Lean
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Defines a model used to calculate the theoretical price of an option contract. More...
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... | |
Defines a model used to calculate the theoretical price of an option contract.
Definition at line 24 of file IOptionPriceModel.cs.
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
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 |
Implemented in QuantConnect.Securities.Option.QLOptionPriceModel, and QuantConnect.Securities.Option.CurrentPriceOptionPriceModel.