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