diff --git a/Algorithm.CSharp/FutureOptionIndicatorsRegressionAlgorithm.cs b/Algorithm.CSharp/FutureOptionIndicatorsRegressionAlgorithm.cs
index 96a22e915009..8a4e9674f079 100644
--- a/Algorithm.CSharp/FutureOptionIndicatorsRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/FutureOptionIndicatorsRegressionAlgorithm.cs
@@ -22,7 +22,7 @@ namespace QuantConnect.Algorithm.CSharp
{
public class FutureOptionIndicatorsRegressionAlgorithm : OptionIndicatorsRegressionAlgorithm
{
- protected override string ExpectedGreeks { get; set; } = "Implied Volatility: 0.14008,Delta: 0.63466,Gamma: 0.00209,Vega: 5.61442,Theta: -0.48254,Rho: 0.03098";
+ protected override string ExpectedGreeks { get; set; } = "Implied Volatility: 0.13941,Delta: 0.63509,Gamma: 0.00209,Vega: 5.64129,Theta: -0.47731,Rho: 0.03145";
public override void Initialize()
{
diff --git a/Algorithm.CSharp/IndexOptionIndicatorsRegressionAlgorithm.cs b/Algorithm.CSharp/IndexOptionIndicatorsRegressionAlgorithm.cs
index 2d52e6a448eb..eaa6bd1f91f7 100644
--- a/Algorithm.CSharp/IndexOptionIndicatorsRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/IndexOptionIndicatorsRegressionAlgorithm.cs
@@ -20,7 +20,7 @@ namespace QuantConnect.Algorithm.CSharp
{
public class IndexOptionIndicatorsRegressionAlgorithm : OptionIndicatorsRegressionAlgorithm
{
- protected override string ExpectedGreeks { get; set; } = "Implied Volatility: 0.17702,Delta: 0.19195,Gamma: 0.00247,Vega: 1.69043,Theta: -1.41571,Rho: 0.01686";
+ protected override string ExpectedGreeks { get; set; } = "Implied Volatility: 0.17406,Delta: 0.19196,Gamma: 0.00247,Vega: 1.72195,Theta: -1.3689,Rho: 0.01744";
public override void Initialize()
{
diff --git a/Algorithm.CSharp/OptionIndicatorsRegressionAlgorithm.cs b/Algorithm.CSharp/OptionIndicatorsRegressionAlgorithm.cs
index 6b5e0f68bb23..09aae25c7d8c 100644
--- a/Algorithm.CSharp/OptionIndicatorsRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/OptionIndicatorsRegressionAlgorithm.cs
@@ -32,7 +32,7 @@ public class OptionIndicatorsRegressionAlgorithm : QCAlgorithm, IRegressionAlgor
private Theta _theta;
private Rho _rho;
- protected virtual string ExpectedGreeks { get; set; } = "Implied Volatility: 0.45252,Delta: -0.0092,Gamma: 0.00036,Vega: 0.03562,Theta: -0.0387,Rho: 0.00045";
+ protected virtual string ExpectedGreeks { get; set; } = "Implied Volatility: 0.44529,Delta: -0.00921,Gamma: 0.00036,Vega: 0.03636,Theta: -0.03747,Rho: 0.00047";
public override void Initialize()
{
diff --git a/Common/Securities/Option/OptionSymbol.cs b/Common/Securities/Option/OptionSymbol.cs
index 6842a52ff9ec..9d2ac51404de 100644
--- a/Common/Securities/Option/OptionSymbol.cs
+++ b/Common/Securities/Option/OptionSymbol.cs
@@ -15,6 +15,7 @@
using System;
using System.Collections.Generic;
+using System.Runtime.CompilerServices;
using QuantConnect.Securities.Future;
using QuantConnect.Securities.IndexOption;
@@ -120,6 +121,27 @@ public static DateTime GetLastDayOfTrading(Symbol symbol)
return symbolDateTime.AddDays(daysBefore).Date;
}
+ ///
+ /// Returns the settlement date time of the option contract.
