Adds Dividend Yield Model

03 Writing Algorithms/24 Reality Modeling/10 Dividend Yield/01 Key Concepts/01 Introduction.html

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+<p>The dividend yield refers to the rate of return an investor earns from holding a stock in the form of dividends. Dividends are periodic payments made by a company to its shareholders out of its earnings.</p>
+
+<p>In the context of option pricing models, the dividend yield is a critical factor because it affects the value of the underlying stock. When calculating the theoretical price of an option using these models, the dividend yield is factored into the equation.</p>

03 Writing Algorithms/24 Reality Modeling/10 Dividend Yield/01 Key Concepts/02 Set Models.html

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+<p>To set the dividend yield model for an option indicator, use the <code>dividendYieldModel</code> parameter.</p>
+
+<div class="section-example-container">
+    <pre class="csharp">// Before creating the indicator, create the set dividend yield model
+var dividendYieldModel = new DividendYieldProvider(symbol.Underlying);
+_iv = new ImpliedVolatility(symbol, RiskFreeInterestRateModel, dividendYieldModel, OptionPricingModelType.BlackScholes);</pre>
+    <pre class="python"># Before creating the indicator, create the set dividend yield model
+dividendYieldModel = DividendYieldProvider(symbol.Underlying)
+self.iv = ImpliedVolatility(symbol, self.RiskFreeInterestRateModel, dividendYieldModel, OptionPricingModelType.BlackScholes)</pre>
+</div>
+
+<p>To view all the pre-built dividend yield models, see <a href='/docs/v2/writing-algorithms/reality-modeling/dividend-yield/supported-models'>Supported Models</a>.</p>

03 Writing Algorithms/24 Reality Modeling/10 Dividend Yield/01 Key Concepts/03 Default Behavior.html

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+<p>For US Equity Options, the default dividend yield model is the <a href='/docs/v2/writing-algorithms/reality-modeling/dividend-yield/supported-models#04-Dividend-Yield-Provider-Model'>DividendYieldProvider</a>, which provides the yield of the last payment.</pp>
+<p>For other option types, the default dividend yield model is the <a href='/docs/v2/writing-algorithms/reality-modeling/dividend-yield/supported-models#02-Constant-Model'>ConstantDividendYieldModel</a> with zero yield.</p>

03 Writing Algorithms/24 Reality Modeling/10 Dividend Yield/01 Key Concepts/04 Model Structure.html

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+<p>Dividend yield models must extend the <code>IDividendYieldModel</code> interface. Extensions of the <code>IDividendYieldModel</code> interface must implement a <code>GetDividendYield</code> method. The <code>GetDividendYield</code> method returns the dividend yield for a given date.</p>
+
+<div class="section-example-container">
+<pre class="csharp">// Before creating the indicator, create the set dividend yield model
+var dividendYieldModel = new MyDividendYieldModel();
+_iv = new ImpliedVolatility(symbol, RiskFreeInterestRateModel, dividendYieldModel, OptionPricingModelType.BlackScholes);
+
+// Define the custom dividend yield model
+public class MyDividendYieldModel : IDividendYieldModel 
+{
+    public decimal GetDividendYield(DateTime date) 
+    {
+        return 0.02m;
+    }
+}</pre>
+<pre class="python"># Before creating the indicator, create the set dividend yield model
+dividendYieldModel = MyDividendYieldModel()
+self.iv = ImpliedVolatility(symbol, self.RiskFreeInterestRateModel, dividendYieldModel, OptionPricingModelType.BlackScholes)
+
+# Define the custom dividend yield model
+class MyDividendYieldModel:
+    def GetDividendYield(self, date: datetime) -&gt; float:
+        return 0.02</pre>
+</div>
+
+<p>For a full example algorithm, see <span class='python'><a href='https://www.quantconnect.com/terminal/processCache?request=embedded_backtest_20d0faedc86be00cb5f7e2e2cc4f9b79.html'>this backtest</a></span><span class='csharp'><a href='https://www.quantconnect.com/terminal/processCache?request=embedded_backtest_157d3106f24568d8aa43d169f2ccf52a.html'>this backtest</a></span>.</p>

