/* * 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); } }