+ ///
+ /// The option contract symbol
+ /// The settlement date time
+ public static DateTime GetSettlementDateTime(Symbol symbol)
+ {
+ if (!TryGetExpirationDateTime(symbol, out var expiryTime, out var exchangeHours))
+ {
+ throw new ArgumentException($"The symbol {symbol} is not an option type");
+ }
+
+ // Standard index options are AM-settled, which means they settle on market open of the expiration date
+ if (expiryTime.Date == symbol.ID.Date.Date && symbol.SecurityType == SecurityType.IndexOption && IsStandard(symbol))
+ {
+ expiryTime = exchangeHours.GetNextMarketOpen(expiryTime.Date, false);
+ }
+
+ return expiryTime;
+ }
+
///
/// Returns true if the option contract is expired at the specified time
///
@@ -127,24 +149,35 @@ public static DateTime GetLastDayOfTrading(Symbol symbol)
/// The current time (UTC)
/// True if the option contract is expired at the specified time, false otherwise
public static bool IsOptionContractExpired(Symbol symbol, DateTime currentTimeUtc)
+ {
+ if (TryGetExpirationDateTime(symbol, out var expiryTime, out var exchangeHours))
+ {
+ var currentTime = currentTimeUtc.ConvertFromUtc(exchangeHours.TimeZone);
+ return currentTime >= expiryTime;
+ }
+
+ return false;
+ }
+
+ [MethodImpl(MethodImplOptions.AggressiveInlining)]
+ private static bool TryGetExpirationDateTime(Symbol symbol, out DateTime expiryTime, out SecurityExchangeHours exchangeHours)
{
if (!symbol.SecurityType.IsOption())
{
+ expiryTime = default;
+ exchangeHours = null;
return false;
}
- var exchangeHours = MarketHoursDatabase.FromDataFolder()
- .GetExchangeHours(symbol.ID.Market, symbol, symbol.SecurityType);
-
- var currentTime = currentTimeUtc.ConvertFromUtc(exchangeHours.TimeZone);
+ exchangeHours = MarketHoursDatabase.FromDataFolder().GetExchangeHours(symbol.ID.Market, symbol, symbol.SecurityType);
- // Ideally we can calculate expiry on the date of the symbol ID, but if that exchange is not open on that day we
+ // Ideally we can calculate expiry on the date of the symbol ID, but if that exchange is not open on that day we
// will consider expired on the last trading day close before this; Example in AddOptionContractExpiresRegressionAlgorithm
- var expiryDay = exchangeHours.IsDateOpen(symbol.ID.Date)
+ var lastTradingDay = exchangeHours.IsDateOpen(symbol.ID.Date)
? symbol.ID.Date
: exchangeHours.GetPreviousTradingDay(symbol.ID.Date);
- var expiryTime = exchangeHours.GetNextMarketClose(expiryDay, false);
+ expiryTime = exchangeHours.GetNextMarketClose(lastTradingDay, false);
// Once bug 6189 was solved in ´GetNextMarketClose()´ there was found possible bugs on some futures symbol.ID.Date or delisting/liquidation handle event.
// Specifically see 'DelistingFutureOptionRegressionAlgorithm' where Symbol.ID.Date: 4/1/2012 00:00 ExpiryTime: 4/2/2012 16:00 for Milk 3 futures options.
@@ -163,7 +196,7 @@ public static bool IsOptionContractExpired(Symbol symbol, DateTime currentTimeUt
expiryTime = symbol.ID.Date.AddDays(1).Date;
}
- return currentTime >= expiryTime;
+ return true;
}
}
}
diff --git a/Indicators/OptionGreekIndicatorBase.cs b/Indicators/OptionGreekIndicatorBase.cs
index ae166efa0c23..2d40bd84d7b2 100644
--- a/Indicators/OptionGreekIndicatorBase.cs
+++ b/Indicators/OptionGreekIndicatorBase.cs
@@ -16,7 +16,6 @@
using System;
using Python.Runtime;