03 Writing Algorithms/24 Reality Modeling/10 Dividend Yield/01 Key Concepts/metadata.json

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+{
+    "type": "metadata",
+    "values": {
+        "description": "The dividend yield refers to the rate of return an investor earns from holding a stock in the form of dividends.",
+        "keywords": "dividend yield, option modeling, option indicators",
+        "og:description": "The dividend yield refers to the rate of return an investor earns from holding a stock in the form of dividends.",
+        "og:title": "Key Concepts - Documentation QuantConnect.com",
+        "og:type": "website",
+        "og:site_name": "Key Concepts - QuantConnect.com",
+        "og:image": "https://cdn.quantconnect.com/docs/i/writing-algorithms/reality-modeling/dividend-yield/key-concepts.png"
+    }
+}

03 Writing Algorithms/24 Reality Modeling/10 Dividend Yield/02 Supported Models/01 Introduction.html

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+<p>This page describes all of the pre-built dividend yield models in LEAN. If none of these models perform exactly how you want, create a <a href='/docs/v2/writing-algorithms/reality-modeling/dividend-yield/key-concepts#04-Model-Structure'>custom dividend yield model</a>.</p>

03 Writing Algorithms/24 Reality Modeling/10 Dividend Yield/02 Supported Models/02 Constant Model.html

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+<p>The <code>ConstantDividendYieldModel</code> returns a constant yield across time. It's the default dividend yield rate model for securities that don't pay dividends.</p>
+
+<div class="section-example-container">
+<pre class="csharp">_dividendYieldModel = new ConstantDividendYieldModel(0.02m);</pre>
+<pre class="python">self.dividendYieldModel = ConstantDividendYieldModel(0.02);</pre>
+</div>
+
+<p>The following table describes the arguments the model accepts:</p>
+
+<table class="qc-table table">
+    <thead>
+        <tr>
+            <th>Argument</th>
+            <th>Data Type</th>
+            <th>Description</th>
+        </tr>
+    </thead>
+    <tbody>
+        <tr>
+            <td><code>dividendYield</code></td>
+	        <td><code class="csharp">decimal</code><code class="python">float</code></td>
+            <td>The dividend yield</td>
+        </tr>
+    </tbody>
+</table>
+
+<p>To view the implementation of this model, see the <a target="_blank" rel="nofollow" href="https://github.com/QuantConnect/Lean/blob/master/Common/Data/ConstantDividendYieldModel.cs">LEAN GitHub repository</a>.</p>

03 Writing Algorithms/24 Reality Modeling/10 Dividend Yield/02 Supported Models/04 Dividend Yield Provider Model.html

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+<p>The <code>DividendYieldProvider</code> estimated annualized continuous dividend yield at given date from historical dividend payments.</p>
+
+<div class="section-example-container">
+<pre class="csharp">var symbol = AddEquity("MSFT").Symbol;
+_dividendYieldModel = new DividendYieldProvider(symbol);</pre>
+<pre class="python">symbol = self.AddEquity("MSFT").Symbol
+self.dividendYieldModel = DividendYieldProvider(symbol);</pre>
+</div>
+
+<p>The following table describes the arguments the model accepts:</p>
+
+<table class="qc-table table">
+    <thead>
+        <tr>
+            <th>Argument</th>
+            <th>Data Type</th>
+            <th>Description</th>
+        </tr>
+    </thead>
+    <tbody>
+        <tr>
+            <td><code>symbol</code></td>
+	        <td><code>Symbol</code></td>
+            <td>The symbol of a dividend-paying security</td>
+        </tr>
+    </tbody>
+</table>
+
+<p>To view the implementation of this model, see the <a target="_blank" rel="nofollow" href="https://github.com/QuantConnect/Lean/blob/master/Common/Data/DividendYieldProvider.cs">LEAN GitHub repository</a>.</p>

03 Writing Algorithms/24 Reality Modeling/10 Dividend Yield/02 Supported Models/metadata.json

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+{
+    "type": "metadata",
+    "values": {
+        "description": "This page describes all of the pre-built dividend yield models in LEAN",
+        "keywords": "constant dividend yield, historical dividend yield,",
+        "og:description": "This page describes all of the pre-built dividend yield models in LEAN",
+        "og:title": "Supported Models - Documentation QuantConnect.com",
+        "og:type": "website",
+        "og:site_name": "Supported Models - QuantConnect.com",
+        "og:image": "https://cdn.quantconnect.com/docs/i/writing-algorithms/reality-modeling/dividend-yield/supported-models.png"
+    }
+}