Add Python overload for OptionPriceModelResult

Algorithm.CSharp/CustomOptionPriceModelRegressionAlgorithm.cs

@@ -84,6 +84,7 @@ public OptionPriceModelResult Evaluate(OptionPriceModelParameters parameters)
                 var contract = parameters.Contract;
                 var underlying = contract.UnderlyingLastPrice;
                 var strike = contract.Strike;
+                var greeks = new Greeks(0.5m, 0.2m, 0.15m, 0.05m, 0.1m, 2.0m);
 
                 decimal intrinsicValue;
                 if (contract.Right == OptionRight.Call)
@@ -93,10 +94,14 @@ public OptionPriceModelResult Evaluate(OptionPriceModelParameters parameters)
                 else
                 {
                     intrinsicValue = Math.Max(0, strike - underlying);
+                    // Delta and Rho are negative for a put
+                    greeks.Delta *= -1;
+                    greeks.Rho *= -1;
                 }
-
                 var theoreticalPrice = intrinsicValue + 1.0m;
-                return new OptionPriceModelResult(theoreticalPrice, new Greeks(0.5m, 0.1m, 0.2m, -0.05m, 0.1m, 2.0m));
+                var impliedVolatility = 0.2m;
+
+                return new OptionPriceModelResult(theoreticalPrice, impliedVolatility, greeks);
             }
         }
 

Algorithm.Python/CustomOptionPriceModelRegressionAlgorithm.py

@@ -62,12 +62,17 @@ def evaluate(self, parameters):
         contract = parameters.contract
         underlying = contract.underlying_last_price
         strike = contract.strike
+        greeks = Greeks(0.5, 0.2, 0.15, 0.05, 0.1, 2.0)
 
         if contract.right == OptionRight.CALL:
             intrinsic = max(0, underlying - strike)
         else:
             intrinsic = max(0, strike - underlying)
+            # Delta and Rho are negative for a put
+            greeks.delta *= -1
+            greeks.rho *= -1
 
         theoretical_price = intrinsic + 1.0
+        implied_volatility = 0.2
 
-        return OptionPriceModelResult(theoretical_price, Greeks(0.5, 0.1, 0.2, -0.05, 0.1, 2.0))
+        return OptionPriceModelResult(theoretical_price, implied_volatility, greeks)

Common/Securities/Option/OptionPriceModelResult.cs

@@ -13,6 +13,7 @@
  * limitations under the License.
 */
 
+using Python.Runtime;
 using QuantConnect.Data.Market;
 using System;
 
@@ -28,16 +29,13 @@ public class OptionPriceModelResult
         /// </summary>
         public static OptionPriceModelResult None { get; } = new(0, NullGreeks.Instance);
 
-        private readonly Lazy<Greeks> _greeks;
-        private readonly Lazy<decimal> _impliedVolatility;
+        private Lazy<Greeks> _greeks;
+        private Lazy<decimal> _impliedVolatility;
 
         /// <summary>
         /// Gets the theoretical price as computed by the <see cref="IOptionPriceModel"/>
         /// </summary>
-        public decimal TheoreticalPrice
-        {
-            get; private set;
-        }
+        public decimal TheoreticalPrice { get; set; }
 
         /// <summary>
         /// Gets the implied volatility of the option contract
@@ -48,6 +46,10 @@ public decimal ImpliedVolatility
             {
                 return _impliedVolatility.Value;
             }
+            set
+            {
+                _impliedVolatility = new Lazy<decimal>(() => value, isThreadSafe: false);
+            }
         }
 
         /// <summary>
@@ -59,6 +61,17 @@ public Greeks Greeks
             {
                 return _greeks.Value;
             }
+            set
+            {
+                _greeks = new Lazy<Greeks>(() => value, isThreadSafe: false);
+            }
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="OptionPriceModelResult"/> class
+        /// </summary>
+        public OptionPriceModelResult()
+        {
         }
 
         /// <summary>
@@ -73,6 +86,17 @@ public OptionPriceModelResult(decimal theoreticalPrice, Greeks greeks)
             _greeks = new Lazy<Greeks>(() => greeks, isThreadSafe: false);
         }
 
