QuantConnect.Indicators.ImpliedVolatility Class Reference
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 | |
| DateTime | Expiry => OptionSymbol.ID.Date |
| Gets the expiration time of the option More... | |
| 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... | |
| 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.
Constructor & Destructor Documentation
◆ ImpliedVolatility() [1/10]
| QuantConnect.Indicators.ImpliedVolatility.ImpliedVolatility | ( | string | name, |
| Symbol | option, | ||
| IRiskFreeInterestRateModel | riskFreeRateModel, | ||
| IDividendYieldModel | dividendYieldModel, | ||
| Symbol | mirrorOption = null, |
||
| OptionPricingModelType? | optionModel = null |
||
| ) |
Initializes a new instance of the ImpliedVolatility class
- Parameters
-
name The name of this indicator option The option to be tracked riskFreeRateModel Risk-free rate model dividendYieldModel Dividend yield model mirrorOption The mirror option for parity calculation optionModel The option pricing model used to estimate IV
Definition at line 43 of file ImpliedVolatility.cs.
◆ ImpliedVolatility() [2/10]
| QuantConnect.Indicators.ImpliedVolatility.ImpliedVolatility | ( | Symbol | option, |
| IRiskFreeInterestRateModel | riskFreeRateModel, | ||
| IDividendYieldModel | dividendYieldModel, | ||
| Symbol | mirrorOption = null, |
||
| OptionPricingModelType? | optionModel = null |
||
| ) |
Initializes a new instance of the ImpliedVolatility class
- Parameters
-
option The option to be tracked riskFreeRateModel Risk-free rate model dividendYieldModel Dividend yield model mirrorOption The mirror option for parity calculation optionModel The option pricing model used to estimate IV
Definition at line 76 of file ImpliedVolatility.cs.
◆ ImpliedVolatility() [3/10]
| QuantConnect.Indicators.ImpliedVolatility.ImpliedVolatility | ( | string | name, |
| Symbol | option, | ||
| PyObject | riskFreeRateModel, | ||
| PyObject | dividendYieldModel, | ||
| Symbol | mirrorOption = null, |
||
| OptionPricingModelType? | optionModel = null |
||
| ) |
Initializes a new instance of the ImpliedVolatility class
- Parameters
-
name The name of this indicator option The option to be tracked riskFreeRateModel Risk-free rate model dividendYieldModel Dividend yield model mirrorOption The mirror option for parity calculation optionModel The option pricing model used to estimate IV
Definition at line 92 of file ImpliedVolatility.cs.
◆ ImpliedVolatility() [4/10]
| QuantConnect.Indicators.ImpliedVolatility.ImpliedVolatility | ( | Symbol | option, |
| PyObject | riskFreeRateModel, | ||
| PyObject | dividendYieldModel, | ||
| Symbol | mirrorOption = null, |
||
| OptionPricingModelType? | optionModel = null |
||
| ) |
Initializes a new instance of the ImpliedVolatility class
- Parameters
-
option The option to be tracked riskFreeRateModel Risk-free rate model dividendYieldModel Dividend yield model mirrorOption The mirror option for parity calculation optionModel The option pricing model used to estimate IV
Definition at line 107 of file ImpliedVolatility.cs.
◆ ImpliedVolatility() [5/10]
| QuantConnect.Indicators.ImpliedVolatility.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
- Parameters
-
name The name of this indicator option The option to be tracked riskFreeRateModel Risk-free rate model dividendYield Dividend yield, as a constant mirrorOption The mirror option for parity calculation optionModel The option pricing model used to estimate IV
Definition at line 123 of file ImpliedVolatility.cs.
◆ ImpliedVolatility() [6/10]
| QuantConnect.Indicators.ImpliedVolatility.ImpliedVolatility | ( | Symbol | option, |
| IRiskFreeInterestRateModel | riskFreeRateModel, | ||
| decimal | dividendYield = 0.0m, |
||
| Symbol | mirrorOption = null, |
||
| OptionPricingModelType? | optionModel = null |
||
| ) |
Initializes a new instance of the ImpliedVolatility class
- Parameters
-
option The option to be tracked riskFreeRateModel Risk-free rate model dividendYield Dividend yield, as a constant mirrorOption The mirror option for parity calculation optionModel The option pricing model used to estimate IV
Definition at line 137 of file ImpliedVolatility.cs.
