Lean  $LEAN_TAG$
IOptionPriceModel.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");
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15 
16 using QuantConnect.Data;
18 
20 {
21  /// <summary>
22  /// Defines a model used to calculate the theoretical price of an option contract.
23  /// </summary>
24  public interface IOptionPriceModel
25  {
26  /// <summary>
27  /// Evaluates the specified option contract to compute a theoretical price, IV and greeks
28  /// </summary>
29  /// <param name="security">The option security object</param>
30  /// <param name="slice">The current data slice. This can be used to access other information
31  /// available to the algorithm</param>
32  /// <param name="contract">The option contract to evaluate</param>
33  /// <returns>An instance of <see cref="OptionPriceModelResult"/> containing the theoretical
34  /// price of the specified option contract</returns>
35  OptionPriceModelResult Evaluate(Security security, Slice slice, OptionContract contract);
36  }
37 }