Implied Volatility indicator that calculate the IV of an option using Black-Scholes Model More...

Inheritance diagram for QuantConnect.Indicators.ImpliedVolatility:

Public Member Functions
	ImpliedVolatility (string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null)
	Initializes a new instance of the ImpliedVolatility class More...

	ImpliedVolatility (Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null)
	Initializes a new instance of the ImpliedVolatility class More...

	ImpliedVolatility (string name, Symbol option, PyObject riskFreeRateModel, PyObject dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null)
	Initializes a new instance of the ImpliedVolatility class More...

	ImpliedVolatility (Symbol option, PyObject riskFreeRateModel, PyObject dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null)
	Initializes a new instance of the ImpliedVolatility class More...

	ImpliedVolatility (string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null)
	Initializes a new instance of the ImpliedVolatility class More...

	ImpliedVolatility (Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null)
	Initializes a new instance of the ImpliedVolatility class More...

	ImpliedVolatility (string name, Symbol option, PyObject riskFreeRateModel, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null)
	Initializes a new instance of the ImpliedVolatility class More...

	ImpliedVolatility (Symbol option, PyObject riskFreeRateModel, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null)
	Initializes a new instance of the ImpliedVolatility class More...

	ImpliedVolatility (string name, Symbol option, decimal riskFreeRate=0.05m, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null)
	Initializes a new instance of the ImpliedVolatility class More...

	ImpliedVolatility (Symbol option, decimal riskFreeRate=0.05m, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null)
	Initializes a new instance of the ImpliedVolatility class More...

void	SetSmoothingFunction (Func< decimal, decimal, decimal > function)
	Set the smoothing function of IV, using both call and put IV value More...

void	SetSmoothingFunction (PyObject function)
	Set the smoothing function of IV, using both call and put IV value More...

Public Member Functions inherited from QuantConnect.Indicators.OptionIndicatorBase
override void	Reset ()
	Resets this indicator and all sub-indicators More...

Public Attributes
override bool	IsReady => UseMirrorContract ? _isReady && Price.Current.Time == OppositePrice.Current.Time && OppositePrice.IsReady : _isReady
	Gets a flag indicating when this indicator is ready and fully initialized More...

Public Attributes inherited from QuantConnect.Indicators.OptionIndicatorBase
OptionRight	Right => OptionSymbol.ID.OptionRight
	Gets the option right (call/put) of the option More...

decimal	Strike => OptionSymbol.ID.StrikePrice
	Gets the strike price of the option More...

OptionStyle	Style => OptionSymbol.ID.OptionStyle
	Gets the option style (European/American) of the option More...

bool	UseMirrorContract => _oppositeOptionSymbol != null
	Flag if mirror option is implemented for parity type calculation More...

Protected Member Functions
override decimal	Calculate (IndicatorDataPoint input)
	Computes the next value More...

virtual decimal	CalculateIV (decimal timeTillExpiry)
	Computes the IV of the option More...

Protected Member Functions inherited from QuantConnect.Indicators.OptionIndicatorBase
	OptionIndicatorBase (string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, int period=2)
	Initializes a new instance of the OptionIndicatorBase class More...

override decimal	ComputeNextValue (IndicatorDataPoint input)
	Computes the next value of this indicator from the given state. This will round the result to 7 decimal places. More...

Additional Inherited Members
Static Public Member Functions inherited from QuantConnect.Indicators.OptionIndicatorBase
static OptionPricingModelType	GetOptionModel (OptionPricingModelType? optionModel, OptionStyle optionStyle)
	Gets the option pricing model based on the option style, if not specified More...

Protected Attributes inherited from QuantConnect.Indicators.OptionIndicatorBase
Symbol	_underlyingSymbol => OptionSymbol.Underlying
	Underlying security's symbol object More...

Properties inherited from QuantConnect.Indicators.OptionIndicatorBase
Symbol	OptionSymbol `[get]`
	Option's symbol object More...

Symbol	_oppositeOptionSymbol `[get]`
	Mirror option symbol (by option right), for implied volatility More...

OptionPricingModelType	_optionModel `[get, set]`
	Option pricing model used to calculate indicator More...

IRiskFreeInterestRateModel	_riskFreeInterestRateModel `[get]`
	Risk-free rate model More...

IDividendYieldModel	_dividendYieldModel `[get]`
	Dividend yield model, for continuous dividend yield More...

DateTime	Expiry `[get]`
	Gets the expiration time of the option More...

Identity	RiskFreeRate `[get, set]`
	Risk Free Rate More...

Identity	DividendYield `[get, set]`
	Dividend Yield More...

IndicatorBase< IndicatorDataPoint >	Price `[get]`
	Gets the option price level More...

IndicatorBase< IndicatorDataPoint >	OppositePrice `[get]`
	Gets the mirror option price level, for implied volatility More...

IndicatorBase< IndicatorDataPoint >	UnderlyingPrice `[get]`
	Gets the underlying's price level More...

int	WarmUpPeriod `[get, set]`
	Required period, in data points, for the indicator to be ready and fully initialized. More...

Properties inherited from QuantConnect.Indicators.IIndicatorWarmUpPeriodProvider
int	WarmUpPeriod `[get]`
	Required period, in data points, for the indicator to be ready and fully initialized. More...

Detailed Description

Implied Volatility indicator that calculate the IV of an option using Black-Scholes Model

Definition at line 29 of file ImpliedVolatility.cs.