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Remove GreekIndicators class #40

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Remove GreekIndicators class #40

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109 changes: 0 additions & 109 deletions Lean.DataSource.OptionsUniverseGenerator/GreeksIndicators.cs
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5 changes: 3 additions & 2 deletions Lean.DataSource.OptionsUniverseGenerator/OptionUniverseEntry.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -17,6 +17,7 @@
using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Indicators;

namespace QuantConnect.DataSource.OptionsUniverseGenerator
{
Expand All @@ -30,12 +31,12 @@ public class OptionUniverseEntry : BaseContractUniverseFileEntry
/// <summary>
/// Option contract's implied volatility on the processing date.
/// </summary>
public decimal? ImpliedVolatility => _greeksIndicators?.ImpliedVolatility;
public decimal? ImpliedVolatility => _greeksIndicators?.ImpliedVolatility?.Current?.Value;

/// <summary>
/// Option contract's greeks on the processing date.
/// </summary>
public Greeks Greeks => _greeksIndicators?.GetGreeks();
public Greeks Greeks => _greeksIndicators?.Greeks;

/// <summary>
/// Initializes a new instance of the <see cref="OptionUniverseEntry"/> class.
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2 changes: 1 addition & 1 deletion ...Connect.DataSource.DerivativeUniverseGeneratorTests/ImpliedVolatilityInterpolatorTests.cs
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Expand Up @@ -113,7 +113,7 @@ public void IvInterpolationAndGreeksGenerationTest()

var greekIndicator = _interpolator.GetUpdatedGreeksIndicators(symbol, interpolatedIv, OptionPricingModelType.BlackScholes,
OptionPricingModelType.BlackScholes);
var greeks = greekIndicator.GetGreeks();
var greeks = greekIndicator.Greeks;

Assert.NotZero(greeks.Delta);
// Assert.NotZero(greeks.Gamma); // Gamma can be zero at very ITM options
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