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Fix GreeksIndicators.Theta calculation overflow #9307

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Merged
jhonabreul merged 1 commit into from
Feb 25, 2026
+26 −8
Merged

Fix GreeksIndicators.Theta calculation overflow #9307

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34 changes: 26 additions & 8 deletions Indicators/GreeksIndicators.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -16,6 +16,7 @@
using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Securities.Option;
using System;

namespace QuantConnect.Indicators
{
Expand Down Expand Up @@ -51,9 +52,9 @@ public class GreeksIndicators
public Vega Vega { get; }

/// <summary>
/// Gets the theta indicator
/// Gets the daily theta indicator
/// </summary>
public Theta Theta { get; }
public Theta ThetaPerDay { get; }

/// <summary>
/// Gets the rho indicator
Expand All @@ -73,7 +74,24 @@ public class GreeksIndicators
/// <summary>
/// Gets the current greeks values
/// </summary>
public Greeks Greeks => new Greeks(Delta, Gamma, Vega, Theta * 365m, Rho, 0m);
public Greeks Greeks
{
get
{
var theta = 0m;
var thetaPerDay = ThetaPerDay.Current.Value;
try
{
theta = thetaPerDay * 365m;
}
catch (OverflowException)
{
theta = thetaPerDay < 0 ? decimal.MinValue : decimal.MaxValue;
}

return new Greeks(Delta, Gamma, Vega, theta, Rho, 0m);
}
}

/// <summary>
/// Whether the mirror option is set and will be used in the calculations.
Expand All @@ -99,7 +117,7 @@ public static IDividendYieldModel GetDividendYieldModel(Symbol optionSymbol)
/// Creates a new instance of the <see cref="GreeksIndicators"/> class
/// </summary>
public GreeksIndicators(Symbol optionSymbol, Symbol mirrorOptionSymbol, OptionPricingModelType? optionModel = null,
OptionPricingModelType? ivModel = null, IDividendYieldModel dividendYieldModel = null,
OptionPricingModelType? ivModel = null, IDividendYieldModel dividendYieldModel = null,
IRiskFreeInterestRateModel riskFreeInterestRateModel = null)
{
_optionSymbol = optionSymbol;
Expand All @@ -112,13 +130,13 @@ public GreeksIndicators(Symbol optionSymbol, Symbol mirrorOptionSymbol, OptionPr
Delta = new Delta(_optionSymbol, riskFreeInterestRateModel, dividendYieldModel, _mirrorOptionSymbol, optionModel, ivModel);
Gamma = new Gamma(_optionSymbol, riskFreeInterestRateModel, dividendYieldModel, _mirrorOptionSymbol, optionModel, ivModel);
Vega = new Vega(_optionSymbol, riskFreeInterestRateModel, dividendYieldModel, _mirrorOptionSymbol, optionModel, ivModel);
Theta = new Theta(_optionSymbol, riskFreeInterestRateModel, dividendYieldModel, _mirrorOptionSymbol, optionModel, ivModel);
ThetaPerDay = new Theta(_optionSymbol, riskFreeInterestRateModel, dividendYieldModel, _mirrorOptionSymbol, optionModel, ivModel);
Rho = new Rho(_optionSymbol, riskFreeInterestRateModel, dividendYieldModel, _mirrorOptionSymbol, optionModel, ivModel);

Delta.ImpliedVolatility = ImpliedVolatility;
Gamma.ImpliedVolatility = ImpliedVolatility;
Vega.ImpliedVolatility = ImpliedVolatility;
Theta.ImpliedVolatility = ImpliedVolatility;
ThetaPerDay.ImpliedVolatility = ImpliedVolatility;
Rho.ImpliedVolatility = ImpliedVolatility;
}

Expand All @@ -131,7 +149,7 @@ public void Update(IBaseData data)
Delta.Update(data);
Gamma.Update(data);
Vega.Update(data);
Theta.Update(data);
ThetaPerDay.Update(data);
Rho.Update(data);
}

Expand All @@ -144,7 +162,7 @@ public void Reset()
Delta.Reset();
Gamma.Reset();
Vega.Reset();
Theta.Reset();
ThetaPerDay.Reset();
Rho.Reset();
}
}
Expand Down
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