Provides a default implementation of IOptionPriceModel that does not compute any greeks and uses the current price for the theoretical price. More...

Inheritance diagram for QuantConnect.Securities.Option.CurrentPriceOptionPriceModel:

Public Member Functions
OptionPriceModelResult	Evaluate (Security security, Slice slice, OptionContract contract)
	Creates a new OptionPriceModelResult containing the current Security.Price and a default, empty instance of first Order Greeks More...

Detailed Description

Provides a default implementation of IOptionPriceModel that does not compute any greeks and uses the current price for the theoretical price.

This is a stub implementation until the real models are implemented

Member Function Documentation

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

Creates a new OptionPriceModelResult containing the current Security.Price and a default, empty instance of first Order Greeks

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

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