public void Reset() { _volatilityEstimator = new VolatilityEstimator(_threshold); LatestCallStrike = double.NaN; LatestPutStrike = double.NaN; LatestPrice = null; }
/// <summary> /// Create a new instance of price discovery /// </summary> /// <param name="threshold">is size of the threshold used for in the Runner (in the intrinsic time)</param> public PriceDiscovery(double threshold) { _threshold = threshold; _volatilityEstimator = new VolatilityEstimator(_threshold); }