TEST

Author: jhonabreul

Common/Securities/Option/DefaultOptionAssignmentModel.cs

@@ -54,21 +54,30 @@ public virtual OptionAssignmentResult GetAssignment(OptionAssignmentParameters p
             var option = parameters.Option;
             var underlying = parameters.Option.Underlying;
 
-            // we take only options that expire soon
-            if ((option.Symbol.ID.OptionStyle == OptionStyle.American && option.Symbol.ID.Date - option.LocalTime <= _priorExpiration ||
-                option.Symbol.ID.OptionStyle == OptionStyle.European && option.Symbol.ID.Date.Date == option.LocalTime.Date)
-                // we take only deep ITM strikes
-                && IsDeepInTheMoney(option))
+            try
             {
-                // we estimate P/L
-                var potentialPnL = EstimateArbitragePnL(option, (OptionHolding)option.Holdings, underlying);
-                if (potentialPnL > 0)
+                // we take only options that expire soon
+                if ((option.Symbol.ID.OptionStyle == OptionStyle.American && option.Symbol.ID.Date - option.LocalTime <= _priorExpiration ||
+                    option.Symbol.ID.OptionStyle == OptionStyle.European && option.Symbol.ID.Date.Date == option.LocalTime.Date)
+                    // we take only deep ITM strikes
+                    && IsDeepInTheMoney(option))
                 {
-                    return new OptionAssignmentResult(option.Holdings.AbsoluteQuantity, "Simulated option assignment before expiration");
+                    // we estimate P/L
+                    var potentialPnL = EstimateArbitragePnL(option, (OptionHolding)option.Holdings, underlying);
+                    if (potentialPnL > 0)
+                    {
+                        return new OptionAssignmentResult(option.Holdings.AbsoluteQuantity, "Simulated option assignment before expiration");
+                    }
                 }
-            }
 
-            return OptionAssignmentResult.Null;
+                return OptionAssignmentResult.Null;
+            }
+            catch (DivideByZeroException e)
+            {
+                throw new DivideByZeroException(
+                    $"The option {option.Symbol} | {option.Underlying.Symbol.ID} | {option.Underlying.Symbol.Value} has a zero underlying price. This is not a valid state for an option. " +
+                    $"Please check the underlying security data. Exception: {e.Message}", e);
+            }
         }
 
         private bool IsDeepInTheMoney(Option option)