QuantConnect.Indicators.Vega Class Reference

Option Vega indicator that calculate the Vega of an option More...

Inheritance diagram for QuantConnect.Indicators.Vega:

Public Member Functions
	Vega (string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, OptionPricingModelType? ivModel=null)
	Initializes a new instance of the Vega class More...
	Vega (Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, OptionPricingModelType? ivModel=null)
	Initializes a new instance of the Vega class More...
	Vega (string name, Symbol option, PyObject riskFreeRateModel, PyObject dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, OptionPricingModelType? ivModel=null)
	Initializes a new instance of the Vega class More...
	Vega (Symbol option, PyObject riskFreeRateModel, PyObject dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, OptionPricingModelType? ivModel=null)
	Initializes a new instance of the Vega class More...
	Vega (string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, OptionPricingModelType? ivModel=null)
	Initializes a new instance of the Vega class More...
	Vega (Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, OptionPricingModelType? ivModel=null)
	Initializes a new instance of the Vega class More...
	Vega (string name, Symbol option, PyObject riskFreeRateModel, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, OptionPricingModelType? ivModel=null)
	Initializes a new instance of the Vega class More...
	Vega (Symbol option, PyObject riskFreeRateModel, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, OptionPricingModelType? ivModel=null)
	Initializes a new instance of the Vega class More...
	Vega (string name, Symbol option, decimal riskFreeRate=0.05m, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, OptionPricingModelType? ivModel=null)
	Initializes a new instance of the Vega class More...
	Vega (Symbol option, decimal riskFreeRate=0.05m, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, OptionPricingModelType? ivModel=null)
	Initializes a new instance of the Vega class More...
Public Member Functions inherited from QuantConnect.Indicators.OptionGreeksIndicatorBase
override void	Reset ()
	Resets this indicator and all sub-indicators More...
Public Member Functions inherited from QuantConnect.Indicators.OptionIndicatorBase
override void	Reset ()
	Resets this indicator and all sub-indicators More...

Protected Member Functions
override decimal	CalculateGreek (decimal timeTillExpiry)
Protected Member Functions inherited from QuantConnect.Indicators.OptionGreeksIndicatorBase
	OptionGreeksIndicatorBase (string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, OptionPricingModelType? ivModel=null, int period=2)
	Initializes a new instance of the OptionGreeksIndicatorBase class More...
	OptionGreeksIndicatorBase (string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, OptionPricingModelType? ivModel=null, int period=2)
	Initializes a new instance of the OptionGreeksIndicatorBase class More...
	OptionGreeksIndicatorBase (string name, Symbol option, decimal riskFreeRate=0.05m, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, OptionPricingModelType? ivModel=null, int period=2)
	Initializes a new instance of the OptionGreeksIndicatorBase class More...
	OptionGreeksIndicatorBase (string name, Symbol option, PyObject riskFreeRateModel, PyObject dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, OptionPricingModelType? ivModel=null, int period=2)
	Initializes a new instance of the OptionGreeksIndicatorBase class More...
	OptionGreeksIndicatorBase (string name, Symbol option, PyObject riskFreeRateModel, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, OptionPricingModelType? ivModel=null, int period=2)
	Initializes a new instance of the OptionGreeksIndicatorBase class More...
override decimal	ComputeNextValue (IndicatorDataPoint input)
	Computes the next value of the option greek indicator More...
Protected Member Functions inherited from QuantConnect.Indicators.OptionIndicatorBase
	OptionIndicatorBase (string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, int period=2)
	Initializes a new instance of the OptionIndicatorBase class More...