using QuantConnect.Data;
-using QuantConnect.Logging;
using QuantConnect.Python;
namespace QuantConnect.Indicators
diff --git a/Indicators/OptionIndicatorBase.cs b/Indicators/OptionIndicatorBase.cs
index b8bef0a9ccdc..7b7ee0d8fa66 100644
--- a/Indicators/OptionIndicatorBase.cs
+++ b/Indicators/OptionIndicatorBase.cs
@@ -23,6 +23,8 @@ namespace QuantConnect.Indicators
///
public abstract class OptionIndicatorBase : IndicatorBase, IIndicatorWarmUpPeriodProvider
{
+ private DateTime _expiry;
+
///
/// Option's symbol object
///
@@ -56,7 +58,17 @@ public abstract class OptionIndicatorBase : IndicatorBase, I
///
/// Gets the expiration time of the option
///
- public DateTime Expiry => OptionSymbol.ID.Date;
+ public DateTime Expiry
+ {
+ get
+ {
+ if (_expiry == default)
+ {
+ _expiry = Securities.Option.OptionSymbol.GetSettlementDateTime(OptionSymbol);
+ }
+ return _expiry;
+ }
+ }
///
/// Gets the option right (call/put) of the option
diff --git a/Tests/Algorithm/AlgorithmIndicatorsTests.cs b/Tests/Algorithm/AlgorithmIndicatorsTests.cs
index 1175b73154cc..ce7a6f3427de 100644
--- a/Tests/Algorithm/AlgorithmIndicatorsTests.cs
+++ b/Tests/Algorithm/AlgorithmIndicatorsTests.cs
@@ -398,8 +398,8 @@ public void IndicatorUpdatedWithSymbol(string testCase)
}
Assert.IsTrue(indicator.IsReady);
- Assert.AreEqual(0.9942984m, indicator.Current.Value);
- Assert.AreEqual(0.3516544m, indicator.ImpliedVolatility.Current.Value);
+ Assert.AreEqual(0.9942989m, indicator.Current.Value);
+ Assert.AreEqual(0.3514844m, indicator.ImpliedVolatility.Current.Value);
Assert.AreEqual(390, indicatorValues.Count);
var lastData = indicatorValues.Current.Last();
diff --git a/Tests/Common/Securities/Options/OptionSymbolTests.cs b/Tests/Common/Securities/Options/OptionSymbolTests.cs
index f3df9446505a..f87317d42b2d 100644
--- a/Tests/Common/Securities/Options/OptionSymbolTests.cs
+++ b/Tests/Common/Securities/Options/OptionSymbolTests.cs
@@ -14,6 +14,7 @@
*/
using System;
+using System.Collections.Generic;
using NUnit.Framework;
using QuantConnect.Securities.Option;
@@ -69,5 +70,30 @@ public void IsOptionContractExpiredReturnsFalseIfTimeOfDayDiffer()
Assert.IsFalse(OptionSymbol.IsOptionContractExpired(symbol, new DateTime(2022, 03, 11)));
}
+
+ private static IEnumerable ExpirationDateTimeTestCases()
+ {
+ var equityOption = Symbols.SPY_C_192_Feb19_2016;
+ yield return new TestCaseData(equityOption, new DateTime(2016, 02, 19, 16, 0, 0));
+
+ // Expires on a Saturday, so the expiration date time should be the Friday before
+ equityOption = Symbols.CreateOptionSymbol("SPY", OptionRight.Call, 192m, new DateTime(2016, 02, 20));
+ yield return new TestCaseData(equityOption, new DateTime(2016, 02, 19, 16, 0, 0));
+
+ var pmSettledIndexOption = Symbol.CreateOption(Symbols.SPX, "SPXW", Market.USA, OptionStyle.European,
+ OptionRight.Call, 200m, new DateTime(2016, 02, 12));
+ yield return new TestCaseData(pmSettledIndexOption, new DateTime(2016, 02, 12, 15, 15, 0));
+
+ var amSettledIndexOption = Symbol.CreateOption(Symbols.SPX, "SPX", Market.USA, OptionStyle.European,
+ OptionRight.Call, 200m, new DateTime(2016, 02, 18));
+ yield return new TestCaseData(amSettledIndexOption, new DateTime(2016, 02, 18, 8, 30, 0));
+ }
+
+ [TestCaseSource(nameof(ExpirationDateTimeTestCases))]
