self._check_greeks = True
 self._tried_greeks_calculation = False
 self._option = None

 def on_data(self, slice: Slice) -> None:
 if self.is_warming_up:
 return

 for kvp in slice.option_chains:
 if not self._option or kvp.key != self._option.symbol:
 continue

 self.check_greeks([contract for contract in kvp.value])

 def on_end_of_day(self, symbol: Symbol) -> None:
 self._check_greeks = True

 def on_end_of_algorithm(self) -> None:
 if not self._tried_greeks_calculation:
 raise AssertionError("Expected greeks to be accessed")

 def init(self, option: Option, option_style_is_supported: bool) -> None:
 self._option = option
 self._option_style_is_supported = option_style_is_supported
 self._check_greeks = True
 self._tried_greeks_calculation = False

 def check_greeks(self, contracts: list[OptionContract]) -> None:
 if not self._check_greeks or len(contracts) == 0 or not self._option:
 return

 self._check_greeks = False
 self._tried_greeks_calculation = True

 for contract in contracts:
 greeks = None
 try:
 greeks = contract.greeks

 # Greeks should have not been successfully accessed if the option style is not supported
 option_style_str = 'American' if self._option.style == OptionStyle.AMERICAN else 'European'
 if not self._option_style_is_supported:
 raise AssertionError(f'Expected greeks not to be calculated for {contract.symbol.value}, an {option_style_str} style option, using {type(self._option.price_model).__name__}, which does not support them, but they were')
 except ArgumentException:
 # ArgumentException is only expected if the option style is not supported
 if self._option_style_is_supported:
 raise AssertionError(f'Expected greeks to be calculated for {contract.symbol.value}, an {option_style_str} style option, using {type(self._option.price_model).__name__}, which supports them, but they were not')

 # Greeks should be valid if they were successfuly accessed for supported option style
 # Delta can be {-1, 0, 1} if the price is too wild, rho can be 0 if risk free rate is 0
 # Vega can be 0 if the price is very off from theoretical price, Gamma = 0 if Delta belongs to {-1, 1}
 if (self._option_style_is_supported
 and (not greeks
 or ((contract.right == OptionRight.CALL and (greeks.delta < 0.0 or greeks.delta > 1.0 or greeks.rho < 0.0))
 or (contract.right == OptionRight.PUT and (greeks.delta < -1.0 or greeks.delta > 0.0 or greeks.rho > 0.0))
 or greeks.theta == 0.0 or greeks.vega < 0.0 or greeks.gamma < 0.0))):
 raise AssertionError(f'Expected greeks to have valid values. Greeks were: Delta: {greeks.delta}, Rho: {greeks.rho}, Theta: {greeks.theta}, Vega: {greeks.vega}, Gamma: {greeks.gamma}')