QuantConnect.Securities.Option.FedRateQLRiskFreeRateEstimator Class Reference

Class implements Fed's US primary credit rate as risk free rate, implementing IQLRiskFreeRateEstimator. More...

Inheritance diagram for QuantConnect.Securities.Option.FedRateQLRiskFreeRateEstimator:

Public Member Functions
decimal	Estimate (Security security, Slice slice, OptionContract contract)
	Returns current flat estimate of the risk free rate More...

Detailed Description

Class implements Fed's US primary credit rate as risk free rate, implementing IQLRiskFreeRateEstimator.

Board of Governors of the Federal Reserve System (US), Primary Credit Rate - Historical Dates of Changes and Rates for Federal Reserve District 8: St. Louis [PCREDIT8] retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/PCREDIT8

Definition at line 28 of file FedRateQLRiskFreeRateEstimator.cs.

Member Function Documentation

Estimate()

decimal QuantConnect.Securities.Option.FedRateQLRiskFreeRateEstimator.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.

Definition at line 40 of file FedRateQLRiskFreeRateEstimator.cs.

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

• Common/Securities/Option/FedRateQLRiskFreeRateEstimator.cs