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QuantConnect.Securities.Option.IOptionPriceModel Interface Reference

Defines a model used to calculate the theoretical price of an option contract. More...

Inheritance diagram for QuantConnect.Securities.Option.IOptionPriceModel:
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Public Member Functions

OptionPriceModelResult Evaluate (Security security, Slice slice, OptionContract contract)
 Evaluates the specified option contract to compute a theoretical price, IV and greeks More...
 

Detailed Description

Defines a model used to calculate the theoretical price of an option contract.

Definition at line 24 of file IOptionPriceModel.cs.

Member Function Documentation

◆ Evaluate()

OptionPriceModelResult QuantConnect.Securities.Option.IOptionPriceModel.Evaluate ( Security  security,
Slice  slice,
OptionContract  contract 
)

Evaluates the specified option contract to compute a theoretical price, IV and greeks

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
An instance of OptionPriceModelResult containing the theoretical price of the specified option contract

Implemented in QuantConnect.Securities.Option.QLOptionPriceModel, and QuantConnect.Securities.Option.CurrentPriceOptionPriceModel.

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