+        /// <summary>
+        /// Initializes a new instance of the <see cref="OptionPriceModelResult"/> class
+        /// </summary>
+        /// <param name="theoreticalPrice">The theoretical price computed by the price model</param>
+        /// <param name="impliedVolatility">The calculated implied volatility</param>
+        /// <param name="greeks">The sensitivities (greeks) computed by the price model</param>
+        public OptionPriceModelResult(decimal theoreticalPrice, decimal impliedVolatility, Greeks greeks)
+            : this(theoreticalPrice, () => impliedVolatility, () => greeks)
+        {
+        }
+
         /// <summary>
         /// Initializes a new instance of the <see cref="OptionPriceModelResult"/> class with lazy calculations of implied volatility and greeks
         /// </summary>
@@ -85,5 +109,16 @@ public OptionPriceModelResult(decimal theoreticalPrice, Func<decimal> impliedVol
             _impliedVolatility = new Lazy<decimal>(impliedVolatility, isThreadSafe: false);
             _greeks = new Lazy<Greeks>(greeks, isThreadSafe: false);
         }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="OptionPriceModelResult"/> class with lazy calculations of implied volatility and greeks
+        /// </summary>
+        /// <param name="theoreticalPrice">The theoretical price computed by the price model</param>
+        /// <param name="impliedVolatility">The calculated implied volatility</param>
+        /// <param name="greeks">The sensitivities (greeks) computed by the price model</param>
+        public OptionPriceModelResult(decimal theoreticalPrice, PyObject impliedVolatility, PyObject greeks)
+            : this(theoreticalPrice, impliedVolatility.SafeAs<Func<decimal>>(), greeks.SafeAs<Func<Greeks>>())
+        {
+        }
     }
 }

Tests/Common/Securities/OptionPriceModelTests.cs

@@ -15,6 +15,7 @@
 
 using Moq;
 using NUnit.Framework;
+using Python.Runtime;
 using QLNet;
 using QuantConnect.Data;
 using QuantConnect.Data.Market;
@@ -24,7 +25,6 @@
 using System;
 using System.Collections.Generic;
 using System.Diagnostics;
-using System.Globalization;
 using System.IO;
 using System.Linq;
 using System.Threading;
@@ -930,6 +930,35 @@ public void PriceModelEvaluateSpeedTest()
             Assert.Less(stopWatch.ElapsedMilliseconds, 2200);
         }
 
+        [TestCase(Language.CSharp)]
+        [TestCase(Language.Python)]
+        public void OptionPriceModelResultOverloadsAreConsistent(Language language)
+        {
+            var impliedVol = 0.25m;
+            var funcImpliedVol = new Func<decimal>(() => impliedVol);
+            var funcGreeks = new Func<Greeks>(() => new ModeledGreeks(() => 0.01m, () => 0.02m, () => 0.03m, () => 0.04m, () => 0.05m, () => 0.06m));
+            OptionPriceModelResult optionPriceModelResult = null;
+            if (language == Language.CSharp)
+            {
+                optionPriceModelResult = new OptionPriceModelResult(0.01m, funcImpliedVol, funcGreeks);
+            }
+            else
+            {
+                using (Py.GIL())
+                {
+                    optionPriceModelResult = new OptionPriceModelResult(0.01m, funcImpliedVol.ToPython(), funcGreeks.ToPython());
+                }
+            }
+
+            Assert.AreEqual(0.25m, optionPriceModelResult.ImpliedVolatility);
+            Assert.AreEqual(0.01m, optionPriceModelResult.Greeks.Delta);
+            Assert.AreEqual(0.02m, optionPriceModelResult.Greeks.Gamma);
+            Assert.AreEqual(0.03m, optionPriceModelResult.Greeks.Vega);
+            Assert.AreEqual(0.04m, optionPriceModelResult.Greeks.Theta);
+            Assert.AreEqual(0.05m, optionPriceModelResult.Greeks.Rho);
+            Assert.AreEqual(0.06m, optionPriceModelResult.Greeks.Lambda);
+        }
+
         private static Symbol GetOptionSymbol(Symbol underlying, OptionStyle optionStyle, OptionRight optionRight, decimal strike = 192m, DateTime? expiry = null)
         {
             if (expiry == null)