+ public void CalculatesSettlementDateTime(Symbol symbol, DateTime expectedSettlementDateTime)
+ {
+ var settlementDateTime = OptionSymbol.GetSettlementDateTime(symbol);
+ Assert.AreEqual(expectedSettlementDateTime, settlementDateTime);
+ }
}
}
diff --git a/Tests/Indicators/DeltaTests.cs b/Tests/Indicators/DeltaTests.cs
index a12fa1c31247..5a1bbb84e6fb 100644
--- a/Tests/Indicators/DeltaTests.cs
+++ b/Tests/Indicators/DeltaTests.cs
@@ -17,6 +17,7 @@
using QuantConnect.Algorithm;
using QuantConnect.Data;
using QuantConnect.Indicators;
+using System;
using System.IO;
using System.Linq;
@@ -124,7 +125,33 @@ public void ComparesAgainstExternalData2(decimal price, decimal spotPrice, Optio
indicator.Update(optionDataPoint);
indicator.Update(spotDataPoint);
- Assert.AreEqual(refDelta, (double)indicator.Current.Value, 0.0005d);
+ Assert.AreEqual(refDelta, (double)indicator.Current.Value, 0.0017d);
+ }
+
+ [TestCase(0.5, 470.0, OptionRight.Put, 0)]
+ [TestCase(0.5, 470.0, OptionRight.Put, 5)]
+ [TestCase(0.5, 470.0, OptionRight.Put, 10)]
+ [TestCase(0.5, 470.0, OptionRight.Put, 15)]
+ [TestCase(15, 450.0, OptionRight.Call, 0)]
+ [TestCase(15, 450.0, OptionRight.Call, 5)]
+ [TestCase(15, 450.0, OptionRight.Call, 10)]
+ [TestCase(0.5, 450.0, OptionRight.Call, 15)]
+ public void CanComputeOnExpirationDate(decimal price, decimal spotPrice, OptionRight right, int hoursAfterExpiryDate)
+ {
+ var expiration = new DateTime(2024, 12, 6);
+ var symbol = Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, right, 450m, expiration);
+ var indicator = new Delta(symbol, 0.0403m, 0.0m,
+ optionModel: OptionPricingModelType.BinomialCoxRossRubinstein, ivModel: OptionPricingModelType.BlackScholes);
+
+ var currentTime = expiration.AddHours(hoursAfterExpiryDate);
+
+ var optionDataPoint = new IndicatorDataPoint(symbol, currentTime, price);
+ var spotDataPoint = new IndicatorDataPoint(symbol.Underlying, currentTime, spotPrice);
+
+ Assert.IsFalse(indicator.Update(optionDataPoint));
+ Assert.IsTrue(indicator.Update(spotDataPoint));
+
+ Assert.AreNotEqual(0, indicator.Current.Value);
}
}
}
diff --git a/Tests/Indicators/GammaTests.cs b/Tests/Indicators/GammaTests.cs
index f85c2b3aa4cb..b0b889203405 100644
--- a/Tests/Indicators/GammaTests.cs
+++ b/Tests/Indicators/GammaTests.cs
@@ -17,6 +17,7 @@
using QuantConnect.Algorithm;
using QuantConnect.Data;
using QuantConnect.Indicators;
+using System;
using System.IO;
using System.Linq;
@@ -126,5 +127,39 @@ public void ComparesAgainstExternalData2(decimal price, decimal spotPrice, Optio
Assert.AreEqual(refGamma, (double)indicator.Current.Value, 0.0005d);
}
+
+ [TestCase(0.5, 470.0, OptionRight.Put, OptionStyle.American, 0)]
+ [TestCase(0.5, 470.0, OptionRight.Put, OptionStyle.American, 5)]
+ [TestCase(0.5, 470.0, OptionRight.Put, OptionStyle.American, 10)]
+ [TestCase(0.5, 470.0, OptionRight.Put, OptionStyle.American, 15)] // Expires at 16:00
+ [TestCase(15.0, 450.0, OptionRight.Call, OptionStyle.American, 0)]
+ [TestCase(15.0, 450.0, OptionRight.Call, OptionStyle.American, 5)]
+ [TestCase(15.0, 450.0, OptionRight.Call, OptionStyle.American, 10)]
+ [TestCase(15.0, 450.0, OptionRight.Call, OptionStyle.American, 15)]
+ [TestCase(0.5, 470.0, OptionRight.Put, OptionStyle.European, 0)]
+ [TestCase(0.5, 470.0, OptionRight.Put, OptionStyle.European, 5)]
+ [TestCase(0.5, 470.0, OptionRight.Put, OptionStyle.European, 10)]
