QuantConnect.Securities.Option.IOptionPriceModel Interface Reference

Defines a model used to calculate the theoretical price of an option contract. More...

Inheritance diagram for QuantConnect.Securities.Option.IOptionPriceModel:

Public Member Functions
OptionPriceModelResult	Evaluate (Security security, Slice slice, OptionContract contract)
	Evaluates the specified option contract to compute a theoretical price, IV and greeks More...

Detailed Description

Defines a model used to calculate the theoretical price of an option contract.

Definition at line 24 of file IOptionPriceModel.cs.

Member Function Documentation

Evaluate()

OptionPriceModelResult QuantConnect.Securities.Option.IOptionPriceModel.Evaluate	(	Security	security,
		Slice	slice,
		OptionContract	contract
	)

Evaluates the specified option contract to compute a theoretical price, IV and greeks

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

An instance of OptionPriceModelResult containing the theoretical price of the specified option contract

Implemented in QuantConnect.Securities.Option.QLOptionPriceModel, and QuantConnect.Securities.Option.CurrentPriceOptionPriceModel.

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

• Common/Securities/Option/IOptionPriceModel.cs