Lean
$LEAN_TAG$
|
Defines QuantLib underlying volatility estimator for option pricing model. User may define his own estimators, including those forward and backward looking ones. More...
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 is warmed up or no More... | |
Defines QuantLib underlying volatility estimator for option pricing model. User may define his own estimators, including those forward and backward looking ones.
Definition at line 25 of file IQLUnderlyingVolatilityEstimator.cs.
double QuantConnect.Securities.Option.IQLUnderlyingVolatilityEstimator.Estimate | ( | Security | security, |
Slice | slice, | ||
OptionContract | contract | ||
) |
Returns current estimate of the underlying volatility
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.ConstantQLUnderlyingVolatilityEstimator.
|
get |
Indicates whether volatility model is warmed up or no
Definition at line 40 of file IQLUnderlyingVolatilityEstimator.cs.