+ [TestCase(0.5, 470.0, OptionRight.Put, OptionStyle.European, 15)]
+ [TestCase(0.5, 450.0, OptionRight.Call, OptionStyle.European, 0)]
+ [TestCase(0.5, 450.0, OptionRight.Call, OptionStyle.European, 5)]
+ [TestCase(0.5, 450.0, OptionRight.Call, OptionStyle.European, 10)]
+ [TestCase(0.5, 450.0, OptionRight.Call, OptionStyle.European, 15)]
+ public void CanComputeOnExpirationDate(decimal price, decimal spotPrice, OptionRight right, OptionStyle style, int hoursAfterExpiryDate)
+ {
+ var expiration = new DateTime(2024, 12, 6);
+ var symbol = Symbol.CreateOption("SPY", Market.USA, style, right, 450m, expiration);
+ var model = style == OptionStyle.European ? OptionPricingModelType.BlackScholes : OptionPricingModelType.BinomialCoxRossRubinstein;
+ var indicator = new Gamma(symbol, 0.0403m, 0.0m, optionModel: model, ivModel: OptionPricingModelType.BlackScholes);
+
+ var currentTime = expiration.AddHours(hoursAfterExpiryDate);
+
+ var optionDataPoint = new IndicatorDataPoint(symbol, currentTime, price);
+ var spotDataPoint = new IndicatorDataPoint(symbol.Underlying, currentTime, spotPrice);
+
+ Assert.IsFalse(indicator.Update(optionDataPoint));
+ Assert.IsTrue(indicator.Update(spotDataPoint));
+
+ Assert.AreNotEqual(0, indicator.Current.Value);
+ }
}
}
diff --git a/Tests/Indicators/ImpliedVolatilityTests.cs b/Tests/Indicators/ImpliedVolatilityTests.cs
index 1686cd76f381..0d1ba48732ad 100644
--- a/Tests/Indicators/ImpliedVolatilityTests.cs
+++ b/Tests/Indicators/ImpliedVolatilityTests.cs
@@ -106,7 +106,7 @@ public void SetSmoothingFunction(decimal price, decimal mirrorPrice, decimal spo
indicator.Update(mirrorOptionDataPoint);
indicator.Update(spotDataPoint);
- Assert.AreEqual(refIV1, (double)indicator.Current.Value, 0.001d);
+ Assert.AreEqual(refIV1, (double)indicator.Current.Value, 0.0025d);
indicator.SetSmoothingFunction((iv, mirrorIv) => iv);
@@ -117,7 +117,7 @@ public void SetSmoothingFunction(decimal price, decimal mirrorPrice, decimal spo
indicator.Update(mirrorOptionDataPoint);
indicator.Update(spotDataPoint);
- Assert.AreEqual(refIV2, (double)indicator.Current.Value, 0.001d);
+ Assert.AreEqual(refIV2, (double)indicator.Current.Value, 0.0035d);
}
[TestCase(23.753, 27.651, 450.0, OptionRight.Call, 60, 0.309, 0.309)]
@@ -143,7 +143,7 @@ def TestSmoothingFunction(iv: float, mirror_iv: float) -> float:
indicator.Update(mirrorOptionDataPoint);
indicator.Update(spotDataPoint);
- Assert.AreEqual(refIV1, (double)indicator.Current.Value, 0.001d);
+ Assert.AreEqual(refIV1, (double)indicator.Current.Value, 0.0025d);
indicator.SetSmoothingFunction(pythonSmoothingFunction);
@@ -154,7 +154,7 @@ def TestSmoothingFunction(iv: float, mirror_iv: float) -> float:
indicator.Update(mirrorOptionDataPoint);
indicator.Update(spotDataPoint);
- Assert.AreEqual(refIV2, (double)indicator.Current.Value, 0.001d);
+ Assert.AreEqual(refIV2, (double)indicator.Current.Value, 0.0035d);
}
// Reference values from QuantLib
@@ -180,7 +180,32 @@ public void ComparesAgainstExternalData2(decimal price, decimal spotPrice, Optio
indicator.Update(optionDataPoint);
indicator.Update(spotDataPoint);
- Assert.AreEqual(refIV, (double)indicator.Current.Value, 0.001d);
+ Assert.AreEqual(refIV, (double)indicator.Current.Value, 0.0036d);
+ }
+
+ [TestCase(0.5, 470.0, OptionRight.Put, 0)]
