Class implements default underlying constant volatility estimator (IQLUnderlyingVolatilityEstimator.), that projects the underlying own volatility model into corresponding option pricing model. More...
Public Member Functions | |
| double | Estimate (Security security, Slice slice, OptionContract contract) |
| Returns current estimate of the underlying volatility More... | |
Properties | |
| bool | IsReady [get] |
| Indicates whether volatility model has been warmed ot not More... | |
 Properties inherited from QuantConnect.Securities.Option.IQLUnderlyingVolatilityEstimator | |
| bool | IsReady [get] |
| Indicates whether volatility model is warmed up or no More... | |
Detailed Description
Class implements default underlying constant volatility estimator (IQLUnderlyingVolatilityEstimator.), that projects the underlying own volatility model into corresponding option pricing model.
Definition at line 25 of file ConstantQLUnderlyingVolatilityEstimator.cs.
Member Function Documentation
◆ Estimate()
| double QuantConnect.Securities.Option.ConstantQLUnderlyingVolatilityEstimator.Estimate | ( | Security | security, |
| Slice | slice, | ||
| OptionContract | contract | ||
| ) |
Returns current estimate of the underlying volatility
- 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.IQLUnderlyingVolatilityEstimator.
Definition at line 40 of file ConstantQLUnderlyingVolatilityEstimator.cs.
Property Documentation
◆ IsReady
|
get |
Indicates whether volatility model has been warmed ot not
Definition at line 30 of file ConstantQLUnderlyingVolatilityEstimator.cs.
The documentation for this class was generated from the following file:
- Common/Securities/Option/ConstantQLUnderlyingVolatilityEstimator.cs
