ConstantQLUnderlyingVolatilityEstimator.cs

/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 * 
 * Licensed under the Apache License, Version 2.0 (the "License"); 
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 * 
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
*/
 
using QuantConnect.Data;
using QuantConnect.Data.Market;
 
namespace QuantConnect.Securities.Option
{
    /// <summary>
    /// Class implements default underlying constant volatility estimator (<see cref="IQLUnderlyingVolatilityEstimator"/>.), that projects the underlying own volatility 
    /// model into corresponding option pricing model.
    /// </summary>
    public class ConstantQLUnderlyingVolatilityEstimator : IQLUnderlyingVolatilityEstimator
    {
        /// <summary>
        /// Indicates whether volatility model has been warmed ot not
        /// </summary>
        public bool IsReady { get; private set; }
 
        /// <summary>
        /// Returns current estimate of the underlying volatility
        /// </summary>
        /// <param name="security">The option security object</param>
        /// <param name="slice">The current data slice. This can be used to access other information
        /// available to the algorithm</param>
        /// <param name="contract">The option contract to evaluate</param>
        /// <returns>The estimate</returns>
        public double Estimate(Security security, Slice slice, OptionContract contract)
        {
            var option = security as Option;
 
            if (option != null &&
                option.Underlying != null &&
                option.Underlying.VolatilityModel != null &&
                option.Underlying.VolatilityModel.Volatility > 0m)
            {
                IsReady = true;
                return (double)option.Underlying.VolatilityModel.Volatility;
            }
 
            return 0.0;
        }
    }
}