Additional Inherited Members
Public Attributes inherited from QuantConnect.Indicators.OptionGreeksIndicatorBase
override bool	IsReady => ImpliedVolatility.IsReady
	Gets a flag indicating when this indicator is ready and fully initialized More...
Public Attributes inherited from QuantConnect.Indicators.OptionIndicatorBase
DateTime	Expiry => _optionSymbol.ID.Date
	Gets the expiration time of the option More...
OptionRight	Right => _optionSymbol.ID.OptionRight
	Gets the option right (call/put) of the option More...
decimal	Strike => _optionSymbol.ID.StrikePrice
	Gets the strike price of the option More...
OptionStyle	Style => _optionSymbol.ID.OptionStyle
	Gets the option style (European/American) of the option More...
bool	UseMirrorContract => _oppositeOptionSymbol != null
	Flag if mirror option is implemented for parity type calculation More...
Protected Attributes inherited from QuantConnect.Indicators.OptionGreeksIndicatorBase
decimal	_greekValue
	Cache of the current value of the greek More...
Protected Attributes inherited from QuantConnect.Indicators.OptionIndicatorBase
readonly Symbol	_optionSymbol
	Option's symbol object More...
Symbol	_underlyingSymbol => _optionSymbol.Underlying
	Underlying security's symbol object More...
OptionPricingModelType	_optionModel
	Option pricing model used to calculate indicator More...
readonly IRiskFreeInterestRateModel	_riskFreeInterestRateModel
	Risk-free rate model More...
readonly IDividendYieldModel	_dividendYieldModel
	Dividend yield model, for continuous dividend yield More...
Properties inherited from QuantConnect.Indicators.OptionGreeksIndicatorBase
ImpliedVolatility	ImpliedVolatility [get, set]
	Gets the implied volatility of the option More...
Properties inherited from QuantConnect.Indicators.OptionIndicatorBase
Symbol	_oppositeOptionSymbol [get]
	Mirror option symbol (by option right), for implied volatility More...
Identity	RiskFreeRate [get, set]
	Risk Free Rate More...
Identity	DividendYield [get, set]
	Dividend Yield More...
IndicatorBase< IndicatorDataPoint >	Price [get]
	Gets the option price level More...
IndicatorBase< IndicatorDataPoint >	OppositePrice [get]
	Gets the mirror option price level, for implied volatility More...
IndicatorBase< IndicatorDataPoint >	UnderlyingPrice [get]
	Gets the underlying's price level More...
int	WarmUpPeriod [get, set]
	Required period, in data points, for the indicator to be ready and fully initialized. More...
Properties inherited from QuantConnect.Indicators.IIndicatorWarmUpPeriodProvider
int	WarmUpPeriod [get]
	Required period, in data points, for the indicator to be ready and fully initialized. More...

Detailed Description

Option Vega indicator that calculate the Vega of an option

sensitivity of option price on IV changes

Definition at line 27 of file Vega.cs.

Constructor & Destructor Documentation

Vega() [1/10]

QuantConnect.Indicators.Vega.Vega	(	string	name,
		Symbol	option,
		IRiskFreeInterestRateModel	riskFreeRateModel,
		IDividendYieldModel	dividendYieldModel,
		Symbol	mirrorOption = null,
		OptionPricingModelType	optionModel = OptionPricingModelType.BlackScholes,
		OptionPricingModelType?	ivModel = null
	)

Initializes a new instance of the Vega class

Parameters

name	The name of this indicator
option	The option to be tracked
riskFreeRateModel	Risk-free rate model
dividendYieldModel	Dividend yield model
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate Vega
ivModel	The option pricing model used to estimate IV

Definition at line 39 of file Vega.cs.

Vega() [2/10]

QuantConnect.Indicators.Vega.Vega	(	Symbol	option,
		IRiskFreeInterestRateModel	riskFreeRateModel,
		IDividendYieldModel	dividendYieldModel,
		Symbol	mirrorOption = null,
		OptionPricingModelType	optionModel = OptionPricingModelType.BlackScholes,
		OptionPricingModelType?	ivModel = null
	)

Initializes a new instance of the Vega class

Parameters

option	The option to be tracked
riskFreeRateModel	Risk-free rate model
dividendYieldModel	Dividend yield model
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate Vega
ivModel	The option pricing model used to estimate IV

Definition at line 54 of file Vega.cs.

Vega() [3/10]

QuantConnect.Indicators.Vega.Vega	(	string	name,
		Symbol	option,
		PyObject	riskFreeRateModel,
		PyObject	dividendYieldModel,
		Symbol	mirrorOption = null,
		OptionPricingModelType	optionModel = OptionPricingModelType.BlackScholes,
		OptionPricingModelType?	ivModel = null
	)

Initializes a new instance of the Vega class

Parameters

name	The name of this indicator
option	The option to be tracked
riskFreeRateModel	Risk-free rate model
dividendYieldModel	Dividend yield model
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate Vega
ivModel	The option pricing model used to estimate IV

Definition at line 70 of file Vega.cs.

Vega() [4/10]

QuantConnect.Indicators.Vega.Vega	(	Symbol	option,
		PyObject	riskFreeRateModel,
		PyObject	dividendYieldModel,
		Symbol	mirrorOption = null,
		OptionPricingModelType	optionModel = OptionPricingModelType.BlackScholes,
		OptionPricingModelType?	ivModel = null
	)

Initializes a new instance of the Vega class

Parameters

option	The option to be tracked
riskFreeRateModel	Risk-free rate model
dividendYieldModel	Dividend yield model
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate Vega
ivModel	The option pricing model used to estimate IV

Definition at line 85 of file Vega.cs.

