QuantConnect.Securities.Option.IQLUnderlyingVolatilityEstimator Interface Reference

Defines QuantLib underlying volatility estimator for option pricing model. User may define his own estimators, including those forward and backward looking ones. More...

Inheritance diagram for QuantConnect.Securities.Option.IQLUnderlyingVolatilityEstimator:

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 is warmed up or no More...

Detailed Description

Defines QuantLib underlying volatility estimator for option pricing model. User may define his own estimators, including those forward and backward looking ones.

Definition at line 25 of file IQLUnderlyingVolatilityEstimator.cs.

Member Function Documentation

Estimate()

double QuantConnect.Securities.Option.IQLUnderlyingVolatilityEstimator.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

Volatility

Implemented in QuantConnect.Securities.Option.ConstantQLUnderlyingVolatilityEstimator.

Property Documentation

IsReady

bool QuantConnect.Securities.Option.IQLUnderlyingVolatilityEstimator.IsReady

get

Indicates whether volatility model is warmed up or no

Definition at line 40 of file IQLUnderlyingVolatilityEstimator.cs.

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

• Common/Securities/Option/IQLUnderlyingVolatilityEstimator.cs