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QuantConnect.Securities.Option.IQLUnderlyingVolatilityEstimator Interface Reference

Defines QuantLib underlying volatility estimator for option pricing model. User may define his own estimators, including those forward and backward looking ones. More...

Inheritance diagram for QuantConnect.Securities.Option.IQLUnderlyingVolatilityEstimator:
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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...
 

Detailed Description

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.

Member Function Documentation

◆ Estimate()

double QuantConnect.Securities.Option.IQLUnderlyingVolatilityEstimator.Estimate ( Security  security,
Slice  slice,
OptionContract  contract 
)

Returns current estimate of the underlying volatility

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
Volatility

Implemented in QuantConnect.Securities.Option.ConstantQLUnderlyingVolatilityEstimator.

Property Documentation

◆ IsReady

bool QuantConnect.Securities.Option.IQLUnderlyingVolatilityEstimator.IsReady
get

Indicates whether volatility model is warmed up or no

Definition at line 40 of file IQLUnderlyingVolatilityEstimator.cs.


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