IQLUnderlyingVolatilityEstimator.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>
    /// Defines QuantLib underlying volatility estimator for option pricing model. User may define his own estimators, 
    /// including those forward and backward looking ones.
    /// </summary>
    public interface IQLUnderlyingVolatilityEstimator
    {
        /// <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>Volatility</returns>
        double Estimate(Security security, Slice slice, OptionContract contract);
 
        /// <summary>
        /// Indicates whether volatility model is warmed up or no
        /// </summary>
        bool IsReady { get; }
    }
}