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Description

This model uses IV and Greeks indicators to implement Lean's own option pricing model.

Related Issue

Closes #8336
Closes #7505

Motivation and Context

Requires Documentation Change

How Has This Been Tested?

Unit tests
Regression algorithm

Types of changes

  • Bug fix (non-breaking change which fixes an issue)
  • Refactor (non-breaking change which improves implementation)
  • Performance (non-breaking change which improves performance. Please add associated performance test and results)
  • New feature (non-breaking change which adds functionality)
  • Breaking change (fix or feature that would cause existing functionality to change)
  • Non-functional change (xml comments/documentation/etc)

Checklist:

  • My code follows the code style of this project.
  • I have read the CONTRIBUTING document.
  • I have added tests to cover my changes.
  • All new and existing tests passed.
  • My branch follows the naming convention bug-<issue#>-<description> or feature-<issue#>-<description>

This model uses IV and Greeks indicators to implement Lean's own option pricing model
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Set Default Option Greeks Models on Securities to be Calculated by QC Indicators Use Greek Indicators Along With QuantLib Option Pricing Models

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