ConstantQLUnderlyingVolatilityEstimator

QuantConnect.Securities.Option.ConstantQLUnderlyingVolatilityEstimator

Bases: Object, IQLUnderlyingVolatilityEstimator

Class implements default underlying constant volatility estimator (IQLUnderlyingVolatilityEstimator.), that projects the underlying own volatility model into corresponding option pricing model.

is_ready

is_ready: bool

Indicates whether volatility model has been warmed ot not

estimate

estimate(
    security: Security,
    slice: Slice,
    contract: OptionContract,
) -> float

Returns current estimate of the underlying volatility

Parameters:

Name	Type	Description	Default
security	Security	The option security object	required
slice	Slice	The current data slice. This can be used to access other information available to the algorithm	required
contract	OptionContract	The option contract to evaluate	required

Returns:

Type	Description
float	The estimate.