Enables custom volatility models in python algorithms

Creates a python wrapper for volatility models created in python algorithms and adds a method to the Security object to set such models. Adds an algorithm to show how volatility models can be implemented.
2018-01-29 23:27:58 +00:00
parent 82d403afd3
commit dd14821e75
6 changed files with 186 additions and 0 deletions
@@ -23,6 +23,7 @@
  </PropertyGroup>
  <ItemGroup>
    <Compile Include="AddRemoveSecurityRegressionAlgorithm.py" />
+    <Compile Include="CustomVolatilityModelAlgorithm.py" />
    <Compile Include="BasicTemplateAlgorithm.py" />
    <Compile Include="BasicTemplateDailyAlgorithm.py" />
    <Compile Include="BasicTemplateFillForwardAlgorithm.py" />