Provides an implementation of IVolatilityModel that computes the relative standard deviation as the volatility of the security More...

Inheritance diagram for QuantConnect.Securities.RelativeStandardDeviationVolatilityModel:

Public Member Functions
	RelativeStandardDeviationVolatilityModel (TimeSpan periodSpan, int periods)
	Initializes a new instance of the RelativeStandardDeviationVolatilityModel class 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...

Public Member Functions inherited from QuantConnect.Securities.Volatility.BaseVolatilityModel
virtual void	SetSubscriptionDataConfigProvider (ISubscriptionDataConfigProvider subscriptionDataConfigProvider)
	Sets the ISubscriptionDataConfigProvider instance to use. More...

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 an implementation of IVolatilityModel that computes the relative standard deviation as the volatility of the security

Constructor & Destructor Documentation

QuantConnect.Securities.RelativeStandardDeviationVolatilityModel.RelativeStandardDeviationVolatilityModel	(	TimeSpan	periodSpan,
		int	periods
	)

Parameters

periodSpan	The time span representing one 'period' length
periods	The number of 'period' lengths to wait until updating the value

override void QuantConnect.Securities.RelativeStandardDeviationVolatilityModel.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

override IEnumerable<HistoryRequest> QuantConnect.Securities.RelativeStandardDeviationVolatilityModel.GetHistoryRequirements	(	Security	security,
		DateTime	utcTime
	)