+ [TestCase(0.5, 470.0, OptionRight.Put, 5)]
+ [TestCase(0.5, 470.0, OptionRight.Put, 10)]
+ [TestCase(0.5, 470.0, OptionRight.Put, 15)]
+ [TestCase(15, 450.0, OptionRight.Call, 0)]
+ [TestCase(15, 450.0, OptionRight.Call, 5)]
+ [TestCase(15, 450.0, OptionRight.Call, 10)]
+ [TestCase(0.5, 450.0, OptionRight.Call, 15)]
+ public void CanComputeOnExpirationDate(decimal price, decimal spotPrice, OptionRight right, int hoursAfterExpiryDate)
+ {
+ var expiration = new DateTime(2024, 12, 6);
+ var symbol = Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, right, 450m, expiration);
+ var indicator = new ImpliedVolatility(symbol, 0.0530m, 0.0153m, optionModel: OptionPricingModelType.BlackScholes);
+
+ var currentTime = expiration.AddHours(hoursAfterExpiryDate);
+
+ var optionDataPoint = new IndicatorDataPoint(symbol, currentTime, price);
+ var spotDataPoint = new IndicatorDataPoint(symbol.Underlying, currentTime, spotPrice);
+
+ Assert.IsFalse(indicator.Update(optionDataPoint));
+ Assert.IsTrue(indicator.Update(spotDataPoint));
+
+ Assert.AreNotEqual(0, indicator.Current.Value);
}
[Test]
diff --git a/Tests/Indicators/RhoTests.cs b/Tests/Indicators/RhoTests.cs
index b6f547bc9daa..a4ef179b549a 100644
--- a/Tests/Indicators/RhoTests.cs
+++ b/Tests/Indicators/RhoTests.cs
@@ -17,6 +17,7 @@
using QuantConnect.Algorithm;
using QuantConnect.Data;
using QuantConnect.Indicators;
+using System;
namespace QuantConnect.Tests.Indicators
{
@@ -81,7 +82,33 @@ public void ComparesAgainstExternalData2(decimal price, decimal spotPrice, Optio
indicator.Update(optionDataPoint);
indicator.Update(spotDataPoint);
- Assert.AreEqual(refRho, (double)indicator.Current.Value, 0.0011d);
+ Assert.AreEqual(refRho, (double)indicator.Current.Value, 0.017d);
+ }
+
+ [TestCase(0.5, 470.0, OptionRight.Put, 0)]
+ [TestCase(0.5, 470.0, OptionRight.Put, 5)]
+ [TestCase(0.5, 470.0, OptionRight.Put, 10)]
+ [TestCase(0.5, 470.0, OptionRight.Put, 15)]
+ [TestCase(15.0, 450.0, OptionRight.Call, 0)]
+ [TestCase(15.0, 450.0, OptionRight.Call, 5)]
+ [TestCase(15.0, 450.0, OptionRight.Call, 10)]
+ [TestCase(0.5, 450.0, OptionRight.Call, 15)]
+ public void CanComputeOnExpirationDate(decimal price, decimal spotPrice, OptionRight right, int hoursAfterExpiryDate)
+ {
+ var expiration = new DateTime(2024, 12, 6);
+ var symbol = Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, right, 450m, expiration);
+ var indicator = new Rho(symbol, 0.053m, 0.0153m,
+ optionModel: OptionPricingModelType.BinomialCoxRossRubinstein, ivModel: OptionPricingModelType.BlackScholes);
+
+ var currentTime = expiration.AddHours(hoursAfterExpiryDate);
+
+ var optionDataPoint = new IndicatorDataPoint(symbol, currentTime, price);
+ var spotDataPoint = new IndicatorDataPoint(symbol.Underlying, currentTime, spotPrice);
+
+ Assert.IsFalse(indicator.Update(optionDataPoint));
+ Assert.IsTrue(indicator.Update(spotDataPoint));
+
+ Assert.AreNotEqual(0, indicator.Current.Value);
}
}
}
diff --git a/Tests/Indicators/ThetaTests.cs b/Tests/Indicators/ThetaTests.cs
index a1619aeddc83..049e5c2d1add 100644
--- a/Tests/Indicators/ThetaTests.cs
+++ b/Tests/Indicators/ThetaTests.cs
@@ -17,6 +17,7 @@
using QuantConnect.Algorithm;
using QuantConnect.Data;
using QuantConnect.Indicators;
+using System;
using System.IO;
using System.Linq;