◆ ImpliedVolatility() [7/10]
| QuantConnect.Indicators.ImpliedVolatility.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
- Parameters
-
name The name of this indicator option The option to be tracked riskFreeRateModel Risk-free rate model dividendYield Dividend yield, as a constant mirrorOption The mirror option for parity calculation optionModel The option pricing model used to estimate IV
Definition at line 153 of file ImpliedVolatility.cs.
◆ ImpliedVolatility() [8/10]
| QuantConnect.Indicators.ImpliedVolatility.ImpliedVolatility | ( | Symbol | option, |
| PyObject | riskFreeRateModel, | ||
| decimal | dividendYield = 0.0m, |
||
| Symbol | mirrorOption = null, |
||
| OptionPricingModelType? | optionModel = null |
||
| ) |
Initializes a new instance of the ImpliedVolatility class
- Parameters
-
option The option to be tracked riskFreeRateModel Risk-free rate model dividendYield Dividend yield, as a constant mirrorOption The mirror option for parity calculation optionModel The option pricing model used to estimate IV
Definition at line 168 of file ImpliedVolatility.cs.
◆ ImpliedVolatility() [9/10]
| QuantConnect.Indicators.ImpliedVolatility.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
- Parameters
-
name The name of this indicator option The option to be tracked riskFreeRate Risk-free rate, as a constant dividendYield Dividend yield, as a constant mirrorOption The mirror option for parity calculation optionModel The option pricing model used to estimate IV
Definition at line 184 of file ImpliedVolatility.cs.
◆ ImpliedVolatility() [10/10]
| QuantConnect.Indicators.ImpliedVolatility.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
- Parameters
-
option The option to be tracked riskFreeRate Risk-free rate, as a constant dividendYield Dividend yield, as a constant mirrorOption The mirror option for parity calculation optionModel The option pricing model used to estimate IV
Definition at line 198 of file ImpliedVolatility.cs.
Member Function Documentation
◆ SetSmoothingFunction() [1/2]
| void QuantConnect.Indicators.ImpliedVolatility.SetSmoothingFunction | ( | Func< decimal, decimal, decimal > | function | ) |
Set the smoothing function of IV, using both call and put IV value
- Parameters
-
function the smoothing function
Definition at line 209 of file ImpliedVolatility.cs.
◆ SetSmoothingFunction() [2/2]
| void QuantConnect.Indicators.ImpliedVolatility.SetSmoothingFunction | ( | PyObject | function | ) |
Set the smoothing function of IV, using both call and put IV value
- Parameters
-
function the smoothing function
Definition at line 218 of file ImpliedVolatility.cs.
◆ Calculate()
|
protectedvirtual |
Computes the next value
- Parameters
-
input The input given to the indicator
- Returns
- The input is returned unmodified.
Implements QuantConnect.Indicators.OptionIndicatorBase.
Definition at line 235 of file ImpliedVolatility.cs.
Here is the call graph for this function:
◆ CalculateIV()
|
protectedvirtual |
Computes the IV of the option
- Parameters
-
timeTillExpiry the time until expiration in years
- Returns
- Smoothened IV of the option
Definition at line 298 of file ImpliedVolatility.cs.
Here is the caller graph for this function:
Member Data Documentation
◆ IsReady
| override bool QuantConnect.Indicators.ImpliedVolatility.IsReady => UseMirrorContract ? _isReady && Price.Current.Time == OppositePrice.Current.Time && OppositePrice.IsReady : _isReady |
Gets a flag indicating when this indicator is ready and fully initialized
Definition at line 228 of file ImpliedVolatility.cs.
The documentation for this class was generated from the following file:
- Indicators/ImpliedVolatility.cs
