Hello,

I am just curious as to whether QC has pre-programmed derivative calculators and if there is a way to plot these derivative functions over or under the backtest result.

QUANTCONNECT COMMUNITY

Hello,

I am just curious as to whether QC has pre-programmed derivative calculators and if there is a way to plot these derivative functions over or under the backtest result.

Michael Handschuh

JP B

`/* * Example of how to use Put pricing with Black-Scholes in an algorithm * by: Jean-Paul van Brakel */ public class BasicTemplateAlgorithm : QCAlgorithm { // ticker to be used private readonly string _ticker = "AAPL"; // number of periods to be used in volatility calculation private static int _vol_periods = 14; private readonly RollingWindow` PriceHistory = new RollingWindow(_vol_periods);
// define option maturity date
private readonly DateTime _maturityDate = new DateTime(2015, 1, 16); // third friday of the month
//Initialize the data and resolution you require for your strategy:
public override void Initialize()
{
//Start and End Date range for the backtest:
SetStartDate(2015, 1, 1);
SetWarmup(TimeSpan.FromDays(_vol_periods));
SetEndDate(2015, 1, 2);
//Cash allocation
SetCash(25000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, _ticker, Resolution.Minute);
//Initialise plot
Chart plotter = new Chart("DerivativePlot", ChartType.Stacked);
plotter.AddSeries(new Series("Price", SeriesType.Line));
plotter.AddSeries(new Series("Put price", SeriesType.Line));
AddChart(plotter);
}
//Data Event Handler: New data arrives here.
public void OnData(TradeBars data)
{
PriceHistory.Add(data[_ticker]);
if (!PriceHistory.IsReady) return;
// specify option settings here:
double price = (double)PriceHistory[0].Close;
double strike = 110; // strike price of option
double rate = 0.05; // risk-free rate of return to use in calculation
// recalculate annualised time to maturity
double maturity = (BlackScholes.CountWeekDays(data.Time,_maturityDate)/250);
double[] _p_history = new double[PriceHistory.Count];
for (int i = 0; i < PriceHistory.Count; i++)
// copy close (you can change this to your liking)
_p_history[i] = (double)PriceHistory[i].Close;
// approximate volatility with historical volatility of the underlying
double volatility = BlackScholes.HistoricalVolatility(_p_history);
double yield = 0.01; // approximation to the annualised dividend yields(%) for AAPL
// calculate Black-Scholes option value for a European PUT (also approximation to American PUT)
double _optionPrice = BlackScholes.blsPut(price, strike, rate, maturity, volatility, yield);
if (data.Time >= StartDate) {
Plot("DerivativePlot", "Price", price);
Plot("DerivativePlot", "Put price", _optionPrice);
}
// put your actual trading logic here:
if (!Portfolio.HoldStock) {
Order(_ticker, -100);
}
}
}

For this to work, you also need to add the classBlackScholeswhich I've put together. Simply clone the project below and you're ready to go. To see the resulting plot of both thestock priceand theput option price, clone the algorithm and backtest it. Then on the right side you can click on the plotDerivativePlot. This will show the plot of both the stock and derivative price. I hope this is close to what you are looking for. Good luck!Nicholas Caffrey

Nicholas Caffrey

JP B

Michael Handschuh

Nicholas Caffrey

JP B

Michael Handschuh

Nicholas Caffrey

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