@@ -125,7 +126,33 @@ public void ComparesAgainstExternalData2(decimal price, decimal spotPrice, Optio
indicator.Update(optionDataPoint);
indicator.Update(spotDataPoint);
- Assert.AreEqual(refTheta, (double)indicator.Current.Value, 0.00052d);
+ Assert.AreEqual(refTheta, (double)indicator.Current.Value, 0.0042d);
+ }
+
+ [TestCase(0.5, 470.0, OptionRight.Put, 0)]
+ [TestCase(0.5, 470.0, OptionRight.Put, 5)]
+ [TestCase(0.5, 470.0, OptionRight.Put, 10)]
+ [TestCase(0.5, 470.0, OptionRight.Put, 15)]
+ [TestCase(15.0, 450.0, OptionRight.Call, 0)]
+ [TestCase(15.0, 450.0, OptionRight.Call, 5)]
+ [TestCase(15.0, 450.0, OptionRight.Call, 10)]
+ [TestCase(0.5, 450.0, OptionRight.Call, 15)]
+ public void CanComputeOnExpirationDate(decimal price, decimal spotPrice, OptionRight right, int hoursAfterExpiryDate)
+ {
+ var expiration = new DateTime(2024, 12, 6);
+ var symbol = Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, right, 450m, expiration);
+ var indicator = new Theta(symbol, 0.0403m, 0.0m,
+ optionModel: OptionPricingModelType.BinomialCoxRossRubinstein, ivModel: OptionPricingModelType.BlackScholes);
+
+ var currentTime = expiration.AddHours(hoursAfterExpiryDate);
+
+ var optionDataPoint = new IndicatorDataPoint(symbol, currentTime, price);
+ var spotDataPoint = new IndicatorDataPoint(symbol.Underlying, currentTime, spotPrice);
+
+ Assert.IsFalse(indicator.Update(optionDataPoint));
+ Assert.IsTrue(indicator.Update(spotDataPoint));
+
+ Assert.AreNotEqual(0, indicator.Current.Value);
}
}
}
diff --git a/Tests/Indicators/VegaTests.cs b/Tests/Indicators/VegaTests.cs
index 9414f35a23da..0d77acbc9a6d 100644
--- a/Tests/Indicators/VegaTests.cs
+++ b/Tests/Indicators/VegaTests.cs
@@ -17,6 +17,7 @@
using QuantConnect.Algorithm;
using QuantConnect.Data;
using QuantConnect.Indicators;
+using System;
using System.IO;
using System.Linq;
@@ -125,7 +126,33 @@ public void ComparesAgainstExternalData2(decimal price, decimal spotPrice, Optio
indicator.Update(optionDataPoint);
indicator.Update(spotDataPoint);
- Assert.AreEqual(refVega, (double)indicator.Current.Value, 0.0021d);
+ Assert.AreEqual(refVega, (double)indicator.Current.Value, 0.0072d);
+ }
+
+ [TestCase(0.5, 470.0, OptionRight.Put, 0)]
+ [TestCase(0.5, 470.0, OptionRight.Put, 5)]
+ [TestCase(0.5, 470.0, OptionRight.Put, 10)]
+ [TestCase(0.5, 470.0, OptionRight.Put, 15)]
+ [TestCase(15.0, 450.0, OptionRight.Call, 0)]
+ [TestCase(15.0, 450.0, OptionRight.Call, 5)]
+ [TestCase(15.0, 450.0, OptionRight.Call, 10)]
+ [TestCase(0.5, 450.0, OptionRight.Call, 15)]
+ public void CanComputeOnExpirationDate(decimal price, decimal spotPrice, OptionRight right, int hoursAfterExpiryDate)
+ {
+ var expiration = new DateTime(2024, 12, 6);
+ var symbol = Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, right, 450m, expiration);
+ var indicator = new Vega(symbol, 0.053m, 0.0153m,
+ optionModel: OptionPricingModelType.BinomialCoxRossRubinstein, ivModel: OptionPricingModelType.BlackScholes);
+
+ var currentTime = expiration.AddHours(hoursAfterExpiryDate);
+
+ var optionDataPoint = new IndicatorDataPoint(symbol, currentTime, price);
+ var spotDataPoint = new IndicatorDataPoint(symbol.Underlying, currentTime, spotPrice);
+
+ Assert.IsFalse(indicator.Update(optionDataPoint));
+ Assert.IsTrue(indicator.Update(spotDataPoint));
+
+ Assert.AreNotEqual(0, indicator.Current.Value);
}
}
}