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Hi,
I have trouble to get the Greeks for the Future Options provided by AlgoSeek.
I re-used the QC example, added the PriceModel in the self.SetSecurityInitializer and a self.SetWarmup(30, Resolution.Daily). But it doesn't work. Any Ideas?
The OptionContract attributes filled, but the Greeks are Null.
Enclosed the code.
Help appreciated.
Jan
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Derek Melchin
Hi Jan,
To enable the price models to calculate the Greek values, in the CustomSecurityInitializer, warm up the volatility model of the underlying Future contracts as they enter the universe.
Best,
Derek Melchin
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Jan Schneider
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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