QuantConnect.Securities.Volatility.BaseVolatilityModel Class Reference

Represents a base model that computes the volatility of a security More...

Inheritance diagram for QuantConnect.Securities.Volatility.BaseVolatilityModel:

Public Member Functions
virtual void	SetSubscriptionDataConfigProvider (ISubscriptionDataConfigProvider subscriptionDataConfigProvider)
	Sets the ISubscriptionDataConfigProvider instance to use. More...
virtual void	Update (Security security, BaseData data)
	Updates this model using the new price information in the specified security instance More...
virtual IEnumerable< HistoryRequest >	GetHistoryRequirements (Security security, DateTime utcTime)
	Returns history requirements for the volatility model expressed in the form of history request More...
IEnumerable< HistoryRequest >	GetHistoryRequirements (Security security, DateTime utcTime, Resolution? resolution, int barCount)
	Gets history requests required for warming up the greeks with the provided resolution More...

Properties
ISubscriptionDataConfigProvider	SubscriptionDataConfigProvider [get, set]
	Provides access to registered SubscriptionDataConfig More...
virtual decimal	Volatility [get]
	Gets the volatility of the security as a percentage More...
Properties inherited from QuantConnect.Securities.IVolatilityModel
decimal	Volatility [get]
	Gets the volatility of the security as a percentage More...

Detailed Description

Represents a base model that computes the volatility of a security

Definition at line 29 of file BaseVolatilityModel.cs.

Member Function Documentation

SetSubscriptionDataConfigProvider()

virtual void QuantConnect.Securities.Volatility.BaseVolatilityModel.SetSubscriptionDataConfigProvider ( ISubscriptionDataConfigProvider  subscriptionDataConfigProvider )

virtual

Sets the ISubscriptionDataConfigProvider instance to use.

Parameters

subscriptionDataConfigProvider

Provides access to registered SubscriptionDataConfig

Reimplemented in QuantConnect.Python.VolatilityModelPythonWrapper.

Definition at line 45 of file BaseVolatilityModel.cs.

Update()

virtual void QuantConnect.Securities.Volatility.BaseVolatilityModel.Update ( Security  security, BaseData  data  )

virtual

Updates this model using the new price information in the specified security instance

Parameters

security	The security to calculate volatility for
data	The new data used to update the model

Implements QuantConnect.Securities.IVolatilityModel.

Reimplemented in QuantConnect.Securities.StandardDeviationOfReturnsVolatilityModel, QuantConnect.Securities.RelativeStandardDeviationVolatilityModel, QuantConnect.Securities.IndicatorVolatilityModel, and QuantConnect.Python.VolatilityModelPythonWrapper.

Definition at line 57 of file BaseVolatilityModel.cs.

GetHistoryRequirements() [1/2]

virtual IEnumerable<HistoryRequest> QuantConnect.Securities.Volatility.BaseVolatilityModel.GetHistoryRequirements ( Security  security, DateTime  utcTime  )

virtual

Returns history requirements for the volatility model expressed in the form of history request

Parameters

security	The security of the request
utcTime	The date/time of the request

Returns

History request object list, or empty if no requirements

Implements QuantConnect.Securities.IVolatilityModel.

Reimplemented in QuantConnect.Securities.StandardDeviationOfReturnsVolatilityModel, QuantConnect.Securities.RelativeStandardDeviationVolatilityModel, and QuantConnect.Python.VolatilityModelPythonWrapper.

Definition at line 67 of file BaseVolatilityModel.cs.

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GetHistoryRequirements() [2/2]

IEnumerable<HistoryRequest> QuantConnect.Securities.Volatility.BaseVolatilityModel.GetHistoryRequirements	(	Security	security,
		DateTime	utcTime,
		Resolution?	resolution,
		int	barCount
	)

Gets history requests required for warming up the greeks with the provided resolution

Parameters

security	Security to get history for
utcTime	UTC time of the request (end time)
resolution	Resolution of the security
barCount	Number of bars to lookback for the start date

Returns

Enumerable of history requests

Exceptions

InvalidOperationException

The SubscriptionDataConfigProvider has not been set

Definition at line 81 of file BaseVolatilityModel.cs.

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Property Documentation

SubscriptionDataConfigProvider

ISubscriptionDataConfigProvider QuantConnect.Securities.Volatility.BaseVolatilityModel.SubscriptionDataConfigProvider

getsetprotected

Provides access to registered SubscriptionDataConfig

Definition at line 34 of file BaseVolatilityModel.cs.

Volatility

virtual decimal QuantConnect.Securities.Volatility.BaseVolatilityModel.Volatility

get

Gets the volatility of the security as a percentage

Definition at line 39 of file BaseVolatilityModel.cs.

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

• Common/Securities/Volatility/BaseVolatilityModel.cs