Lean
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Class implements default underlying constant volatility estimator (IQLUnderlyingVolatilityEstimator.), that projects the underlying own volatility model into corresponding option pricing model. More...
Public Member Functions | |
double | Estimate (Security security, Slice slice, OptionContract contract) |
Returns current estimate of the underlying volatility More... | |
Properties | |
bool | IsReady [get] |
Indicates whether volatility model has been warmed ot not More... | |
Properties inherited from QuantConnect.Securities.Option.IQLUnderlyingVolatilityEstimator | |
bool | IsReady [get] |
Indicates whether volatility model is warmed up or no More... | |
Class implements default underlying constant volatility estimator (IQLUnderlyingVolatilityEstimator.), that projects the underlying own volatility model into corresponding option pricing model.
Definition at line 25 of file ConstantQLUnderlyingVolatilityEstimator.cs.
double QuantConnect.Securities.Option.ConstantQLUnderlyingVolatilityEstimator.Estimate | ( | Security | security, |
Slice | slice, | ||
OptionContract | contract | ||
) |
Returns current estimate of the underlying volatility
security | The option security object |
slice | The current data slice. This can be used to access other information available to the algorithm |
contract | The option contract to evaluate |
Implements QuantConnect.Securities.Option.IQLUnderlyingVolatilityEstimator.
Definition at line 40 of file ConstantQLUnderlyingVolatilityEstimator.cs.
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get |
Indicates whether volatility model has been warmed ot not
Definition at line 30 of file ConstantQLUnderlyingVolatilityEstimator.cs.