chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ * 
+ * Licensed under the Apache License, Version 2.0 (the "License"); 
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ * 
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using QuantConnect.Data;
+using QuantConnect.Data.Market;
+
+namespace QuantConnect.Securities.Option
+{
+    /// <summary>
+    /// Class implements default underlying constant volatility estimator (<see cref="IQLUnderlyingVolatilityEstimator"/>.), that projects the underlying own volatility 
+    /// model into corresponding option pricing model.
+    /// </summary>
+    public class ConstantQLUnderlyingVolatilityEstimator : IQLUnderlyingVolatilityEstimator
+    {
+        /// <summary>
+        /// Indicates whether volatility model has been warmed ot not
+        /// </summary>
+        public bool IsReady { get; private set; }
+
+        /// <summary>
+        /// Returns current estimate of the underlying volatility
+        /// </summary>
+        /// <param name="security">The option security object</param>
+        /// <param name="slice">The current data slice. This can be used to access other information
+        /// available to the algorithm</param>
+        /// <param name="contract">The option contract to evaluate</param>
+        /// <returns>The estimate</returns>
+        public double Estimate(Security security, Slice slice, OptionContract contract)
+        {
+            var option = security as Option;
+
+            if (option != null &&
+                option.Underlying != null &&
+                option.Underlying.VolatilityModel != null &&
+                option.Underlying.VolatilityModel.Volatility > 0m)
+            {
+                IsReady = true;
+                return (double)option.Underlying.VolatilityModel.Volatility;
+            }
+
+            return 0.0;
+        }
+    }
+}