/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
using System;
using QuantConnect.Securities;
namespace QuantConnect.ToolBox.RandomDataGenerator
{
///
/// Random pricing model used to determine the fair price or theoretical value for a call or a put option
///
public class RandomPriceGenerator : IPriceGenerator
{
private readonly Security _security;
private readonly IRandomValueGenerator _random;
///
/// Creates instance of
///
/// object for which to generate price data
/// type capable of producing random values
public RandomPriceGenerator(Security security, IRandomValueGenerator random)
{
_security = security;
_random = random;
}
///
/// is always ready to generate new price values as it does not depend on volatility model
///
public bool WarmedUp => true;
///
/// Generates an asset price
///
/// The maximum percent deviation. This value is in percent space,
/// so a value of 1m is equal to 1%.
/// date used in price calculation
/// Returns a new decimal as price
public decimal NextValue(decimal maximumPercentDeviation, DateTime referenceDate)
=> _random.NextPrice(_security.Symbol.SecurityType, _security.Symbol.ID.Market, _security.Price, maximumPercentDeviation);
}
}