Provides a volatility model that wraps a PyObject object that represents a model that computes the volatility of a security More...

Inheritance diagram for QuantConnect.Python.VolatilityModelPythonWrapper:

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Public Member Functions
	VolatilityModelPythonWrapper (PyObject model)
	Constructor for initialising the VolatilityModelPythonWrapper class with wrapped PyObject object More...

override void	Update (Security security, BaseData data)
	Updates this model using the new price information in the specified security instance More...

override IEnumerable< HistoryRequest >	GetHistoryRequirements (Security security, DateTime utcTime)
	Returns history requirements for the volatility model expressed in the form of history request More...

override void	SetSubscriptionDataConfigProvider (ISubscriptionDataConfigProvider subscriptionDataConfigProvider)
	Sets the ISubscriptionDataConfigProvider instance to use. More...

Public Member Functions inherited from QuantConnect.Securities.Volatility.BaseVolatilityModel
IEnumerable< HistoryRequest >	GetHistoryRequirements (Security security, DateTime utcTime, Resolution? resolution, int barCount)
	Gets history requests required for warming up the greeks with the provided resolution More...

Properties
override decimal	Volatility `[get]`
	Gets the volatility of the security as a percentage More...

Properties inherited from QuantConnect.Securities.Volatility.BaseVolatilityModel
ISubscriptionDataConfigProvider	SubscriptionDataConfigProvider `[get, set]`
	Provides access to registered SubscriptionDataConfig More...

virtual decimal	Volatility `[get]`
	Gets the volatility of the security as a percentage More...

Properties inherited from QuantConnect.Securities.IVolatilityModel
decimal	Volatility `[get]`
	Gets the volatility of the security as a percentage More...

Detailed Description

Provides a volatility model that wraps a PyObject object that represents a model that computes the volatility of a security

Definition at line 29 of file VolatilityModelPythonWrapper.cs.

Constructor & Destructor Documentation

◆ VolatilityModelPythonWrapper()

QuantConnect.Python.VolatilityModelPythonWrapper.VolatilityModelPythonWrapper ( PyObject model )

Constructor for initialising the VolatilityModelPythonWrapper class with wrapped PyObject object

Parameters

model Represents a model that computes the volatility of a security

Definition at line 37 of file VolatilityModelPythonWrapper.cs.

Member Function Documentation

◆ Update()

override void QuantConnect.Python.VolatilityModelPythonWrapper.Update	(	Security	security,
		BaseData	data
	)

virtual

Updates this model using the new price information in the specified security instance

Parameters

security	The security to calculate volatility for
data	The new data used to update the model

Reimplemented from QuantConnect.Securities.Volatility.BaseVolatilityModel.

Definition at line 59 of file VolatilityModelPythonWrapper.cs.

◆ GetHistoryRequirements()

override IEnumerable<HistoryRequest> QuantConnect.Python.VolatilityModelPythonWrapper.GetHistoryRequirements	(	Security	security,
		DateTime	utcTime
	)

virtual

Returns history requirements for the volatility model expressed in the form of history request

Parameters

security	The security of the request
utcTime	The date/time of the request

Returns: History request object list, or empty if no requirements

Reimplemented from QuantConnect.Securities.Volatility.BaseVolatilityModel.

Definition at line 70 of file VolatilityModelPythonWrapper.cs.

◆ SetSubscriptionDataConfigProvider()

override void QuantConnect.Python.VolatilityModelPythonWrapper.SetSubscriptionDataConfigProvider ( ISubscriptionDataConfigProvider subscriptionDataConfigProvider )

virtual

Sets the ISubscriptionDataConfigProvider instance to use.

Parameters

subscriptionDataConfigProvider Provides access to registered SubscriptionDataConfig

Reimplemented from QuantConnect.Securities.Volatility.BaseVolatilityModel.

Definition at line 79 of file VolatilityModelPythonWrapper.cs.