Vega() [5/10]

QuantConnect.Indicators.Vega.Vega	(	string	name,
		Symbol	option,
		IRiskFreeInterestRateModel	riskFreeRateModel,
		decimal	dividendYield = 0.0m,
		Symbol	mirrorOption = null,
		OptionPricingModelType	optionModel = OptionPricingModelType.BlackScholes,
		OptionPricingModelType?	ivModel = null
	)

Initializes a new instance of the Vega class

Parameters

name	The name of this indicator
option	The option to be tracked
riskFreeRateModel	Risk-free rate model
dividendYield	Dividend yield, as a constant
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate Vega
ivModel	The option pricing model used to estimate IV

Definition at line 101 of file Vega.cs.

Vega() [6/10]

QuantConnect.Indicators.Vega.Vega	(	Symbol	option,
		IRiskFreeInterestRateModel	riskFreeRateModel,
		decimal	dividendYield = 0.0m,
		Symbol	mirrorOption = null,
		OptionPricingModelType	optionModel = OptionPricingModelType.BlackScholes,
		OptionPricingModelType?	ivModel = null
	)

Initializes a new instance of the Vega class

Parameters

option	The option to be tracked
riskFreeRateModel	Risk-free rate model
dividendYield	Dividend yield, as a constant
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate Vega
ivModel	The option pricing model used to estimate IV

Definition at line 116 of file Vega.cs.

Vega() [7/10]

QuantConnect.Indicators.Vega.Vega	(	string	name,
		Symbol	option,
		PyObject	riskFreeRateModel,
		decimal	dividendYield = 0.0m,
		Symbol	mirrorOption = null,
		OptionPricingModelType	optionModel = OptionPricingModelType.BlackScholes,
		OptionPricingModelType?	ivModel = null
	)

Initializes a new instance of the Vega class

Parameters

name	The name of this indicator
option	The option to be tracked
riskFreeRateModel	Risk-free rate model
dividendYield	Dividend yield, as a constant
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate Vega
ivModel	The option pricing model used to estimate IV

Definition at line 132 of file Vega.cs.

Vega() [8/10]

QuantConnect.Indicators.Vega.Vega	(	Symbol	option,
		PyObject	riskFreeRateModel,
		decimal	dividendYield = 0.0m,
		Symbol	mirrorOption = null,
		OptionPricingModelType	optionModel = OptionPricingModelType.BlackScholes,
		OptionPricingModelType?	ivModel = null
	)

Initializes a new instance of the Vega class

Parameters

option	The option to be tracked
riskFreeRateModel	Risk-free rate model
dividendYield	Dividend yield, as a constant
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate Vega
ivModel	The option pricing model used to estimate IV

Definition at line 147 of file Vega.cs.

Vega() [9/10]

QuantConnect.Indicators.Vega.Vega	(	string	name,
		Symbol	option,
		decimal	riskFreeRate = 0.05m,
		decimal	dividendYield = 0.0m,
		Symbol	mirrorOption = null,
		OptionPricingModelType	optionModel = OptionPricingModelType.BlackScholes,
		OptionPricingModelType?	ivModel = null
	)

Initializes a new instance of the Vega class

Parameters

name	The name of this indicator
option	The option to be tracked

am>

Parameters

riskFreeRate	Risk-free rate, as a constant
dividendYield	Dividend yield, as a constant
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate Vega
ivModel	The option pricing model used to estimate IV

Definition at line 163 of file Vega.cs.

Vega() [10/10]

QuantConnect.Indicators.Vega.Vega	(	Symbol	option,
		decimal	riskFreeRate = 0.05m,
		decimal	dividendYield = 0.0m,
		Symbol	mirrorOption = null,
		OptionPricingModelType	optionModel = OptionPricingModelType.BlackScholes,
		OptionPricingModelType?	ivModel = null
	)

Initializes a new instance of the Vega class

Parameters

option	The option to be tracked
riskFreeRate	Risk-free rate, as a constant
dividendYield	Dividend yield, as a constant
mirrorOption	The mirror option for parity calculation
optionModel	The option pricing model used to estimate Vega
ivModel	The option pricing model used to estimate IV

Definition at line 178 of file Vega.cs.

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The documentation for this class was generated from the following file:

• Indicators/Vega.cs