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QuantConnect.Securities.Option.ConstantQLUnderlyingVolatilityEstimator Class Reference

Class implements default underlying constant volatility estimator (IQLUnderlyingVolatilityEstimator.), that projects the underlying own volatility model into corresponding option pricing model. More...

Inheritance diagram for QuantConnect.Securities.Option.ConstantQLUnderlyingVolatilityEstimator:
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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...
 

Detailed Description

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.

Member Function Documentation

◆ Estimate()

double QuantConnect.Securities.Option.ConstantQLUnderlyingVolatilityEstimator.Estimate ( Security  security,
Slice  slice,
OptionContract  contract 
)

Returns current estimate of the underlying volatility

Parameters
securityThe option security object
sliceThe current data slice. This can be used to access other information available to the algorithm
contractThe option contract to evaluate
Returns
The estimate

Implements QuantConnect.Securities.Option.IQLUnderlyingVolatilityEstimator.

Definition at line 40 of file ConstantQLUnderlyingVolatilityEstimator.cs.

Property Documentation

◆ IsReady

bool QuantConnect.Securities.Option.ConstantQLUnderlyingVolatilityEstimator.IsReady
get

Indicates whether volatility model has been warmed ot not

Definition at line 30 of file ConstantQLUnderlyingVolatilityEstimator.cs.


The documentation for this class was generated from the following file: