QuantConnect.Securities.Option.IQLRiskFreeRateEstimator Interface Reference

Defines QuantLib risk free rate estimator for option pricing model. More...

Inheritance diagram for QuantConnect.Securities.Option.IQLRiskFreeRateEstimator:

Public Member Functions
decimal	Estimate (Security security, Slice slice, OptionContract contract)
	Returns current estimate of the risk free rate More...

Detailed Description

Defines QuantLib risk free rate estimator for option pricing model.

Definition at line 24 of file IQLRiskFreeRateEstimator.cs.

Member Function Documentation

Estimate()

decimal QuantConnect.Securities.Option.IQLRiskFreeRateEstimator.Estimate	(	Security	security,
		Slice	slice,
		OptionContract	contract
	)

Returns current estimate of the risk free rate

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

Risk free rate

Implemented in QuantConnect.Securities.Option.ConstantQLRiskFreeRateEstimator, and QuantConnect.Securities.Option.FedRateQLRiskFreeRateEstimator.

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

• Common/Securities/Option/IQLRiskFreeRateEstimator.cs