To provide a base class for option indicator
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override void | Reset () |
| Resets this indicator and all sub-indicators More...
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Symbol | OptionSymbol [get] |
| Option's symbol object More...
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Symbol | _oppositeOptionSymbol [get] |
| Mirror option symbol (by option right), for implied volatility More...
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OptionPricingModelType | _optionModel [get, set] |
| Option pricing model used to calculate indicator More...
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IRiskFreeInterestRateModel | _riskFreeInterestRateModel [get] |
| Risk-free rate model More...
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IDividendYieldModel | _dividendYieldModel [get] |
| Dividend yield model, for continuous dividend yield More...
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DateTime | Expiry [get] |
| Gets the expiration time of the option More...
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Identity | RiskFreeRate [get, set] |
| Risk Free Rate More...
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Identity | DividendYield [get, set] |
| Dividend Yield More...
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IndicatorBase< IndicatorDataPoint > | Price [get] |
| Gets the option price level More...
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IndicatorBase< IndicatorDataPoint > | OppositePrice [get] |
| Gets the mirror option price level, for implied volatility More...
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IndicatorBase< IndicatorDataPoint > | UnderlyingPrice [get] |
| Gets the underlying's price level More...
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int | WarmUpPeriod [get, set] |
| Required period, in data points, for the indicator to be ready and fully initialized. More...
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int | WarmUpPeriod [get] |
| Required period, in data points, for the indicator to be ready and fully initialized. More...
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To provide a base class for option indicator
Definition at line 24 of file OptionIndicatorBase.cs.
◆ OptionIndicatorBase()
Initializes a new instance of the OptionIndicatorBase class
- Parameters
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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 |
period | The lookback period of volatility |
optionModel | The option pricing model used to estimate the Greek/IV |
Definition at line 128 of file OptionIndicatorBase.cs.
◆ ComputeNextValue()
override decimal QuantConnect.Indicators.OptionIndicatorBase.ComputeNextValue |
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IndicatorDataPoint |
input | ) |
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protected |
Computes the next value of this indicator from the given state. This will round the result to 7 decimal places.
- Parameters
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input | The input given to the indicator |
- Returns
- A new value for this indicator
Definition at line 168 of file OptionIndicatorBase.cs.
◆ Calculate()
abstract decimal QuantConnect.Indicators.OptionIndicatorBase.Calculate |
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IndicatorDataPoint |
input | ) |
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protectedpure virtual |
◆ Reset()
override void QuantConnect.Indicators.OptionIndicatorBase.Reset |
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◆ GetOptionModel()
Gets the option pricing model based on the option style, if not specified
- Parameters
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optionModel | The optional option pricing model, which will be returned if not null |
optionStyle | The option style |
- Returns
- The option pricing model based on the option style, if not specified
Definition at line 203 of file OptionIndicatorBase.cs.
◆ _underlyingSymbol
Symbol QuantConnect.Indicators.OptionIndicatorBase._underlyingSymbol => OptionSymbol.Underlying |
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protected |
◆ Right
OptionRight QuantConnect.Indicators.OptionIndicatorBase.Right => OptionSymbol.ID.OptionRight |
◆ Strike
decimal QuantConnect.Indicators.OptionIndicatorBase.Strike => OptionSymbol.ID.StrikePrice |
◆ Style
OptionStyle QuantConnect.Indicators.OptionIndicatorBase.Style => OptionSymbol.ID.OptionStyle |
◆ UseMirrorContract
◆ OptionSymbol
Symbol QuantConnect.Indicators.OptionIndicatorBase.OptionSymbol |
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get |
◆ _oppositeOptionSymbol
Symbol QuantConnect.Indicators.OptionIndicatorBase._oppositeOptionSymbol |
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getprotected |
◆ _optionModel
◆ _riskFreeInterestRateModel
◆ _dividendYieldModel
◆ Expiry
DateTime QuantConnect.Indicators.OptionIndicatorBase.Expiry |
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get |
◆ RiskFreeRate
Identity QuantConnect.Indicators.OptionIndicatorBase.RiskFreeRate |
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getset |
◆ DividendYield
Identity QuantConnect.Indicators.OptionIndicatorBase.DividendYield |
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getset |
◆ Price
◆ OppositePrice
◆ UnderlyingPrice
◆ WarmUpPeriod
int QuantConnect.Indicators.OptionIndicatorBase.WarmUpPeriod |
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getset |
Required period, in data points, for the indicator to be ready and fully initialized.
Definition at line 160 of file OptionIndicatorBase.cs.
The documentation for this class was generated from the following file: