Pricing model used to determine the fair price or theoretical value for a call or a put option price by default using the Black-Scholes-Merton model More...

Inheritance diagram for QuantConnect.ToolBox.RandomDataGenerator.OptionPriceModelPriceGenerator:

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Public Member Functions
	OptionPriceModelPriceGenerator (Security security)
	Creates instance of OptionPriceModelPriceGenerator More...

decimal	NextValue (decimal maximumPercentDeviation, DateTime referenceDate)
	For Black-Scholes-Merton model price calculation relies IOptionPriceModel of the security More...

Public Attributes
bool	WarmedUp => _option.PriceModel is QLOptionPriceModel optionPriceModel && optionPriceModel.VolatilityEstimatorWarmedUp \|\| _option.PriceModel is not QLOptionPriceModel
	RandomPriceGenerator is always ready to generate new price values as it does not depend on volatility model More...

Additional Inherited Members
Properties inherited from QuantConnect.ToolBox.RandomDataGenerator.IPriceGenerator
bool	WarmedUp `[get]`
	Indicates Price generator warmed up and ready to generate new values More...

Detailed Description

Pricing model used to determine the fair price or theoretical value for a call or a put option price by default using the Black-Scholes-Merton model

Definition at line 27 of file OptionPriceModelPriceGenerator.cs.

Constructor & Destructor Documentation

◆ OptionPriceModelPriceGenerator()

QuantConnect.ToolBox.RandomDataGenerator.OptionPriceModelPriceGenerator.OptionPriceModelPriceGenerator ( Security security )

Creates instance of OptionPriceModelPriceGenerator

param name="security">Security object for which to generate price data

Definition at line 40 of file OptionPriceModelPriceGenerator.cs.

Member Function Documentation

◆ NextValue()

decimal QuantConnect.ToolBox.RandomDataGenerator.OptionPriceModelPriceGenerator.NextValue	(	decimal	maximumPercentDeviation,
		DateTime	referenceDate
	)

For Black-Scholes-Merton model price calculation relies IOptionPriceModel of the security

Parameters

maximumPercentDeviation	The maximum percent deviation. This value is in percent space, so a value of 1m is equal to 1%.
referenceDate	current reference date

Returns: A new decimal suitable for usage as new security price

Implements QuantConnect.ToolBox.RandomDataGenerator.IPriceGenerator.

Definition at line 62 of file OptionPriceModelPriceGenerator.cs.

Here is the call graph for this function:

Member Data Documentation

◆ WarmedUp

bool QuantConnect.ToolBox.RandomDataGenerator.OptionPriceModelPriceGenerator.WarmedUp => _option.PriceModel is QLOptionPriceModel optionPriceModel && optionPriceModel.VolatilityEstimatorWarmedUp || _option.PriceModel is not QLOptionPriceModel

RandomPriceGenerator is always ready to generate new price values as it does not depend on volatility model

Definition at line 34 of file OptionPriceModelPriceGenerator.cs.

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

ToolBox/RandomDataGenerator/OptionPriceModelPriceGenerator.cs

Public Member Functions

Public Attributes