Minor changes

QuantConnect · Dec 13, 2024 · da392b1 · da392b1
1 parent e2937a6
commit da392b1
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Showing 3 changed files with 15 additions and 5 deletions.
diff --git a/Indicators/ImpliedVolatility.cs b/Indicators/ImpliedVolatility.cs
@@ -265,8 +265,7 @@ protected override decimal Calculate(IndicatorDataPoint input)
                 RiskFreeRate.Update(time, _riskFreeInterestRateModel.GetInterestRate(time));
                 DividendYield.Update(time, _dividendYieldModel.GetDividendYield(time, UnderlyingPrice.Current.Value));
 
-                var timeTillExpiry = Convert.ToDecimal(
-                    OptionGreekIndicatorsHelper.TimeTillExpiry(Securities.Option.OptionSymbol.GetSettlementDateTime(OptionSymbol), time));
+                var timeTillExpiry = Convert.ToDecimal(OptionGreekIndicatorsHelper.TimeTillExpiry(Expiry, time));
                 _impliedVolatility = CalculateIV(timeTillExpiry);
             }
 

diff --git a/Indicators/OptionGreekIndicatorBase.cs b/Indicators/OptionGreekIndicatorBase.cs
@@ -183,8 +183,7 @@ protected override decimal Calculate(IndicatorDataPoint input)
                 RiskFreeRate.Update(time, _riskFreeInterestRateModel.GetInterestRate(time));
                 DividendYield.Update(time, _dividendYieldModel.GetDividendYield(time, UnderlyingPrice.Current.Value));
 
-                var timeTillExpiry = Convert.ToDecimal(
-                    OptionGreekIndicatorsHelper.TimeTillExpiry(Securities.Option.OptionSymbol.GetSettlementDateTime(OptionSymbol), time));
+                var timeTillExpiry = Convert.ToDecimal(OptionGreekIndicatorsHelper.TimeTillExpiry(Expiry, time));
                 try
                 {
                     _greekValue = timeTillExpiry < 0 ? 0 : CalculateGreek(timeTillExpiry);

diff --git a/Indicators/OptionIndicatorBase.cs b/Indicators/OptionIndicatorBase.cs
@@ -23,6 +23,8 @@ namespace QuantConnect.Indicators
     /// </summary>
     public abstract class OptionIndicatorBase : IndicatorBase<IndicatorDataPoint>, IIndicatorWarmUpPeriodProvider
     {
+        private DateTime _expiry;
+
         /// <summary>
         /// Option's symbol object
         /// </summary>
@@ -56,7 +58,17 @@ public abstract class OptionIndicatorBase : IndicatorBase<IndicatorDataPoint>, I
         /// <summary>
         /// Gets the expiration time of the option
         /// </summary>
-        public DateTime Expiry => OptionSymbol.ID.Date;
+        public DateTime Expiry
+        {
+            get
+            {
+                if (_expiry == default)
+                {
+                    _expiry = Securities.Option.OptionSymbol.GetSettlementDateTime(OptionSymbol);
+                }
+                return _expiry;
+            }
+        }
 
         /// <summary>
         /// Gets the option right (call/put) of the option