Lean  $LEAN_TAG$
ConstantQLUnderlyingVolatilityEstimator.cs
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3  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
4  *
5  * Licensed under the Apache License, Version 2.0 (the "License");
6  * you may not use this file except in compliance with the License.
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12  * See the License for the specific language governing permissions and
13  * limitations under the License.
14 */
15 
16 using QuantConnect.Data;
17 using QuantConnect.Data.Market;
18 
19 namespace QuantConnect.Securities.Option
20 {
21  /// <summary>
22  /// Class implements default underlying constant volatility estimator (<see cref="IQLUnderlyingVolatilityEstimator"/>.), that projects the underlying own volatility
23  /// model into corresponding option pricing model.
24  /// </summary>
25  public class ConstantQLUnderlyingVolatilityEstimator : IQLUnderlyingVolatilityEstimator
26  {
27  /// <summary>
28  /// Indicates whether volatility model has been warmed ot not
29  /// </summary>
30  public bool IsReady { get; private set; }
31 
32  /// <summary>
33  /// Returns current estimate of the underlying volatility
34  /// </summary>
35  /// <param name="security">The option security object</param>
36  /// <param name="slice">The current data slice. This can be used to access other information
37  /// available to the algorithm</param>
38  /// <param name="contract">The option contract to evaluate</param>
39  /// <returns>The estimate</returns>
40  public double Estimate(Security security, Slice slice, OptionContract contract)
41  {
42  var option = security as Option;
43 
44  if (option != null &&
45  option.Underlying != null &&
46  option.Underlying.VolatilityModel != null &&
47  option.Underlying.VolatilityModel.Volatility > 0m)
48  {
49  IsReady = true;
50  return (double)option.Underlying.VolatilityModel.Volatility;
51  }
52 
53  return 0.0;
54  }
55  }
56 }