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QuantConnect.Securities.IVolatilityModel Interface Reference

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

Inheritance diagram for QuantConnect.Securities.IVolatilityModel:
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Public Member Functions

void Update (Security security, BaseData data)
 Updates this model using the new price information in the specified security instance More...
 
IEnumerable< HistoryRequest > GetHistoryRequirements (Security security, DateTime utcTime)
 Returns history requirements for the volatility model expressed in the form of history request More...
 

Properties

decimal Volatility [get]
 Gets the volatility of the security as a percentage More...
 

Detailed Description

Represents a model that computes the volatility of a security

Please useBaseVolatilityModel as the base class for any implementations ofIVolatilityModel

Definition at line 29 of file IVolatilityModel.cs.

Member Function Documentation

◆ Update()

void QuantConnect.Securities.IVolatilityModel.Update ( Security  security,
BaseData  data 
)

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

Parameters
securityThe security to calculate volatility for
dataThe new data used to update the model

Implemented in QuantConnect.Securities.StandardDeviationOfReturnsVolatilityModel, QuantConnect.Securities.RelativeStandardDeviationVolatilityModel, QuantConnect.Securities.IndicatorVolatilityModel, QuantConnect.Python.VolatilityModelPythonWrapper, and QuantConnect.Securities.Volatility.BaseVolatilityModel.

◆ GetHistoryRequirements()

IEnumerable<HistoryRequest> QuantConnect.Securities.IVolatilityModel.GetHistoryRequirements ( Security  security,
DateTime  utcTime 
)

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

Parameters
securityThe security of the request
utcTimeThe date/time of the request
Returns
History request object list, or empty if no requirements

Implemented in QuantConnect.Securities.StandardDeviationOfReturnsVolatilityModel, QuantConnect.Securities.RelativeStandardDeviationVolatilityModel, QuantConnect.Python.VolatilityModelPythonWrapper, and QuantConnect.Securities.Volatility.BaseVolatilityModel.

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Property Documentation

◆ Volatility

decimal QuantConnect.Securities.IVolatilityModel.Volatility
get

Gets the volatility of the security as a percentage

Definition at line 34 of file IVolatilityModel.cs.

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