QuantConnect.Securities.Option.ConstantQLRiskFreeRateEstimator Class Reference

Class implements default flat risk free curve, implementing IQLRiskFreeRateEstimator. More...

Inheritance diagram for QuantConnect.Securities.Option.ConstantQLRiskFreeRateEstimator:

Public Member Functions
	ConstantQLRiskFreeRateEstimator (decimal riskFreeRate=0.01m)
	Constructor initializes class with risk free rate constant More...
decimal	Estimate (Security security, Slice slice, OptionContract contract)
	Returns current flat estimate of the risk free rate More...

Detailed Description

Class implements default flat risk free curve, implementing IQLRiskFreeRateEstimator.

Definition at line 24 of file ConstantQLRiskFreeRateEstimator.cs.

Constructor & Destructor Documentation

ConstantQLRiskFreeRateEstimator()

QuantConnect.Securities.Option.ConstantQLRiskFreeRateEstimator.ConstantQLRiskFreeRateEstimator

(

decimal

riskFreeRate = 0.01m

)

Constructor initializes class with risk free rate constant

Parameters

riskFreeRate

Definition at line 31 of file ConstantQLRiskFreeRateEstimator.cs.

Member Function Documentation

Estimate()

decimal QuantConnect.Securities.Option.ConstantQLRiskFreeRateEstimator.Estimate	(	Security	security,
		Slice	slice,
		OptionContract	contract
	)

Returns current flat estimate of the risk free rate

Parameters

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

Returns

The estimate

Implements QuantConnect.Securities.Option.IQLRiskFreeRateEstimator.

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

• Common/Securities/Option/ConstantQLRiskFreeRateEstimator.cs